%0 Journal Article
%T Spread-Based Direct Alpha (SBDA) as a Performance Measure for PE Funds
%A Koichi Miyazaki
%A Kazuhiro Shimada
%J Journal of Mathematical Finance
%P 380-393
%@ 2162-2442
%D 2023
%I Scientific Research Publishing
%R 10.4236/jmf.2023.133024
%X In this study, we explore the Public Market Equivalent (PME) as a measure of Private Equity (PE) fund performance relative to the listed market. While various PME methods exist, the ˇ°direct alpha methodˇ± has been identified as the superior approach. However, concerns arise regarding its suitability from a financial theory perspective, given its derivation process and the questions surrounding its role as a performance measurement method for PE funds relative to listed markets. To address these issues, we propose a novel and more accurate measurement method, the Spread Based Direct Alpha (SBDA), along with a technique for deriving the alpha amount based on SBDA, enabling a more precise comparison of PE fund performance against traditional assets.
%K PE Funds
%K Public Market Equivalent (PME)
%K Direct Alpha
%K Spread Based Direct Alpha (SBDA)
%K Performance Measurement
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=127251