Private equity fund performance around the world

Sara Ain Tommar, Serge Darolles, Emmanuel Jurczenko

To cite this version:

Sara Ain Tommar, Serge Darolles, Emmanuel Jurczenko. Private equity fund performance around
the world. 39th Conference of the French Finance Association (AFFI), Jun 2023, Bordeaux, France.
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 Private Equity Fund Performance around the World*

Sara Ain Tommara Serge Darollesb Emmanuel Jurczenkoc

This version: January 2023

Abstract

We construct a novel and comprehensive dataset to formally explore the returns of private
equity funds in non-North American focused markets. We investigate a range of stylized
facts on private equity performance and persistence, and compare the findings to the
extensive evidence on North American funds. We find that European private equity funds
have performed at least similarly to their North American peers throughout the sample
period. European funds’ performance declines over time even though funds continued to
deliver above par with a range of public market indices. Funds focused on Asia Pacific,
or Latin America, Middle East and North Africa, and other parts of the world have
outperformed in only a few of the sample vintages, both relative to the broad US public
market and other regional equity markets. Inconsistent with the “money chasing deals”
hypothesis, fund performance does not seem to be driven by the capital infusions into the
industry, but by a rather maturing market for profitable deals. Non-North American funds
show evidence of return persistence in Europe only, as does a sample of US-backed funds
that are diversified globally. Persistence is random outside the European and Global
groups, and declines over time, with some variation across regions and investment styles.

Keywords: private equity funds, international markets, performance, return

persistence

JEL classification: G2, G11, G15

*
This version updates and greatly extends a previous version by the same authors written in 2018. We
acknowledge the generous support of the Venture Capital and Private Equity Research Initiative, under the
aegis of the Europlace Institute of Finance and the Louis Bachelier Foundtaion, France. This research has
also received the financial support of NEOMA’s Seed Money Research Grant. We thank Cyril Demaria,
Tobias Dieler (Discussant), José-Miguel Gaspar, William Megginson, Tamara Nefedova, Ludovic
Phalippou, Per Strömberg, as well as participants at the 2018 European FMA Doctoral Student Consortium,
(Kristiansand, Norway), the 11th Hedge Fund and Private Equity conference, and the 2nd Private Markets
Research Conference (Lausanne, Switzerland) for their valuable comments and suggestions.
a
NEOMA Business School, Paris – France. [email protected]
b
Université Paris Dauphine – PSL Research University, Paris – France. [email protected]
c
EDHEC Business School, Nice – France. [email protected]

1
1 Introduction

The private equity industry has considerably grown to over six trillion dollars of assets

under management as of 2021, multiplying its value three folds compared to ten years

prior. This is now the largest segment in private markets, surpassing the size of other

alternative asset classes, and increasingly developing in markets other than North

America, with a share of half the value of assets under management worldwide1.

Notwithstanding the growing importance of private equity as an alternative asset class,

very little is known about the characteristics and distribution of private equity returns in

other geographies, mainly due to data availability and limitations. In this paper, we exploit

and combine newly available LP-sourced data on fund characteristics and cashflows in

non-North-American focused geographies, and offer a first look into how they compare

to North American-focused funds.

Our paper contributes to the nascent literature on the performance and economics of

private equity internationally. As of the late 90s, perspectives of higher returns and

increasingly competitive local markets have driven private equity allocations

internationally (Gompers and Lerner, 2000; Strömberg, 2008; Leeds and Satyamurthy,

2015). Earlier literature has broadly documented significant differences in performance

given the investment geographies for a wide range of asset classes. Teo (2009) shows that

hedge funds with an international physical presence have a local information advantage

and perform better than distant hedge funds. Coval and Moskowitz (2001) show that

mutual fund managers earn higher returns from nearby investments compared to distant

investments. Malloy (2005) shows that US equity analysts are better at earnings forecasts

1
McKinsey Global Private Markets Review, 2022.

2
for nearby firms than for distant firms. Similarly, Bae et al. (2008) show that local analysts

issue better earnings forecasts than geographically distant analysts, with data on 32

countries. Specifically for private equity, previous studies show that geographical and

cultural elements are important component of venture capital contracting in the US

(Bengtsson et al., 2009), performance outcomes (Chen et al., 2010), and, internationally,

exit success (Johan and Zhang, 2016), and industry performance (Bernstein et al., 2017).

Early evidence also shows that deal-level or IRR returns are dependent on investment

geography (Teo, 2012; Lerner and Baker, 2017; Mingo et al., 2018), on the institutional

and regulatory settings (Cumming and Walz, 2010; Cumming and Johan, 2013), and,

specifically for emerging markets, on the order of entry of new market participants

(Sannajust and Groh, 2020). Earlier studies also tried to circumvent the data availability

by using listed proxies to study private equity performance in international markets

(Hanby et al. 2022). Many of the efforts aiming to understand private equity performance

in other markets have long been hindered by the availability of fund-level cashflows, or

when available, limitations in the extent of geographical coverage, hence allowing to

study one geographical group (Harris et al., 2016). We contribute to this important

question by offering early insights into the net-of-fee performance of private equity

internationally. We use new, LP-derived data on private equity partnerships from

Eurekahedge, a historical alternative investment data provider which recently extended

their coverage to a wider range of private markets, including private equity. The data

spans a large set of funds and geographies, and counts more than 1,700 partnerships

directed towards corporate financing. We combine these newly available data with fund

cashflow data from Preqin, another specialist data provider, to form a significantly

representative sample of funds. Importantly, there is a small overlap between Preqin and

3
Eurekahedge, subsequently allowing for a larger coverage of funds worldwide. As private

equity performance research has been subject to debate around the reliability of the data

used (Stücke, (2011), Harris et al. (2014)), we perform several checks to ensure the

quality of our combined dataset. We start by looking at whether stylized facts on fund

performance in North America are verified in our sample. This would relatively certify

the quality of the data before extending the sample to other geographies. For these

analyses, we replicate in our sample the main findings of Harris et al. (2014), who

comprehensively overview and compare the evidence on North American-focused fund

performance. Then, for the performance persistence results, we test whether our sample

of funds provides results in line with a follow-on paper (Harris et al., 2022). Our

subsample of North American-focused funds covers their universe of funds by about 70%

in terms of number of funds, and about 95% in terms of committed capital, between 1990

and 2015. Overall, we qualitatively and statistically confirm the alignment of the results

in our sample with the evidence in the literature on North American funds, and proceed

to extending the analyses to other world locations. For the reader’s reference, we report

and discuss the replication results in the internet appendix, section S1.

Our sample of non-North American funds comprises 614 partnerships, representing more

than 70 institutional investors and more than a trillion dollars in committed capital

between 1990 and 2017. Out of the 614 funds, 162 funds are invested in the Asia Pacific

region, with 21% of the total commitments for the sample period. Europe has the largest

share of commitment interests, with 73% of the total committed capital and 376 funds.

Other world locations count for only 6% of the commitment interests for the sample

period, these funds are mainly invested in Latin America, the Middle East and North

Africa, in addition to a few, geographically-agnostic funds. Importantly, 83% of the

4
partnerships in our sample are sponsored by a local private equity firm, in addition to

having a local or regional investment focus. In our sample, North American-based firms

count for a small fraction of funds invested overseas2. To get a meaningful geographical

representation of funds, we group the funds by investment focus into regions, following

MSCI’s market classification3. We find that the dominant strategy in terms of committed

capital is, by far, buyout funds, with more than 90% of capital inflows. In non-tabulated

results, we also find the compensation structure largely similar to that in North America,

with fund managers charging 2% in management fee and 20% in carry on average across

funds and through the sample period. Interestingly, we do not find different compensation

structures between local or regional managers compared to US-based ones, neither do the

fees vary by investment style or investment geography. Other characteristics follow the

traditional organization of private equity funds, although we partially confirm that non-

North American focused funds have shorter lifespans than typically known for funds in

North America (Fang, 2019). Prior to 2008, fund performances based on money

multiples, show at least similar levels to those in North America for European funds, but

relatively decline on average after the financial crisis even though they continue to deliver

above par. These patterns also hold using the PME measure, both against the broad US

stock market and a wide array of size-, and geographically-adjusted benchmarks. Until

2008, fund PMEs for European funds are higher on average than what is documented for

North American funds, and although they relatively decline in the aftermath of the

financial crisis, the European PME levels still remain higher compared to their North

2
We formally test in Table 4 how a group of global funds in our sample compare to pure-North American
funds’ performance. These global funds are backed by a US-based sponsor, and have a geographically
diversified investment strategy, including North America. They are not included in our baseline sample of
internationally invested funds.
3
https://www.msci.com/our-solutions/indexes/market-classification

5
American peers across the same vintages. However, funds in the Asia Pacific, Latin

America/MENA regions performed generally below par with the public equities across

the sample period, with the PME levels being above one only 5 times out of 20 vintages

in each region. By investment style, fund underperformance does not recover from the

dot-com squeeze for venture capital funds until 2006, while it seems to maintain strong

resilience levels through the financial crisis for buyout funds. We find using robust

regression analyses that these patterns are mainly driven by a potentially maturing local

market, where investment opportunities grow relatively scarce, pressuring time to exit

investments and fund durations. This is verified in the Asia Pacific and European regions,

while aggregate capital infusions into the industry seem to greatly explain the overall

disappointing fund performances in other parts of the world. We also find strong evidence

of performance persistence at both ends of the return distribution, where top performing

funds consistently outperform and the worse performing funds consistently

underperform. Interestingly, average funds are more likely to repeat among the best

performers than they are to repeat among the worst performers, especially if they are less

geographically restricted and target more mature companies. Persistence is stronger prior

to the financial crisis in the overall sample, and significantly decreases for the post-2007

vintages. However, top performing funds still deliver above par with the public market

and above median, however small the margins compared to pre-2008. We test and

confirm the robustness of these conclusions across several performance measures,

controlling for GP skill, time and style effects across geographies. The rest of the paper

is organized as follows: Section 2 details the data and methodology used, and presents

the sample statistics. Section 3 discusses the fund performance relative to public equities.

6
Section 4 explores the relationship between fund performance and fund characteristics,

while Section 5 presents the performance persistence results.

2 Data and Methodology

The data are first sourced from Eurekahedge, a historical hedge fund data provider which,

through 2019, extended their coverage to other asset classes, including private equity.

According to Eurekahedge, the data are sourced directly from their LP clients, and are

thoroughly extended and completed with information collected using FOIA requests or

their equivalent in other geographies. We use the fund level cash flow data as of March

2020. All the return and performance results we report are net of fees. To form a

geographically representative set of funds, we merge the Eurekahedge data with Preqin,

another specialist private equity data provider. The Preqin data are mainly sourced from

large investors using FOIA requests, and also voluntarily from GPs. We start by name-

matching the funds with available cashflow data in both datasets using Jaccard similarity

scores, then verify the correct correspondence of the overlapping funds by manually

checking the available legal information and characteristics of matched funds, such as the

backing firm, the fund investment style and location, fund commitments and available

reported returns. We limit the sample to the 2018 vintages to focus on mostly realized

funds, and express all values in 2018 dollars. We carefully harmonize the variable

conventions in both datasets and make sure that funds and firms are uniquely identified.

The final merged dataset comprises 2,692 unique funds with available cashflow

information all geographies combined, including one set of common funds to both

7
datasets (880 funds). In the particular use of Eurekahedge and Preqin, the overlap of funds

is relatively small, thereby ensuring a wider representation of funds across regions.

