Factor Analysis of Private Capital Returns

Our report explores how a factor framework can be utilized to better understand risk and return in private capital markets.

• Buyout, venture capital, and private debt significantly exposed to the market factor

• Regression factor analysis links nearly all private capital asset returns to the liquidity factor in absence of macroeconomic variables

• Macroeconomic factors help explain real asset returns, with inflation and real interest rate factors significant

• Private debt return not linked to real interest rates between Q4 2007 and Q1 2024, but buyout returns negatively impacted by rising real rates