Ennis and Rasmussen revisit listed private equity using simple annual return tests and argue it resembles high beta public equity with little diversification benefit. Evidence points to modestly negative alpha and tight linkage to broad equity markets rather than distinct private market dynamics.
In Defense of “What the Stock Market Can Teach Us About Private Equity”
Richard Ennis, Daniel Rasmussen
Research
5 Pages
Key Takeaways
High beta exposure: Estimated beta near 1.6 across horizons indicates leveraged equity like behavior.
Alpha not persistent: Annual alpha clusters between negative 2 and negative 6 percent and lacks statistical significance.
Tight market linkage: R squared approaches 90 percent using annual data, signaling high correlation with public equities.
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