A considerable issue in private equity performance research is the data coverage and

quality (Harris et al. (2010), Harris et al. 2014)). Harris et al. (2014) review and compare

the existing sources for private equity performance, namely the LP-sourced data from

Burgiss, to other FOIA-, service-based and GP-sourced data providers: Preqin, Pitchbook,

Cambridge Associates and Venture Economics. They conclude that the latter suffers

considerable quality issues, while the other datasets yield relatively similar results to

Burgiss. They also conclude that the datasets providing similar conclusions on fund

performance are unlikely to bear quality issues. Another challenge is the differences in

the data access conventions, whereby one would contend with either better quality but

completely anonymized data (as in Burgiss), or identified investors and funds but limited

(geographical) coverage (as with using one individual vendor dataset). One common

characteristic to all the available databases with regards to our research question is their

limited coverage of non-North American focused funds when taken individually. We find

the coverage relatively higher using a combined dataset4. To overcome some of the data

quality concerns around using a new dataset, we follow the methodology of Harris et al.

(2014) in comparing the results yielded by our sample, to the evidence in the literature

using the other databases. For this test, we replicate the main analyses in Harris et al.

(2014) using the covered North American focused funds in our sample. Our merged

sample spans more than 2,600 partnerships with available cash flow data, involving at

least 300 limited partners, representing 2.18 trillion dollars in committed capital, and

4
For comparison, we have a relatively higher coverage of European funds to Harris et al. (2016), who
provide a first glimpse into European fund performance using a sample of 300 funds from Burgiss.

8
investing in 34 countries. We only consider equity strategies and focus on corporate

private equity. Credit funds, timber, infrastructure, fund of funds, secondaries, co-

investments and real estate strategies are excluded from the analysis. With these filters,

our sample totals 2,179 funds, 1,565 of which are North American-focused, including 863

buyout funds and 702 venture capital funds. We use this subsample to replicate the results

in Harris et al. (2014), as well as some of the updated findings in Harris et al. (2022)5. We

tabulate and discuss the findings in the Internet Appendix, Tables 1 to 3 in Section S1.

We find that the fund reported performance measures are qualitatively aligned, as are the

conclusions on the performance of North American funds relative to the public market

and their persistence over time. Additional tests for the difference in sample means and

medians of the overlapping vintages in our sample and Harris et al. (2014) are not

statistically significant. We thereby conclude that our data produce similar conclusions to

those in the literature on North-American focused funds, and do not present any particular

upward or downward performance biases.

With these results in hand, we proceed with extending the analyses to other geographical

locations. Applying the same filters as described above, the non-North American sample

comprises 614 funds, taking into account corporate private equity only, and excluding

non-equity based investment styles. To get a meaningful geographical representation of

the funds in the sample, we group their investment focuses by region, following the

market classification of MSCI6. The geographical focus of the fund is provided by

Eurekahedge and Preqin for the respective covered funds. We end the sample at the 2017

5
Harris et al. (2014) do not report the transition probabilities shown in Table 3 of the Internet Appendix
for the performance persistence calculations. We use their follow-on paper, Harris et al. (2022), as a
reference paper to benchmark our persistence findings.
6
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9
vintages as funds beyond that year are still largely fundraising. Table 1 shows, in more

detail, the distribution of funds by vintage, investment region and investment strategy.

[Table 1 about here]

Commitments in non-North American markets totaled more a trillion dollars between

1990 and 2017. Importantly, about 83% of the funds in the sample are local or regional,

both across investment strategies and investment locations7. The dominant investment

strategy in terms of committed capital is by far buyout funds, with about 90% of capital

inflows. Across regions, buyout funds also account for 51% of the number of funds

investing in the Asia Pacific region, 77% of funds in Europe, and 54% of the funds

invested in other world locations. On the contractual aspects, we find in non-tabulated

results that the compensation structure of the partnerships is largely similar to that in

North America, where the management fee and the carry average 2% and 20%

respectively, across all investment styles and regions. Funds hold investments for a

minimum of three to four years on average, across investment strategies and regions8.

The typical fund lifespan9 is around 8.5 to 9 years for buyout funds and venture capital

funds alike, with slight differences across the investment regions. Funds investing in the

Asia Pacific region span the shortest lifespan with an average (median) 7.5 (7.0) years,

7
US-sponsored funds investing overseas account for a small fraction of funds in our sample, we present
tests of how these funds’ performances compare to pure North American players in the following sections.
8
We have access to the information on the compensation structure and holding periods in the Eurekahedge
sample of funds only.
9
We do have the fund’s status but do not have the funds’ effective liquidation dates. We approximate the
fund lifespan by calculating the difference in years between the fund’s last distribution date and the fund’s
first capital call date.

10
followed by European funds at 8.6 (9.5) years. Geographically diversified funds10 have

an average (median) lifespan of 9.5 (9.2) years, while funds investing in Latin America

and the MENA regions seem closest to the North American conventions, with an average

(median) duration of 10.4 (10.1) years. Buyout funds are significantly larger, with an

average fund size of 2.3 billion dollars throughout the sample period, compared to earlier

stage investment strategies (i.e. venture capital and growth), with a combined average

size of 486 million dollars. Finally, Europe has been the primary investment destination

with more than 70% of fund commitments, followed by Asia-Pacific (about 21%). Latin

America, the Middle East and North Africa, as well as other sparse world locations, have

accounted for a combined 6% of the total commitments of the period. We group these

locations under the ROW group throughout the paper to have a meaningful group of

funds.

[Table 2 around here]

We show in Table 2 fund money multiples by vintage year. We present the average and

median Total Value to Paid In (TVPI), calculated as the sum of all investor distributions

and the fund’s residual value, to the sum of fund contributions. We further split these

measures by investment strategy and region, as shown in panels A and B respectively.

We rather focus on this dollar to dollar metric rather than fund IRRs as it is less

10
These are US-backed funds which extend their investments overseas. They are not included in the
baseline sample of interest but are included in some tests to provide comparison with pure North American
funds.

11
susceptible to suffer reporting issues (Phalippou, 2008; Larocque et al., 2022), especially

in an international context (Cumming and Walz, 2010).

We do not have fund realization rates in the combined sample, but according to fund

status information in both our datasets, funds raised prior to 2010 are mostly realized.

About half to two thirds of fund investments of the 2014 and 2015 vintages have been

realized, while the rest of the follow-on vintages are relatively immature. This is true

across all geographical regions and investment styles, although younger venture capital

funds have a higher fraction of realized funds compared to buyout funds of the same

vintages in the data. For the TVPI measure, these realization rates help get a sense of the

extent to which money multiple calculations rely on estimated residual values, rather than

on their actual liquidation values. Across mostly realized vintages (up to 2010), non-

North American buyout funds have returned 1.53 times the invested capital on average to

their investors. This figure has been relatively stable for the 90s and the 2000s but has

dropped in the year after the 2008 financial crisis. Compared to North American funds11,

the drop has occurred in the 2000s in the period before the financial crisis, after

maintaining an average money multiple of 2.0 during the 90s. As for venture capital

funds, North American focused funds scored higher in the 90s, with about 3.6 times the

capital invested compared to only 1.56 times in non-North American funds. In the

following years until 2006, non-North American venture capital funds performed poorly

at values below par for the money multiple, unlike their North American counterparts

where TVPIs have averaged the value of 1 throughout the same period. Venture Capital

funds recover significantly for the rest of the vintages, while buyout funds performance

seems to have maintained at least on par values on average until 2012. Growth funds

11
For North American funds, the comparison figures cited here are drawn from Harris et al. (2014).

12
show largely similar results to those of buyout funds, although they only outperform in

about half of the covered vintages.

By geographical focus, fund money multiples do not particularly stand out in Asia Pacific

and other parts of the world, where funds delivered in only 8 (respectively 5) of the 18

(respectively 19) covered vintages. It is worth noting, however, that Asia Pacific focused

funds have outperformed in terms of money multiple during the financial crisis years

(2007 through 2009), but did not sustain. European funds have delivered above par money

multiples throughout the sample period, although performances grow weaker over the

decades (1.83 on average in the 1990s, 1.58 in the 2000s, and 1.23 until 2012, focusing

on mostly invested funds). The decline in money multiples starts in the few years prior to

the 2008 credit crunch but shows relative resilience in the follow-on vintages.

Overall, private equity returns measured by the fund’s money multiples seem to be better

for buyouts and in the European region, even though they seem to decline over time. We

present more analyses of the fund performances relative to the public market in the

following section.

3 Fund performance relative to public equities

As is customary in private equity performance research, we rely on the Public Market

Equivalent (PME) methodology introduced by Kaplan and Schoar (2005) to compare

investments in non-North American funds to equivalently-timed investments in public

equities. To this end, we discount fund distributions in addition to the fund net asset values

at the total public equity market return (following a buy-and-hold strategy), then do the

ratio of that amount to a similarly discounted value of fund contributions at the total return

13
of the public market. The PME is interpreted as the surplus (compared to one), investors

get over the fund duration compared to a similarly held investment in the considered

public market index12. For the purposes of these calculations, we present the PME using

the regional and international MSCI indices to measure fund performance relative to a

similarly timed exposure to the relevant regional or international public market index. We

also present the PME measure using a number of US public market indices, first because

they are widely considered by investors as major reference benchmarks for public equity

investing, and second to see how the funds in our sample partially compare to North

American equities. An additional reason is to test for the sensitivity of the PME to the

used benchmark by using these alternatively adjusted or “tailored” PMEs (Robinson and

Sensoy, 2016, 2013), to relatively account for differences in risk. We report the results

by vintage year and investment strategy in Table 3 (Panel A), as well as by vintage year

and geographical focus (Panel B).

[Table 3 around here]

We start by looking at the performance of non-North American funds against the broad

public market using the international and regional MSCI indices as benchmarks. We start

by these indices to allow for observational comparisons with similar exposures to

geographically relevant public equities, before testing the performance of the funds in our

sample relative to other broadly used US indices.

12
See Sorensen and Jagannathan (2015) for a discussion of the PME as a performance measure.

14
The first three columns of Table 3 show fund performances relative to the MSCI indices

by vintage and by investment style. Buyout funds consistently outperforms the relative

MSCI index throughout the covered vintages, by an average PME of 1.26, or an

annualized excess return of 2.4%. For earlier investment stages, non-North American

focused funds have outperformed the MSCI index across the sample vintages in only half

the time (in 8 out of the 17 covered vintages for growth funds, and 12 out of the 25 covered

vintages for venture capital funds). These funds still yielded an average 1.3% annualized

return on top and above the MSCI indices over the sample period. We relatively find this

same contrast between buyouts and venture capital funds in studies of North American

funds, where the latter have outperformed considerably and only up to the late 90s.

venture capital funds in our sample seem to consistently recover from the dot-com bust

as of the 2006 vintages. For both styles, the latter vintages do not allow drawing any firm

conclusions as many funds from this period are still investing. These patterns are

heterogenous across regions, where only European funds and a few fund vintages

elsewhere have delivered higher returns than public equities over the years. Relative to

the their respective regional MSCI benchmarks, European funds have performed on

average above par with the public market almost all the time, whereas funds invested in

the Asia Pacific did so only in few vintages of the 2000s, whereas in other parts of the

world, returns have been generally disappointing relative to the broad world index. We

reach similar conclusions looking at the PME performance results compared to the US

broad public market index (proxied by the S&P500).

The results on fund performance in the above analyses may suggest differences in risk or

other factors across the funds in the sample. We analyze the relationship between fund

performance and other factors in the following section, but show in the latter columns in

15
Table 3 further results using the Russell indices, as it is customary for investors to use

them to proxy for size and value effects. We consistently reach the same above

conclusions, and partially conclude that the performance results are unlikely to be driven

by size or value effects.

Overall, focusing on mostly realized funds, i.e. up to the 2012 vintages, the general

takeaway is that non-North American buyouts have overperformed the public market

across all vintages. This is also true for European funds relative to other world regions.

Venture capital funds have only outperformed in the 90s and through the financial crisis.

Evidence on North American buyouts shows that private equity performance has declined

over the years but remained relatively at par with the US equities markets, though at lower

levels than do European funds. the literature also shows that North American venture

capital did not overperform overall relative to the S&P500 after the dot-com period, but

has provided better margins than non-North American funds. This suggests that while the

globalization of private equity investments held some promise in the early 2000s,

performances failed both compared to public equities and to North American funds in the

years following the financial crises in all regions other than Europe. In the next section,

we examine formally whether the changes in performance over the years are explained

by fund characteristics and capital inflows across investment styles and regions, and how

these performance compare to those in North America. For these following analyses, and

to allow for an intuitive readability of the results, we present our tests using the PME

measure relative to the broad US equities market (i.e. S&P500). Our conclusions below

are unchanged using other measures and public market benchmarks. Table S2-1 in

Section S2 of the internet appendix replicates these results with respect to using the

16
regional and international MSCI indices, the Russell size and value indices, as well as the

TVPI as alternative performance measures.

4 The relationship between fund performance and fund characteristics

It has been shown in the literature that considerable capital flows into private equity funds

result in poorer subsequent performances, as demand drives up valuations and leaves little

room for fund managers to create value (Gompers and Lerner (2000), and Harris et al.

(2014), Robinson and Sensoy (2016)). We test this hypothesis by including fund capital

commitments as a variable in our regressions. Following Kaplan and Schoar (2005), we

also test potential effects of other fund characteristics, including fund sequence, fund age

(approximated by the difference in years between the fund’s last distribution date and its

first capital call date), potential effects of geographical proximity (Teo, 2012), while

neutralizing the effects of time, GP skill, and investment styles across the explored

geographies. For the latter, we include vintage and firm dummies, as well as, where

applicable, investment style dummies. We regress the fund PMEs relative to the S&P500,

on the natural logarithm of fund size, the fund’s sequence number, the approximated

fund’s age, and a dummy variable for whether the is backed by a regional or local sponsor.

We include a test for how non-North American focused funds compare to North

American-focused ones across investment styles, and another test for how the latter

compare to global, US-sponsored but geographically diversified funds. We double cluster

the standard errors by vintage and firm throughout the analyses, and report the results in

Table 4.

17
 [Table 4 around here]

For the total sample, Column 1 in Panel A of table 4 shows that, controlling for GP skill,

style and time effects, non-North American focused funds do not significantly yield

higher returns compared to pure North American funds for the overall sample, nor,

surprisingly, do local GPs significantly have higher advantage. Interestingly, larger fund

sizes do not drive performances both for the overall sample and across investment styles

and regions, inconsistent with the conventional wisdom in North America. We do find,

however, that funds with shorter life spans are significantly and negatively associated

with lower performances, as, surprisingly, do subsequent funds compared to previous

funds. The respective coefficient estimates show a relative decrease in the PMEs of

shorter duration funds by 0.047 in the overall sample, significant at the 1% level, and a

reduction of subsequent partnership PMEs by 0.249 on average, also significant at the 1%

level. This is verified across all investment styles, except for growth funds where

subsequent partnerships show positive potential to repeat higher PMEs on average,

although the point estimate is not significant. Across regions in Panel B, these patterns

are particularly true for European funds, where increased fund durations and sequences

are significantly and negatively associated with an increase in fund PMEs. Consistent

with the observed PME patterns in Table 3, these results particularly suggest that there is

little room for potential returns to scale, as subsequent funds have on average lower

potential to repeat higher than historical PME levels. This could also highlight a potential

maturing of the industry, whereby the set of available investment opportunities grows

narrower over time, making, if competition also increases, profitable deal sourcing

harder, and time needed to create value longer. The negative and significant point estimate

18
on fund age seems to consistently support this hypothesis, as does the absence of local

GP advantage compared to foreign GPs. For Asia Pacific-focused funds, the coefficient

estimate on subsequent funds is also negative but insignificant, potentially highlighting

random GP skill in this subsample. In other world locations (last column in Table 4 Panel

B), we do find results in line with the evidence in the literature on North American funds,

whereby increased fund flows are negatively associated with performance ex-post. For

this geographical group, the results suggest that more capital flows are associated with

significantly and economically large declining performances, as highlighted by the

coefficient estimate on the size variable. However, subsequent funds are positively and

significantly associated with higher PMEs, suggesting either significant GP skill in these

locations or the existence of a better set of investment opportunities. Interestingly,

comparing North American and global funds (i.e. funds investing in both the US and

internationally), we find a significant and economically large effect of the geographical

diversification outside the US home market, especially with a local presence overseas,

although the previously highlighted negative effects of fund durations and ability to repeat

above historical PMEs remain.

Overall, the results on fund performance using the multivariate analyses above show

heterogeneity amongst geographical groups, and leave potential particularities around GP

skill as an explanation for the subsequent funds failing to achieve higher PMEs. In the

next section, we formally test for fund performance persistence to draw more light on

these patterns.

19
5 Performance persistence

In this section, we analyze fund performance persistence over time across the investment

styles and regional groups in the sample. To this end and following the literature, we

estimate conditional transition probabilities to measure the ability of funds to repeat given

previous performances. Given that the sample size is relatively small, we follow the early

literature on North American focused funds in using performance terciles to estimate

performance transition matrices13. To this end, we limit the sample to funds that have at

least one follow-on fund. Then, we sort the funds according to their performance into

terciles. As in our previous analyses, we use the PME measure against the S&P500 as a

performance measure14. We then estimate conditional probabilities that a given

partnership’s follow-on fund falls into the same tercile as the previous fund. We calculate

separate transition matrices for separate investment styles and geographical focus groups,

and tabulate the results in Table 5.

[Table 5 around here]

We find evidence of performance persistence in the overall sample. Funds in the top

tercile have a 49% chance of repeating among the top performing funds. Persistence is

somewhat stronger for worse performing funds, where there are higher chances for funds

to remain in the bottom tercile than for good performing funds to remain in the top tercile.

13
Early papers that studied private equity performance were similarly faced with smaller samples. In the
earliest literature on persistence, particularly the seminal paper studying North American funds of Kaplan
and Schoar (2005), the authors use a sample of 398 funds. As access to more data on North American funds
grew over the years, sample sizes increased allowing for more refined quantiles to be analyzed.
14
The results are qualitatively unchanged using other performance measures (TVPI) and other benchmarks
for the PME calculations.

20
Over time, persistence has significantly declined after the 2008 financial crisis for the

total sample, where the GPs’ ability to repeat among the top performing has almost

halved, and that of the worse performing funds to repeat among the worse has doubled.

To get a sense of the persistence results by investment style, we divide the sample into

later stage funds (i.e. buyout funds), and early stage funds (venture capital and growth

funds15). Persistence is stronger for early stage funds than it is for later stage funds for the

total sample. For later stage funds, this is true at both ends of the distribution, where top

performers persistently stay top performers and bad performers consistently remain bad

performers. An interesting result is that the middle tercile funds, have higher chances of

moving to the top tercile than to remain in the same tercile or move to the bottom tercile

for buyout funds. We do find some evidence of significantly changing performance

persistence over time by investment strategy. The transition probabilities are random prior

to the 2007 vintages for early stage investments, while there is evidence of strong

persistence for buyout funds. For funds raised after the financial crisis, persistence has

significantly declined for buyouts, with top performing funds repeating only 26% of the

time, while it spiked for venture capital funds at 73% chance of repeating among the top

for the best funds. In comparison with the literature on North American funds, we find

these results qualitatively similar. In North America, buyout fund performance has

declined over time, while there is evidence of marked persistence in venture capital funds

(Harris et al., 2022).

By investment geographical focus, we do not find any evidence of performance

persistence in the Asia Pacific region nor in other parts of the world both individually and

15
We group the sample of venture capital and growth funds to have a relatively meaningful number of
funds for these analyses, as the number of growth funds is small in the sample. We get similar results by
restricting this test to pure strategies although the sample sizes are relatively small.

21
collectively. A chi-square test for the equality of terciles is insignificant. We conclude

with regards to the results in Table 3 that fund performances are rather explained by local

market conditions. European funds show relative top quartile persistence, with top

performing funds repeating 54% of the time and having an at most chance of falling into

one of the below terciles of 31%. Bad performing funds in Europe remain in the lower

tercile 62% of the time. Although persistence dropped after the financial crisis, average

tercile PME measures show that European funds still delivered on top and above par with

the public market even for the middle tercile, highlighting significant GP skill for

European funds even if investors are with the average GP. The same id true for global

funds, where we find significant persistence at both ends of the distribution. Top

performing funds and worse performing funds consistently remain so. Funds in the

middle tercile have higher chances of moving to the lower tercile than making it to the

top terciles. There is a marked difference between performance terciles both for European

funds and globally investing funds, where the chi-square test for the equality of terciles

is significant at the 1% level for both geographical groups. We do find marked drops in

performance persistence for global funds after the financial crisis, even though average

tercile PMEs are at stronger levels than observed for European funds.

Overall, performance seems to pertain markedly to individual GP skill for European and

global funds, while market conditions seem to rather drive the success of funds in Asia

Pacific and other parts of the world.

22
6 Conclusion

Academic studies of private equity performance outside the North American scope have

so far been hindered by the lack of data. We exploit newly available data from

Eurekahedge and merge it with Preqin cashflow data to draw a first picture of the

geographical distribution and characteristics of fund performance. Our sample comprises

614 partnerships totaling over a trillion dollars in committed capital across 34 countries.

We present some of the characteristics of these funds in terms of contractual designs and

absolute returns, and assess their performances relative to a variety of public market

equities. We also investigate the relationship between fund performance and fund

characteristics, and study performance persistence over time, across investment styles,

and geographical focuses. We find evidence of superior returns and strong persistence in

Europe, although performance declines over time. Funds focused on Asia Pacific and

other parts of the world do not particularly exhibit strong returns or persistence and have

disappointed overall. Non-North American funds persistently repeat at both ends of the

distribution, where both top performers and bad performers consistently fall within

similar tercile returns over time. Persistence has considerably declined after 2008,

although top performing funds continue to show marked outperformance compared to

both public equities and the typical fund in the sample across all geographical groups.

23
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Johan, S., & Zhang, M. (2016). Private equity exits in emerging markets. Emerging
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25
Table 1: Number of funds
This table shows the distribution of private equity funds throughout the sample vintages by investment style (Panel
A) and geographical focus (Panel B). We consider corporate strategies only, namely buyouts, growth equity and
venture capital. Values are expressed in 2018 US dollars. Regional or local funds are funds backed with a firm in-
situ or in a neighboring country.

Panel A – By vintage year and investment strategy

Number of Total Committed Capital Number of regional or

Investment Strategy Vintage year
funds (in 2018 USDm) local funds
1990 1 2,546 1
1992 1 341 1
1993 2 467 1
1994 2 3,320 2
1995 4 5,753 3
1996 7 16,120 5
1997 6 5,259 4
1998 15 39,208 11
1999 6 59,692 6
2000 7 27,051 4
2001 11 38,127 6
2002 5 15,725 5
2003 6 26,826 5
Buyout 2004 8 11,204 7
2005 21 64,913 19
2006 23 98,121 21
2007 32 80,779 30
2008 34 159,671 31
2009 14 33,627 12
2010 12 8,319 11
2011 31 37,496 29
2012 22 39,686 19
2013 27 41,592 25
2014 30 46,912 27
2015 31 26,888 30
2016 40 56,134 27
2017 17 17,348 16
Buyout Total/Average 415 963,126 358
1990 1 233 1
1993 1 680 1
1995 1 419 1
2001 1 241 1
2005 4 2,587 2
2006 1 250 1
2007 7 5,033 7
2008 13 11,919 12
Growth Equity 2009 2 1,615 1
2010 6 5,790 4
2011 8 3,549 8
2012 6 3,928 4
2013 8 3,318 7
2014 13 5,999 13
2015 9 7,546 9
2016 6 3,364 1
2017 5 1,172 2
Growth Total/Average 92 57,642 75

26
Table 1: Number of funds – Continued
Panel A – By vintage year and investment strategy – Continued

Number of Total Committed Capital Number of regional or

Investment Strategy Vintage year
funds (in 2018 USDm) local funds
1990 3 2,286 3
1991 1 20 1
1992 1 88 1
1995 1 3,217 1
1996 2 241 1
1997 2 872 2
1998 1 623 0
2000 7 4,334 5
2001 6 1,963 4
2002 1 32 1
2003 1 195 1
2004 3 970 2
Venture Capital 2005 4 727 4
2006 3 614 3
2007 8 2,338 7
2008 7 2,435 4
2009 4 1,673 4
2010 2 207 2
2011 6 2,203 5
2012 5 1,850 4
2013 7 4,289 5
2014 6 1,466 5
2015 11 2,926 9
2016 10 1,788 3
2017 5 1,703 1
VC Total/Average 107 39,063 78
Overall Total/Average 614 1,059,831 511

27
Table 1: Number of funds – Continued
Panel B – By vintage year and geographical focus

Number of Number of
Number of Total Committed
Geographical focus Vintage year regional or local buyout
funds Capital (USDm)
funds funds
1991 1 20 1 0
1995 2 759 1 2
1998 1 276 1 1
2000 2 2,198 2 1
2001 4 3,561 3 3
2004 3 1,870 3 3
2005 7 9,170 5 3
2006 8 12,831 8 6
2007 12 16,608 11 6
Asia Pacific 2008 22 28,931 18 8
2009 5 4,705 4 2
2010 8 8,421 7 4
2011 15 14,350 14 7
2012 9 12,581 4 5
2013 13 23,044 12 9
2014 19 20,648 18 7
2015 17 26,651 15 7
2016 12 27,987 9 8
2017 2 7,145 1 1
Asia Pacific Total/Average 162 221,755 137 83
1990 5 5,066 5 1
1992 1 341 1 1
1993 3 1,147 2 2
1994 2 3,320 2 2
1995 3 8,212 3 2
1996 5 13,074 3 5
1997 5 5,138 4 4
1998 12 35,224 8 12
1999 6 59,692 6 6
2000 9 26,588 5 6
2001 14 36,770 8 8
2002 6 15,757 6 5
2003 5 26,007 5 5
Europe 2004 5 9,334 4 5
2005 20 58,688 18 17
2006 17 79,551 16 15
2007 27 66,109 25 21
2008 28 139,918 26 24
2009 15 32,211 13 12
2010 11 4,008 9 7
2011 21 19,139 20 15
2012 20 31,488 20 15
2013 25 21,540 22 17
2014 25 29,194 24 19
2015 32 8,684 31 23
2016 33 30,074 20 26
2017 21 12,578 18 16
Europe Total/Average 376 778,851 324 291

28
Table 1: Number of funds – Continued
Panel B – By vintage year and geographical focus – continued

Number of Number of
Number of Total Committed
Geographical focus Vintage year regional or local buyout
funds Capital (USDm)
funds funds
1992 1 88 1 0
1995 1 419 1 0
1996 4 3,287 3 2
1997 3 992 2 2
1998 3 4,330 2 2
2000 3 2,599 2 0
2003 2 1,014 1 1
2004 3 970 2 0
2005 2 369 2 1
2006 2 6,604 1 2
ROW
2007 8 5,432 8 5
2008 4 5,177 3 2
2010 1 1,887 1 1
2011 9 9,760 8 9
2012 4 1,395 3 2
2013 4 4,615 3 1
2014 5 4,535 3 4
2015 2 2,026 2 1
2016 11 3,226 2 6
2017 4 500 0 0
ROW Total /Average 76 59,225 50 41
Overall Total /Average 614 1,059,831 511 415

29
Table 2: Money multiples
This table shows the average and median money multiple of the funds in the sample, by investment style and
geographical focus. The money multiple for the individual funds is the TVPI (total value to paid-in), calculated as
the ratio of (i) the total distributions to investors plus the residual value of the fund, and (ii) the total fund
commitments.

Panel A – By vintage year and investment strategy

Investment Strategy Vintage year Number of funds Average TVPI Median TVPI
1990 1 1.32 1.32
1992 1 1.59 1.59
1993 2 1.80 1.80
1994 2 2.05 2.05
1995 4 1.10 0.68
1996 7 1.97 1.62
1997 6 0.89 0.94
1998 15 1.60 1.30
1999 6 1.63 1.22
2000 7 1.87 1.94
2001 11 1.90 1.58
2002 5 2.12 2.00
2003 6 2.55 1.82
Buyout 2004 8 1.26 1.16
2005 21 1.24 1.28
2006 23 1.09 1.01
2007 32 1.10 1.11
2008 34 1.38 1.25
2009 14 0.99 0.89
2010 12 1.06 0.87
2011 31 1.09 1.09
2012 22 0.96 0.92
2013 27 0.77 0.60
2014 30 0.76 0.49
2015 31 0.50 0.36
2016 40 0.68 0.59
2017 17 0.17 0.11
Buyout Total/Average 415 1.31 1.17
1990 1 1.07 1.07
1993 1 2.75 2.75
1995 1 1.05 1.05
2001 1 1.06 1.06
2005 4 2.35 1.68
2006 1 1.92 1.92
2007 7 0.95 0.97
2008 13 1.59 0.75
Growth Equity 2009 2 0.97 0.97
2010 6 0.81 0.68
2011 8 0.97 1.12
2012 6 0.60 0.32
2013 8 1.20 1.36
2014 13 0.67 0.77
2015 9 0.80 0.89
2016 6 0.51 0.52
2017 5 1.17 1.17
Growth Equity Total/Average 92 1.20 1.12

30
Table 2: Money multiples – continued

Panel A – By vintage year and investment strategy – continued

Investment Strategy Vintage year Number of funds Average TVPI Median TVPI
1990 3 2.47 2.33
1991 1 1.10 1.10
1992 1 2.79 2.79
1995 1 1.21 1.21
1996 2 0.56 0.56
1997 2 2.46 2.46
1998 1 0.35 0.35
2000 7 0.94 0.88
2001 6 0.86 0.63
2002 1 0.88 0.88
2003 1 0.21 0.21
2004 3 0.72 0.14
Venture Capital 2005 4 0.69 0.73
2006 3 1.38 0.87
2007 8 1.27 1.16
2008 7 1.41 0.32
2009 4 1.53 1.38
2010 2 2.08 2.08
2011 6 0.95 0.97
2012 5 1.35 1.21
2013 7 1.33 1.17
2014 6 0.52 0.20
2015 11 0.49 0.43
2016 10 0.58 0.55
2017 5 0.45 0.45
Venture Capital Total/Average 107 1.14 1.00
Overall Total/Average 614 1.22 1.10

31
Table 2: Money multiples – continued

Panel B – By vintage year and geographical focus

Number of
Geographical focus Vintage year Average TVPI Median TVPI
funds
1991 1 1.10 1.10
1995 2 0.68 0.68
1998 1 0.13 0.13
2000 2 1.09 1.09
2001 4 1.53 1.43
2004 3 0.81 0.79
2005 7 1.95 1.38
2006 8 0.80 0.57
2007 12 1.02 0.67
Asia Pacific* 2008 22 1.11 0.70
2009 5 1.40 1.65
2010 8 0.56 0.43
2011 15 0.79 0.45
2012 9 0.56 0.28
2013 13 1.06 1.20
2014 19 0.55 0.32
2015 17 0.53 0.46
2016 12 0.46 0.24
2017 2 - -
Asia Pacific Total/Average 162 0.99 0.75
1990 5 1.96 2.28
1992 1 1.59 1.59
1993 3 2.12 2.56
1994 2 2.05 2.05
1995 3 1.42 1.21
1996 5 2.38 2.21
1997 5 1.40 1.36
1998 12 1.93 1.64
1999 6 1.63 1.22
2000 9 1.52 1.78
2001 14 1.50 1.39
2002 6 1.91 1.91
2003 5 2.93 2.21
Europe 2004 5 1.53 1.52
2005 20 1.17 1.19
2006 17 1.36 1.47
2007 27 1.19 1.17
2008 28 1.78 1.52
2009 15 0.99 0.99
2010 11 1.45 1.48
2011 21 1.30 1.33
2012 20 1.16 1.21
2013 25 0.76 0.81
2014 25 0.93 0.99
2015 32 0.57 0.43
2016 33 0.66 0.57
2017 21 0.51 0.38
Europe Total/Average 376 1.47 1.42

32
Table 2: Money multiples – continued

Panel B – By vintage year and geographical focus – continued

Geographical focus Vintage year Number of funds Average TVPI Median TVPI
1992 1 2.79 2.79
1995 1 1.05 1.05
1996 4 0.76 0.94
1997 3 1.07 0.47
1998 3 0.37 0.35
2000 3 1.26 1.47
2003 2 0.45 0.45
2004 3 0.72 0.14
2005 2 0.54 0.54
2006 2 0.86 0.86
ROW*
2007 8 0.99 1.04
2008 4 0.82 0.78
2010 1 0.59 0.59
2011 9 0.92 1.04
2012 4 0.68 0.67
2013 4 1.68 1.68
2014 5 0.48 0.35
2015 2 0.31 0.31
2016 11 0.91 0.92
2017 4 - -
ROW Total /Average 76 0.91 0.87
Overall Total /Average 614 1.14 1.07

*
The funds in the 2017 vintages for these geographical groups have not made any distributions, hence the TVPI is not
calculated.

33
Table 3: Fund PMEs
This table shows the vintage year average PMEs by fund investment strategy and geographical focus. The reported PMEs are computed relative to a similar timed
investment in the international and regional MSCI indices, as well as the S&P500 and the Russell smaller indices (2000, 2000 Growth, 2000 Value).

Panel A – By vintage year and investment strategy

MSCI Europe, Australia

Investment Strategy Vintage MSCI World MSCI Europe S&P500 Russell 2000 Russell 2000 Growth
and Far East
1990 0.92 1.03 0.87 0.80 0.79 0.84
1992 1.43 1.52 1.40 1.33 1.37 1.47
1993 1.66 1.71 1.63 1.62 1.65 1.68
1994 1.81 1.97 1.75 1.66 1.74 1.88
1995 1.06 1.05 1.04 1.07 1.00 1.05
1996 1.87 1.89 1.85 1.85 1.74 1.85
1997 0.88 0.87 0.87 0.90 0.80 0.87
1998 1.58 1.56 1.55 1.60 1.40 1.54
1999 1.57 1.55 1.54 1.60 1.48 1.53
2000 1.65 1.63 1.63 1.70 1.55 1.56
2001 1.76 1.80 1.80 1.75 1.69 1.66
2002 1.77 1.73 1.73 1.83 1.71 1.70
2003 2.40 2.52 2.52 2.31 2.29 2.25
Buyout 2004 1.20 1.25 1.25 1.17 1.16 1.13
2005 1.16 1.25 1.26 1.09 1.07 1.03
2006 0.97 1.06 1.06 0.90 0.89 0.86
2007 1.00 1.06 1.06 0.96 0.96 0.94
2008 1.28 1.33 1.32 1.25 1.26 1.25
2009 1.03 1.03 1.04 1.04 1.09 1.10
2010 1.06 1.06 1.06 1.07 1.07 1.08
2011 1.16 1.12 1.13 1.21 1.19 1.20
2012 1.03 1.00 1.00 1.07 1.06 1.08
2013 0.85 0.82 0.82 0.88 0.87 0.88
2014 0.84 0.80 0.79 0.88 0.86 0.87
2015 0.66 0.64 0.64 0.68 0.67 0.66
2016 0.86 0.85 0.85 0.86 0.88 0.88
2017 0.63 0.63 0.63 0.63 0.62 0.62
Buyout Total/Average 1.26 1.29 1.26 1.25 1.22 1.24
Total/Average 2010s 0.89 0.87 0.87 0.91 0.90 0.91
Total/Average 2000s 1.42 1.47 1.47 1.40 1.37 1.35
Total/Average 1990s 1.42 1.46 1.39 1.38 1.33 1.41

34
Table 3: Fund PMEs – continued

Panel A – By vintage year and investment strategy – continued

MSCI Europe, Australia

Investment Strategy Vintage MSCI World MSCI Europe S&P500 Russell 2000 Russell 2000 Growth
and Far East
1990 0.92 1.00 0.89 0.83 0.85 0.95
1993 1.71 2.11 1.51 1.35 1.67 1.89
1995 0.86 0.94 0.80 0.77 0.71 0.93
2001 1.04 1.06 1.07 1.03 1.00 0.97
2005 2.34 2.37 2.37 2.32 2.32 2.29
2006 2.32 2.84 2.98 2.00 1.88 1.67
2007 0.83 0.89 0.89 0.78 0.77 0.76
2008 1.50 1.52 1.51 1.49 1.51 1.50
Growth Equity 2009 1.02 1.02 1.03 1.03 1.07 1.08
2010 0.84 0.82 0.82 0.86 0.87 0.89
2011 0.99 0.99 0.99 0.99 1.00 1.00
2012 0.62 0.61 0.61 0.63 0.63 0.63
2013 1.20 1.15 1.16 1.24 1.21 1.23
2014 0.79 0.76 0.74 0.82 0.80 0.81
2015 0.87 0.85 0.84 0.89 0.90 0.89
2016 0.64 0.64 0.63 0.65 0.66 0.66
2017 1.01 1.01 1.01 1.01 1.00 1.01
Growth Equity Total/Average 1.15 1.21 1.17 1.10 1.11 1.13
Total/Average 2010s 0.87 0.85 0.85 0.89 0.88 0.89
Total/Average 2000s 1.51 1.62 1.64 1.44 1.43 1.38
Total/Average 1990s 1.17 1.35 1.06 0.98 1.08 1.25

35
Table 3: Fund PMEs – continued

Panel A – By vintage year and investment strategy – continued

MSCI Europe,
Investment Strategy Vintage MSCI World MSCI Europe S&P500 Russell 2000 Russell 2000 Value
Australia and Far East
1990 1.71 1.97 1.61 1.47 1.60 1.54
1991 0.65 0.74 0.62 0.56 0.56 0.57
1992 2.79 2.79 2.79 2.79 2.79 2.79
1995 1.16 1.16 1.15 1.17 1.09 1.06
1996 0.56 0.56 0.56 0.56 0.56 0.56
1997 2.36 2.36 2.39 2.37 2.30 2.29
1998 0.34 0.33 0.33 0.34 0.32 0.31
2000 0.88 0.89 0.90 0.87 0.83 0.83
2001 0.73 0.74 0.75 0.75 0.69 0.71
2002 0.69 0.75 0.75 0.66 0.62 0.65
2003 0.18 0.19 0.19 0.18 0.17 0.17
2004 0.74 0.74 0.74 0.73 0.73 0.73
Venture Capital 2005 0.62 0.71 0.72 0.56 0.55 0.57
2006 1.09 1.29 1.32 0.95 0.92 0.96
2007 1.09 1.14 1.14 1.06 1.06 1.07
2008 1.41 1.41 1.41 1.41 1.41 1.41
2009 1.67 1.66 1.67 1.68 1.74 1.73
2010 2.14 2.07 2.08 2.22 2.27 2.20
2011 1.11 1.08 1.10 1.15 1.15 1.13
2012 1.49 1.44 1.44 1.54 1.54 1.51
2013 1.39 1.30 1.30 1.48 1.43 1.40
2014 0.94 0.90 0.89 0.97 0.98 0.96
2015 0.79 0.76 0.75 0.82 0.80 0.81
2016 0.84 0.83 0.82 0.84 0.86 0.87
2017 0.57 0.58 0.58 0.57 0.57 0.57
Venture Capital Total/Average 1.12 1.14 1.12 1.11 1.10 1.10
Total/Average 2010s 1.16 1.12 1.12 1.19 1.19 1.17
Total/Average 2000s 0.91 0.95 0.96 0.88 0.87 0.88
Total/Average 1990s 1.37 1.42 1.35 1.32 1.32 1.30
Overall Total/Average 1.18 1.21 1.19 1.16 1.15 1.16

36
Table 3: Fund PMEs – continued

Panel B – By vintage year and geographical focus

MSCI Europe, Russell 2000 Russell 2000

Geographical focus Vintage MSCI World MSCI Europe S&P500 Russell 2000
Australia and Far East Growth Value
1991 0.65 0.74 0.62 0.56 0.56 0.58 0.57
1995 0.66 0.65 0.65 0.67 0.63 0.64 0.61
1998 0.12 0.12 0.12 0.12 0.11 0.11 0.11
2000 0.97 1.01 1.00 0.95 0.89 0.88 0.91
2001 1.44 1.50 1.50 1.39 1.34 1.30 1.39
2004 0.80 0.83 0.83 0.77 0.77 0.75 0.79
2005 1.91 1.97 1.98 1.86 1.84 1.80 1.88
2006 0.77 0.86 0.88 0.71 0.68 0.65 0.72
2007 0.93 0.97 0.97 0.90 0.91 0.90 0.92
Asia Pacific 2008 1.06 1.07 1.07 1.05 1.06 1.06 1.06
2009 1.50 1.46 1.46 1.55 1.59 1.62 1.57
2010 0.52 0.54 0.54 0.52 0.52 0.53 0.52
2011 0.81 0.80 0.80 0.82 0.81 0.82 0.81
2012 0.62 0.62 0.62 0.63 0.63 0.63 0.62
2013 1.13 1.11 1.12 1.16 1.14 1.16 1.12
2014 0.69 0.67 0.66 0.71 0.69 0.70 0.69
2015 0.70 0.67 0.66 0.71 0.71 0.70 0.72
2016 0.66 0.65 0.65 0.67 0.68 0.68 0.68
2017 - - - - - - -
Asia Pacific Total/Average 0.89 0.90 0.90 0.88 0.87 0.86 0.87
Total/Average 2010s 0.73 0.72 0.72 0.75 0.74 0.74 0.74
Total/Average 2000s 1.17 1.21 1.21 1.15 1.14 1.12 1.16
Total/Average 1990s 0.77 0.81 0.78 0.74 0.71 0.70 0.72

37
Table 3: Fund PMEs – continued

Panel B – By vintage year and geographical focus – continued

MSCI Europe, Russell 2000 Russell 2000

Geographical focus Vintage MSCI World MSCI Europe S&P500 Russell 2000
Australia and Far East Growth Value
1990 1.40 1.59 1.32 1.21 1.29 1.39 1.23
1992 1.43 1.52 1.40 1.33 1.37 1.47 1.31
1993 1.68 1.84 1.59 1.53 1.66 1.75 1.61
1994 1.81 1.97 1.75 1.66 1.74 1.88 1.64
1995 1.37 1.36 1.34 1.37 1.29 1.35 1.23
1996 2.26 2.30 2.25 2.21 2.13 2.25 2.06
1997 1.37 1.35 1.37 1.39 1.26 1.36 1.21
1998 1.90 1.88 1.87 1.92 1.68 1.86 1.57
1999 1.57 1.55 1.54 1.60 1.48 1.53 1.45
2000 1.34 1.32 1.33 1.38 1.24 1.25 1.23
2001 1.36 1.38 1.38 1.37 1.31 1.29 1.34
2002 1.59 1.57 1.57 1.64 1.53 1.51 1.54
2003 2.74 2.89 2.89 2.64 2.62 2.56 2.68
Europe 2004 1.45 1.51 1.51 1.41 1.40 1.36 1.45
2005 1.09 1.18 1.19 1.02 1.00 0.96 1.04
2006 1.19 1.32 1.33 1.09 1.07 1.04 1.10
2007 1.04 1.11 1.11 0.99 0.99 0.97 1.01
2008 1.67 1.71 1.71 1.63 1.64 1.63 1.65
2009 1.05 1.06 1.06 1.04 1.09 1.09 1.09
2010 1.51 1.48 1.49 1.55 1.56 1.59 1.54
2011 1.38 1.35 1.36 1.42 1.42 1.43 1.41
2012 1.26 1.22 1.22 1.30 1.30 1.33 1.28
2013 0.86 0.80 0.81 0.90 0.88 0.90 0.86
2014 0.99 0.94 0.92 1.03 1.01 1.02 0.99
2015 0.77 0.74 0.74 0.79 0.78 0.77 0.79
2016 0.85 0.85 0.84 0.85 0.87 0.87 0.87
2017 0.73 0.73 0.74 0.73 0.72 0.73 0.72
Europe Total/Average 1.39 1.43 1.39 1.37 1.34 1.38 1.33
Total/Average 2010s 1.04 1.01 1.02 1.07 1.07 1.08 1.06
Total/Average 2000s 1.45 1.51 1.51 1.42 1.39 1.37 1.41
Total/Average 1990s 1.64 1.71 1.60 1.58 1.54 1.65 1.48

38
Table 3: Fund PMEs – continued

Panel B – By vintage year and geographical focus – continued

MSCI Europe, Russell 2000 Russell 2000

Geographical focus Vintage MSCI World MSCI Europe S&P500 Russell 2000
Australia and Far East Growth Value
1992 2.79 2.79 2.79 2.79 2.79 2.79 2.79
1995 0.86 0.94 0.80 0.77 0.71 0.93 0.58
1996 0.73 0.71 0.72 0.74 0.67 0.71 0.63
1997 1.06 1.05 1.05 1.06 1.05 1.05 1.04
1998 0.35 0.34 0.34 0.36 0.34 0.35 0.33
2000 1.24 1.25 1.25 1.24 1.23 1.23 1.24
2003 0.43 0.44 0.44 0.43 0.43 0.43 0.43
2004 0.74 0.74 0.74 0.73 0.73 0.74 0.73
2005 0.53 0.54 0.55 0.52 0.52 0.51 0.52
2006 0.78 0.83 0.83 0.74 0.73 0.72 0.75
ROW
2007 0.91 0.94 0.93 0.90 0.88 0.86 0.90
2008 0.77 0.80 0.80 0.75 0.75 0.74 0.77
2010 0.59 0.59 0.59 0.60 0.60 0.60 0.60
2011 1.08 1.02 1.03 1.14 1.13 1.14 1.11
2012 0.77 0.74 0.73 0.80 0.79 0.81 0.78
2013 1.61 1.52 1.51 1.69 1.63 1.64 1.62
2014 0.66 0.60 0.58 0.71 0.67 0.69 0.66
2015 0.33 0.32 0.32 0.34 0.36 0.35 0.37
2016 0.99 0.97 0.96 0.99 1.03 1.02 1.04
2017 0.83 0.83 0.83 0.83 0.83 0.83 0.83
ROW Total /Average 0.90 0.90 0.89 0.91 0.89 0.91 0.89
Total/Average 2010s 0.86 0.82 0.82 0.89 0.88 0.89 0.88
Total/Average 2000s 0.77 0.79 0.79 0.76 0.75 0.75 0.76
Total/Average 1990s 1.16 1.17 1.14 1.15 1.11 1.17 1.07
Overall Total /Average 1.09 1.10 1.08 1.07 1.06 1.07 1.05

39
Table 4: The relationship between fund performance and fund characteristics
The dependent variable is the fund PME relative to the S&P500. Non North American-focused is a dummy variable
equal to 1 if the fund’s investment focus is not North America. Regional or Local is a dummy variable which is set
to one if the private equity firm is based in the same region or country as the investment focus of the fund. Fund
regional distribution is established following the MSCI classification. Size is the natural logarithm of the fund’s total
commitments in 2018 dollars. Fund age is a variable to proxy for the fund’s duration, expressed as the difference in
years between the fund’s last distribution date and first capital call date. Fund sequence is the fund’s sequence number
within the fund family by the same GP. Standard errors are double clustered by firm and vintage year. t-statistics are
reported in brackets. ***, ** and * denote significance at the 1%, 5% and 10% level respectively.

Panel A – By investment style

Total Sample Buyouts Venture Capital Growth Equity

Non North American-focused -0.207 -0.058 -0.243 -0.438

(-0.74) (-0.19) (-0.32) (-0.50)

Regional or Local -0.297 -0.315 -0.055 -0.945

(-1.51) (-1.37) (-0.14) (-1.22)

Size 0.032 0.043 -0.006 0.017

-1.140 -1.090 (-0.10) -0.120

Fund age -0.047*** -0.030* -0.057** -0.102*

(-3.37) (-1.90) (-2.09) (-1.68)

Fund Sequence -0.249*** -0.208*** -0.227** 0.045

(-4.34) (-3.35) (-2.33) -0.310

Constant 1.193 0.949 2.607*** 1.954

-1.280 -0.720 -2.670 -1.510

Vintage year, Style and Firm dummies Yes - - -

Vintage year and Firm dummies - Yes Yes Yes

Adj. R-sq 0.16 0.30 0.15 0.43

N. obs 2,591 1,389 875 327

40
Table 4: The relationship between fund performance and fund characteristics – continued
The dependent variable is the fund PME relative to the S&P500. Non North American-Focus is a dummy variable
equal to 1 if the fund’s investment focus is not North America. Regional or Local is a dummy variable which is set
to one if the private equity firm is based in the same region or country as the investment focus of the fund, or, for
global funds, has a local branch. Regional distribution is established following the MSCI classification. Size is the
natural logarithm of the fund’s total commitments in 2018 dollars. Fund age is a variable to proxy for the fund’s
age, expressed as the difference in years between the fund’s first capital call date and the last distribution date. Fund
sequence is the fund’s sequence number within the fund family by the same GP. Standard errors are double clustered
by firm and vintage year. t-statistics are reported in brackets. ***, ** and * denote significance at the 1%, 5% and 10%
level respectively.

Panel B – By geographical focus

Asia Pacific Europe North America ROW

and Global
Regional or Local 0.123 0.196 1.607** -0.201

-0.35 -0.6 -2.17 (-0.57)

Size 0.101 -0.015 0.049 -0.267***

-0.41 (-0.47) -1.21 (-2.99)

Fund age -0.262*** -0.091*** -0.046*** 0.057

(-2.61) (-3.15) (-2.89) -1.26

Fund Sequence -0.097 -0.222** -0.261*** 0.288***

(-0.69) (-2.23) (-3.92) -3.13

Global 2.117***

-2.77

Constant 2.314 3.429*** 0.983 2.893*

-0.73 -2.91 -1.43 -1.68

Vintage year, Style and Firm dummies Yes Yes Yes Yes

Adj. R-sq 0.49 0.43 0.15 0.88

N. obs 158 349 2,022 62

41
Table 5: Performance persistence
This table reports the performance transition probabilities across fund performance terciles. Performance is measured as the fund’s PME relative to the S&P500.
Separate estimations are provided by time periods, investment styles and geographical focus.

Panel A – By investment style

Total sample
All funds Pre-2009 Post-2008 Average Tercile PME
1st 2nd 3rd N 1st 2nd 3rd N 1st 2nd 3rd N All funds Pre-2009 Post-2008
1st 48.8% 32.9% 18.3% 82 60.0% 32.5% 7.5% 40 38.1% 33.3% 28.6% 42 1.43 1.70 1.17
2nd 28.2% 49.5% 22.3% 103 31.0% 48.3% 20.7% 29 27.0% 50.0% 23.0% 74 1.04 1.09 1.02
3rd 12.9% 21.2% 65.9% 85 7.7% 53.9% 38.5% 13 13.9% 15.3% 70.8% 72 0.58 0.64 0.57
Buyouts
All funds Pre-2009 Post-2008 Average Tercile PME
1st 2nd 3rd N 1st 2nd 3rd N 1st 2nd 3rd N All funds Pre-2009 Post-2008
1st 46.9% 31.3% 21.9% 64 66.7% 27.3% 6.1% 33 25.8% 35.5% 38.7% 31 1.39 1.81 0.94
2nd 31.2% 45.5% 23.4% 77 30.4% 52.2% 17.4% 23 31.5% 42.6% 25.9% 54 1.05 1.07 1.05
3rd 13.3% 16.7% 70.0% 60 0.0% 50.0% 50.0% 6 14.8% 13.0% 72.2% 54 0.55 0.48 0.56
Venture Capital and Growth Equity
All funds Pre-2009 Post-2008 Average Tercile PME
1st 2nd 3rd N 1st 2nd 3rd N 1st 2nd 3rd N All funds Pre-2009 Post-2008
1st 55.6% 38.9% 5.6% 18 28.6% 57.1% 14.3% 7 72.7% 27.3% 0.0% 11 1.57 1.16 1.83
2nd 19.2% 61.5% 19.2% 26 33.3% 33.3% 33.3% 6 15.0% 70.0% 15.0% 20 0.99 1.15 0.95
3rd 12.0% 32.0% 56.0% 25 14.3% 57.1% 28.6% 7 11.1% 22.2% 66.7% 18 0.67 0.78 0.63

42
Table 5: Performance persistence – continued

Panel B – By investment geography

Europe
All funds Pre-2009 Post-2008 Average Tercile PME
1st 2nd 3rd N 1st 2nd 3rd N 1st 2nd 3rd N All funds Pre-2009 Post-2008
1st 53.5% 31.0% 15.5% 58 66.7% 30.0% 3.3% 30 39.3% 32.1% 28.6% 28 1.51 1.88 1.12
2nd 34.7% 46.7% 18.7% 75 38.1% 42.9% 19.1% 21 33.3% 48.2% 18.5% 54 1.11 1.13 1.10
3rd 16.2% 21.6% 62.2% 37 25.0% 75.0% 0.0% 4 15.2% 15.2% 69.7% 33 0.65 0.95 0.61
Global funds
All funds Pre-2009 Post-2008 Average Tercile PME
1st 2nd 3rd N 1st 2nd 3rd N 1st 2nd 3rd N All funds Pre-2009 Post-2008
1st 57.3% 24.3% 18.5% 103 69.7% 19.7% 10.6% 66 35.1% 32.4% 32.4% 37 2.12 2.57 1.30
2nd 33.9% 28.6% 37.5% 56 50.0% 25.0% 25.0% 20 25.0% 30.6% 44.4% 36 1.25 1.79 0.95
3rd 11.0% 17.8% 71.2% 73 21.1% 26.3% 52.6% 19 7.4% 14.8% 77.8% 54 0.58 0.99 0.44
Asia Pacific and ROW
All funds Pre-2009 Post-2008 Average Tercile PME
1st 2nd 3rd N 1st 2nd 3rd N 1st 2nd 3rd N All funds Pre-2009 Post-2008
1st 37.5% 37.5% 25.0% 24 40.0% 40.0% 20.0% 10 35.7% 35.7% 28.6% 14 1.21 1.14 1.27
2nd 10.7% 57.1% 32.1% 28 12.5% 62.5% 25.0% 8 10.0% 55.0% 35.0% 20 0.85 0.97 0.80
3rd 10.4% 20.8% 68.8% 48 0.0% 44.4% 55.6% 9 12.8% 15.4% 71.8% 39 0.53 0.50 0.54

43
 Internet Appendix
Private Equity Fund Performance around the World
Ain Tommar, Darolles and Jurczenko

Private Equity Fund Performance around the World

Sara Ain Tommar Serge Darolles Emmanuel Jurczenko

SUPPLEMENTARY RESULTS

In the below sections, we present and briefly discuss supplementary information and additional results to

the main analyses in the paper.

S1. On the quality of fund data in the merged sample of Eurekahedge and Preqin

Using the combined sample of fund cashflows from Eurekahedge and Preqin, we replicate and report in the

tables below the main analyses of Harris et al. (2014) on fund performance, and Harris et al. (2022) on fund

performance persistence for North American-focused funds. The objective of these analyses is to test the

quality of our sample’s data, by checking whether the coverage of funds allows to replicate the conventional

findings on private equity performance and persistence, before extending the use of the data to other

international markets. We find the results generally aligned with the literature and conclude that the

combined data is unlikely to suffer data quality issues.

S1.1. Table S1-1 compares the coverage of North American-focused funds in the combined Eurekahedge

and Preqin sample, relative to other private equity data as reported by Harris et al. (2014). Harris et

al. (2014) use the Burgiss data. Kaplan and Schoar (2005) use Venture Economics data, and Robinson

and Sensoy (2011)a use proprietary data from a large, anonymous investor. Harris et al. (2022) use

the Burgiss data and provide recently updated statistics. Our sample comprises 1,565 unique,

corporate-focused, North American invested private equity funds that have cash flow information,

including 863 buyout funds and 702 venture capital funds. The total sample is represents 73% of the

number of funds in Harris et al. (2014) in the overlap period (between 1984 and 2008), and 63% of

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Ain Tommar, Darolles and Jurczenko

the same universe in more recent statistics by Harris et al. 2022, for vintages between 1984 and 2015.

By fund strategy, the combined Eurekahedge and Preqin sample of buyout funds represents about

85% of the reported number of funds in Harris et al. (2014, 2022). For venture capital funds, our

sample roughly covers between one half to two thirds of the number of funds in Harris et al., (2014,

2022).

S1.2. Table S1-2 shows the average fund PMEs (Public Market Equivalent) relative to the S&P500 and

other US equities benchmarks, for the funds in the combined sample. Comparison is provided with

the existing literature on the North American-focused funds in Harris et al. (2014) by vintage year

and investment strategy. The reported PMEs are computed relative to a similar timed investment in

the S&P500, as well as alternative market benchmarks: the Nasdaq, the Russell indices (3000,2000,

2000 Value, 2000 Growth). We perform tests for the equality of means of the PME results in both

our sample and Harris et al. (2014) on the overlapping vintages. We find no statistical evidence that

the PME results using the combined sample are different from those reported in the literature.

S1.3. Table S1-3 shows the performance persistence results using the combined sample of Eurekahedge

and Preqin, compared to the most recent results on North-American focused funds, described in

Harris et al. (2022). For this analysis, we use the PME relative to the S&P500 as a performance

measure, across successive funds by vintage year within fund families. We report the results by

investment strategy and performance quartile to allow for comparison with the existing literature.

Consistent with the literature, we find that top (respectively worse) performing funds continue to

consistently yield higher (lower) returns to their investors for both investment strategies. Also

consistent with the literature, we find that buyout fund performance declined significantly after the

2000s, while it relatively maintained the same levels for venture capital funds over time.

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Ain Tommar, Darolles and Jurczenko

Table S1-1: Number of Funds

This table shows the number of funds in the combined Eurekahedge and Preqin sample, for which performance data
are available. The sample is presented by investment focus and by vintage year, and in comparison with the literature
as reported by the seminal paper of Harris et al. (2014), and follow on-statistics from Harris et al. (2022). Panel A
shows buyout funds, Panel B shows venture capital funds. Fund strategy classifications are provided by EurekaHedge
and Preqin.

Panel A – Buyout funds

Harris-Jenckinson-
Harris-Jenckison- Kaplan-Schoar Robinson-Sensoy
Vintage Our Sample Kaplan-Stucke
Kaplan (2014) (2005) (2011)a
(2022)
1984 3 2 2 6
1985 3 4 1 12
1986 3 4 5 16 1
1987 7 8 7 22 8
1988 6 9 7 21 14
1989 3 10 8 22 16
1990 7 8 2 14 7
1991 2 3 4 6 2
1992 8 9 5 17 4
1993 11 8 11 11 9
1994 20 18 13 6 24
1995 15 26 17 7 24
1996 21 17 9 41
1997 22 30 30 40
1998 39 39 38 59
1999 26 32 28 59
2000 40 51 39 68
2001 22 27 26 26
2002 21 20 21 5
2003 16 22 13 8
2004 29 37 46 3
2005 41 56 57 2
2006 42 57 67 8
2007 49 62 74 6
2008 45 60 68 12
2009 24 22
2010 28 26
2011 40 46
2012 39 47
2013 42 50
2014 51 65
2015 55 48
2016 47
2017 24
2018 12
Total 863 923 598 160 446
Total 2009-18 362 304
Total 2000-08 305 392 411
Total 1990-99 171 200 157 61 269
Total 1984-89 25 37 30 99 39

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Ain Tommar, Darolles and Jurczenko

Table S1-1: Number of Funds – Continued

Panel B – Venture Capital funds

Harris-Jenckinson-
Harris-Jenckison- Kaplan-Schoar Robinson-Sensoy
Vintage Our sample Kaplan-Stucke
Kaplan (2014) (2005) (2011)a
(2022)
1984 2 22 18 57 6
1985 4 26 20 37 5
1986 5 24 12 36 3
1987 5 26 17 63 6
1988 5 28 16 42 9
1989 3 26 18 45 10
1990 7 13 13 20 1
1991 1 6 6 11
1992 8 17 17 18 4
1993 8 20 13 45 5
1994 9 16 20 49 7
1995 14 29 18 43 13
1996 16 18 20 13
1997 13 44 33 19
1998 22 54 46 36
1999 36 88 65 40
2000 66 112 80 55
2001 42 59 48 18
2002 20 16 18 7
2003 17 19 25
2004 31 38 32
2005 34 52 48 1
2006 39 79 62
2007 48 74 65 2
2008 42 57 45
2009 10 27
2010 20 31
2011 26 46
2012 20 58
2013 19 55
2014 31 76
2015 25 91
2016 38
2017 15
2018 1
Total 702 1,347 775 466 260
Total 2009-18 205 384
Total 2000-08 339 506 423
Total 1990-99 134 305 251 186 138
Total 1984-89 24 152 101 280 39

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Private Equity Fund Performance around the World
Ain Tommar, Darolles and Jurczenko

Table S1-2: Fund PMEs

This table shows the average PMEs (Public Market Equivalent) for the funds in the combined Eurekahedge and
Preqin sample. Comparison is provided with the existing literature on the North American-focused funds (Harris et
al. 2014) by vintage year and fund investment strategy. The reported PMEs are computed relative to a similar timed
investment in the S&P500, as well as in alternative market benchmarks: the Nasdaq, and the Russell indices: 3000,
2000, 2000 Value, and 2000 Growth.

Panel A – Buyout funds

Our Sample Harris et al. (2014)

Russell indices Russell indices
2000 2000
Vintage year S&P500 Nasdaq 3000 2000 S&P500 Nasdaq 3000 2000
Value Value
1984 3.24 3.21 3.26 3.35 4.06 0.87 0.97 0.90 1.15 1.07
1985 0.99 0.97 1.02 1.15 1.13 0.91 0.98 0.94 1.18 1.09
1986 2.73 2.63 2.74 2.77 2.73 1.00 1.02 1.02 1.18 1.10
1987 3.75 3.54 3.74 3.76 3.72 1.25 1.20 1.27 1.43 1.32
1988 1.24 1.04 1.24 1.22 1.19 0.98 0.90 0.99 1.05 0.99
1989 2.71 2.68 2.72 2.74 2.72 1.26 1.15 1.27 1.34 1.23
1990 1.20 1.03 1.20 1.22 1.17 1.57 1.48 1.57 1.58 1.43
1991 0.88 0.77 0.90 1.03 1.04 1.23 1.15 1.25 1.40 1.31
1992 0.96 0.90 0.98 1.06 1.06 0.79 0.78 0.82 0.97 0.92
1993 2.18 2.14 2.17 2.17 2.12 1.35 1.33 1.38 1.62 1.56
1994 1.54 1.50 1.54 1.57 1.54 1.48 1.45 1.52 1.78 1.70
1995 1.17 1.15 1.16 1.15 1.10 1.34 1.30 1.35 1.50 1.43
1996 1.61 1.55 1.59 1.53 1.49 1.13 1.26 1.12 1.02 0.83
1997 1.17 1.18 1.14 1.00 0.92 1.23 1.30 1.19 1.01 0.88
1998 1.28 1.30 1.25 1.09 1.02 1.35 1.56 1.30 1.01 0.81
1999 1.62 1.59 1.59 1.43 1.37 1.19 1.36 1.15 0.92 0.74
2000 1.88 1.80 1.85 1.76 1.76 1.42 1.48 1.38 1.18 1.05
2001 1.35 1.28 1.34 1.29 1.30 1.31 1.27 1.28 1.15 1.12
2002 1.40 1.32 1.38 1.35 1.38 1.42 1.34 1.39 1.28 1.29
2003 1.89 1.76 1.88 1.85 1.91 1.75 1.66 1.72 1.63 1.66
2004 1.52 1.41 1.50 1.48 1.53 1.40 1.30 1.38 1.32 1.36
2005 1.19 1.12 1.19 1.18 1.22 1.20 1.10 1.19 1.12 1.17
2006 1.14 1.05 1.13 1.12 1.17 1.03 0.94 1.02 0.96 0.99
2007 1.50 1.44 1.49 1.50 1.53 1.03 0.95 1.02 0.94 0.97
2008 1.28 1.25 1.28 1.29 1.31 0.91 0.86 0.91 0.85 0.87
2009 1.77 1.75 1.77 1.78 1.79
2010 1.07 1.06 1.07 1.07 1.06
2011 1.12 1.12 1.12 1.12 1.12
2012 1.04 1.05 1.04 1.03 1.02
2013 0.93 0.97 0.93 0.90 0.88
2014 0.67 0.70 0.67 0.66 0.65
2015 0.65 0.66 0.65 0.65 0.66
2016 0.62 0.64 0.62 0.63 0.63
2017 0.77 0.79 0.77 0.75 0.74
2018 0.75 0.74 0.75 0.75 0.75
Total Average 1.45 1.40 1.45 1.44 1.45 1.22 1.20 1.21 1.22 1.16
Average 2009-18 0.94 0.95 0.94 0.93 0.93
Average 2000-08 1.46 1.38 1.45 1.42 1.46 1.27 1.21 1.25 1.16 1.16
Average 1990-99 1.36 1.31 1.35 1.33 1.28 1.27 1.30 1.27 1.28 1.16
Average 1984-89 2.45 2.35 2.45 2.50 2.59 1.07 1.04 1.07 1.22 1.13

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Table S1-2: Fund PMEs – Continued

Panel B – Venture capital funds

Our Sample Harris et al. (2014)

Russell indices Russell indices
2000 2000
Vintage year S&P500 Nasdaq 3000 2000 S&P500 Nasdaq 3000 2000
Growth Growth
1984 1.03 1.10 1.07 1.27 - 0.70 0.80 0.73 0.92 1.01
1985 1.04 1.00 1.07 1.23 1.32 0.71 0.76 0.73 0.91 0.98
1986 0.87 0.76 0.88 0.92 0.95 0.75 0.73 0.76 0.86 0.95
1987 1.39 1.19 1.39 1.39 1.43 1.18 1.10 1.18 1.32 1.42
1988 2.56 2.41 2.55 2.57 2.62 1.18 1.07 1.18 1.26 1.34
1989 1.60 1.32 1.60 1.63 1.71 1.34 1.18 1.35 1.45 1.57
1990 1.52 1.42 1.52 1.53 1.59 1.50 1.32 1.50 1.55 1.68
1991 0.85 0.61 0.86 0.99 1.00 1.37 1.23 1.40 1.64 1.75
1992 1.96 1.71 1.99 2.25 2.32 1.27 1.24 1.32 1.56 1.68
1993 2.20 1.95 2.24 2.59 2.64 2.79 2.38 2.92 3.88 3.90
1994 2.94 2.88 2.94 2.97 3.03 2.40 2.10 2.50 3.23 3.35
1995 2.79 2.41 2.82 3.15 3.09 2.16 1.89 2.21 2.59 2.67
1996 2.17 1.87 2.18 2.37 2.28 3.79 3.01 3.85 4.46 4.34
1997 2.21 1.98 2.18 2.09 2.09 2.43 2.05 2.42 2.45 2.42
1998 1.78 1.63 1.75 1.65 1.68 1.43 1.52 1.38 1.15 1.37
1999 0.78 0.78 0.76 0.67 0.72 0.76 0.89 0.73 0.57 0.72
2000 0.78 0.74 0.76 0.72 0.72 0.79 0.83 0.77 0.64 0.73
2001 0.93 0.86 0.92 0.89 0.87 0.80 0.76 0.78 0.69 0.72
2002 0.74 0.68 0.73 0.70 0.68 0.82 0.76 0.80 0.73 0.73
2003 0.79 0.74 0.79 0.79 0.76 0.88 0.82 0.87 0.82 0.80
2004 1.36 1.25 1.35 1.33 1.28 0.90 0.82 0.89 0.83 0.80
2005 0.83 0.80 0.83 0.83 0.82 1.27 1.16 1.26 1.18 1.13
2006 0.75 0.73 0.75 0.74 0.74 0.93 0.85 0.92 0.85 0.82
2007 1.14 1.12 1.14 1.15 1.13 0.97 0.89 0.95 0.88 0.86
2008 0.98 0.99 0.99 1.00 1.00 0.84 0.78 0.83 0.77 0.75
2009 1.22 1.21 1.22 1.25 1.24
2010 1.22 1.22 1.23 1.24 1.25
2011 1.20 1.23 1.20 1.20 1.21
2012 0.89 0.91 0.89 0.90 0.91
2013 0.89 0.94 0.88 0.85 0.87
2014 0.89 0.93 0.89 0.86 0.87
2015 0.77 0.78 0.76 0.76 0.75
2016 0.74 0.77 0.75 0.76 0.76
2017 0.80 0.82 0.80 0.79 0.80
2018 0.51 0.52 0.51 0.51 0.51
Total Average 1.29 1.21 1.29 1.33 1.34 1.36 1.24 1.37 1.49 1.54
Average 2009-18 0.91 0.93 0.91 0.91 0.92
Average 2000-08 0.92 0.88 0.92 0.90 0.89 0.91 0.85 0.90 0.82 0.82
Average 1990-99 1.92 1.72 1.92 2.02 2.04 1.99 1.76 2.02 2.31 2.39
Average 1984-89 1.42 1.30 1.43 1.50 0.98 0.94 0.99 1.12 1.21

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Table S1-3: Performance persistence

This table This table shows the performance persistence results using the combined Eurekahedge and Preqin sample,
compared to the most recent results on North-American focused funds, described in Harris et al. (2022). The
performance measure is the PME relative to the S&P500 of successive funds. Results are presented by investment
strategy for the current fund quartile, given the previous fund quartile.
Our sample
All funds Pre - 2001 Post-2000
1 2 3 4 N 1 2 3 4 N 1 2 3 4 N
Buyout funds
1 48.6% 26.2% 13.1% 15.1% 107 75.8% 21.2% 0.0% 3.0% 33 36.5% 28.4% 18.9% 16.2% 74
2 22.6% 24.5% 27.4% 25.5% 106 38.1% 19.1% 33.3% 9.5% 21 18.8% 25.9% 25.9% 29.4% 85
3 19.4% 23.2% 27.8% 29.6% 108 45.0% 15.0% 20.0% 20.0% 20 13.6% 25.0% 29.6% 31.8% 88
4 6.0% 11.0% 22.0% 61.0% 100 18.2% 27.3% 18.2% 36.4% 11 4.5% 9.0% 22.5% 64.0% 89
Venture Capital funds
1 39.5% 32.6% 12.8% 15.1% 86 47.4% 21.1% 18.4% 13.2% 38 33.3% 41.7% 8.3% 16.7% 48
2 32.1% 29.8% 26.2% 11.9% 84 40.0% 10.0% 25.0% 25.0% 20 29.7% 35.9% 25.6% 7.8% 64
3 14.1% 21.2% 25.9% 38.8% 85 18.2% 22.7% 18.2% 40.9% 22 12.7% 20.6% 28.6% 38.1% 63
4 8.1% 10.5% 30.2% 51.2% 86 0.0% 25.0% 37.5% 37.5% 8 9.0% 9.0% 29.5% 52.6% 78

Harris et al. (2022)

All funds Pre - 2001 Post-2000
1 2 3 4 N 1 2 3 4 N 1 2 3 4 N
Buyout funds
1 35.4% 23.6% 25.0% 16.0% 144 42.9% 17.9% 21.4% 17.9% 28 33.6% 25.0% 25.9% 15.5% 116
2 22.8% 23.4% 34.5% 19.3% 145 25.0% 31.3% 28.1% 15.6% 32 22.1% 21.2% 36.3% 20.4% 113
3 20.3% 30.4% 28.3% 21.0% 138 16.3% 20.9% 34.9% 27.9% 43 22.1% 34.7% 25.3% 17.9% 95
4 13.8% 21.3% 26.3% 38.8% 80 14.3% 19.0% 33.3% 33.3% 21 13.6% 22.0% 23.7% 40.7% 59
Venture Capital Funds
1 45.1% 23.6% 19.0% 12.2% 237 46.2% 20.4% 18.3% 15.1% 93 44.4% 25.7% 19.4% 10.4% 144
2 25.5% 26.4% 31.0% 17.1% 216 30.1% 24.1% 32.5% 13.3% 83 22.6% 27.8% 30.1% 19.5% 133
3 16.6% 32.1% 30.5% 20.9% 187 19.8% 25.9% 29.6% 24.7% 81 14.2% 36.8% 31.1% 17.9% 106
4 10.0% 20.0% 26.0% 44.0% 125 15.0% 15.0% 23.0% 48.0% 48 7.8% 23.4% 27.3% 41.6% 77

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S2. Additional results

S2.1. The relationship between fund performance and characteristics: Additional tests with alternative

public market benchmarks for the PME and with the TVPI as an alternative performance measure

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics

This table replicates the regression analyses in table 4 in the main body of the paper using alternative public market benchmarks for the PME calculations and the
TVPI as an alternative performance measure. The dependent variable is the fund PME or the TVPI. Non North American-Focus is a dummy variable equal to 1 if the
fund’s investment focus is not North America. Regional or Local is a dummy variable which is set to one if the private equity firm is based in the same region or
country as the investment focus of the fund, or, for global funds, has a local branch. Regional distribution is established following the MSCI classification. Size is the
natural logarithm of the fund’s total commitments in 2018 dollars. Fund age is a variable to proxy for the fund’s age, expressed as the difference in years between the
fund’s first capital call date and the last distribution date. Fund sequence is the fund’s sequence number within the fund family by the same GP. Standard errors are
double clustered by firm and vintage year. t-statistics are reported in brackets. ***, ** and * denote significance at the 1%, 5% and 10% level respectively.

Panel A – Total Sample

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Non North American-focused -0.212 -0.219 -0.208 -0.222 -0.210 -0.244 -0.286
(-0.73) (-0.72) (-0.71) (-0.75) (-0.74) (-0.77) (-0.67)
Regional or Local -0.307 -0.316 -0.319 -0.285 -0.292 -0.274 -0.315
(-1.52) (-1.51) (-1.57) (-1.39) (-1.47) (-1.26) (-1.19)
Size 0.034 0.035 0.038 0.034 0.032 0.035 0.040
-1.180 -1.210 -1.340 -1.210 -1.130 -1.220 -1.200
Fund age -0.040*** -0.032** -0.038*** -0.046*** -0.045*** -0.044*** -0.024
(-2.83) (-2.21) (-2.70) (-3.19) (-3.19) (-2.95) (-1.57)
Fund Sequence -0.253*** -0.257*** -0.253*** -0.252*** -0.247*** -0.258*** -0.274***
(-4.36) (-4.36) (-4.31) (-4.40) (-4.41) (-4.37) (-4.17)
Constant 1.185 1.166 1.000 1.282 1.440 1.114 1.527
-1.210 -1.120 -0.980 -1.340 -1.560 -1.110 -1.410
Vintage year, Style and Firm
Yes Yes Yes Yes Yes Yes Yes
dummies
Adj. R-sq 0.15 0.15 0.15 0.14 0.16 0.12 0.17
N. obs 2,591 2,591 2,591 2,591 2,591 2,591 2,421

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel B – By investment strategy: Buyouts

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Non North American-focused -0.063 -0.067 -0.073 -0.066 -0.062 -0.069 -0.04
(-0.20) (-0.21) (-0.23) (-0.22) (-0.21) (-0.23) (-0.12)
Regional or Local -0.320 -0.326 -0.323 -0.304 -0.306 -0.304 -0.343
(-1.38) (-1.38) (-1.36) (-1.35) (-1.37) (-1.33) (-1.39)
Size 0.048 0.055 0.058 0.048 0.04 0.055 0.06
-1.190 -1.290 -1.370 -1.22 -1.03 -1.35 -1.23
Fund age -0.025 -0.020 -0.024 -0.033** -0.030* -0.035** -0.012
(-1.59) (-1.23) (-1.45) (-2.15) (-1.94) (-2.22) (-0.73)
Fund Sequence -0.207*** -0.208*** -0.206*** -0.205*** -0.202*** -0.207*** -0.209***
(-3.31) (-3.25) (-3.20) (-3.34) (-3.35) (-3.33) (-3.10)
Constant 0.789 0.590 0.670 0.949 0.866 0.981 0.54
-0.580 -0.410 -0.470 -0.71 -0.7 -0.69 -0.36
Vintage year and Firm dummies Yes Yes Yes Yes Yes Yes Yes
Adj. R-sq 0.30 0.30 0.30 0.29 0.30 0.28 0.33
N. obs 1,389 1,389 1,389 1,389 1,389 1,389 1,313

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel B – By investment strategy: Venture Capital

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Non North American-focused -0.278 -0.315 -0.242 -0.312 -0.296 -0.369 -1.413
(-0.34) (-0.35) (-0.29) (-0.36) (-0.37) (-0.38) (-0.67)
Regional or Local -0.039 -0.016 -0.063 0.015 -0.015 0.072 -0.063
(-0.09) (-0.04) (-0.15) -0.03 (-0.04) -0.15 (-0.13)
Size -0.010 -0.015 -0.011 -0.004 -0.003 -0.007 -0.03
(-0.18) (-0.27) (-0.19) (-0.07) (-0.05) (-0.13) (-0.43)
Fund age -0.047 -0.035 -0.046 -0.048 -0.051* -0.041 -0.024
(-1.64) (-1.16) (-1.62) (-1.62) (-1.78) (-1.28) (-0.73)
Fund Sequence -0.237** -0.248** -0.240** -0.244** -0.239** -0.248** -0.301**
(-2.35) (-2.35) (-2.34) (-2.43) (-2.42) (-2.37) (-2.21)
Constant 2.473** 2.293** 2.410** 2.389** 2.486** 2.239** 2.221
-2.420 -2.120 -2.32 -2.37 -2.52 -2.12 -1.2
Vintage year and Firm dummies Yes Yes Yes Yes Yes Yes Yes
Adj. R-sq 0.14 0.13 0.12 0.13 0.16 0.09 0.15
N. obs 875 875 875 875 875 875 811

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel B – By investment strategy: Growth equity

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Non North American-focused -0.447 -0.448 -0.446 -0.483 -0.466 -0.497 -1.567
(-0.51) (-0.51) (-0.52) (-0.54) (-0.53) (-0.55) (-1.34)
Regional or Local -0.940 -0.940 -0.941 -0.952 -0.957 -0.947 -1.022
(-1.21) (-1.20) (-1.20) (-1.23) (-1.24) (-1.22) (-1.32)
Size 0.023 0.030 0.032 0.021 0.026 0.015 -0.058
-0.170 -0.220 -0.23 -0.15 -0.18 -0.11 (-0.45)
Fund age -0.099 -0.094 -0.094 -0.108* -0.109* -0.106* -0.094
(-1.63) (-1.55) (-1.55) (-1.76) (-1.80) (-1.72) (-1.46)
Fund Sequence 0.049 0.055 0.055 0.052 0.048 0.056 0.045
-0.340 -0.380 -0.38 -0.36 -0.34 -0.38 -0.29
Constant 1.325 0.577 1.268 1.136 1.099 1.089 0.934
-1.030 -0.440 -0.98 -0.88 -0.86 -0.84 -0.67
Vintage year and Firm dummies Yes Yes Yes Yes Yes Yes Yes
Adj. R-sq 0.43 0.44 0.43 0.41 0.42 0.41 0.5
N. obs 327 327 327 327 327 327 297

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel C – By investment geography: Asia Pacific

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Regional or Local 0.11 0.096 0.097 0.112 0.11 0.115 0.135
-0.32 -0.27 -0.28 -0.31 -0.31 -0.32 -0.39
Size 0.089 0.079 0.088 0.095 0.096 0.094 0.016
-0.36 -0.32 -0.36 -0.39 -0.4 -0.39 -0.06
Fund age -0.259** -0.255** -0.255** -0.260** -0.260** -0.259** -0.259***
(-2.59) (-2.55) (-2.55) (-2.57) (-2.55) (-2.59) (-2.66)
Fund Sequence -0.094 -0.091 -0.091 -0.094 -0.092 -0.095 -0.128
(-0.68) (-0.66) (-0.65) (-0.66) (-0.65) (-0.67) (-0.81)
Constant 2.371 2.396 2.317 2.427 2.466 2.368 9.293***
-0.74 -0.74 -0.71 -0.76 -0.78 -0.74 -2.87
Vintage year, Style and Firm
Yes Yes Yes Yes Yes Yes Yes
dummies
Adj. R-sq 0.49 0.5 0.5 0.48 0.48 0.49 0.52
N. obs 158 158 158 158 158 158 142

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel C – By investment geography: Europe

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Regional or Local 0.167 0.133 0.161 0.16 0.168 0.155 0.163
-0.5 -0.38 -0.46 -0.48 -0.52 -0.46 -0.44
Size -0.016 -0.018 -0.015 -0.009 -0.015 -0.005 -0.007
(-0.50) (-0.57) (-0.48) (-0.31) (-0.48) (-0.19) (-0.17)
Fund age -0.086*** -0.079*** -0.082*** -0.097*** -0.092*** -0.100*** -0.078**
(-3.01) (-2.82) (-2.92) (-3.47) (-3.14) (-3.68) (-2.22)
Fund Sequence -0.223** -0.224** -0.225** -0.224** -0.212** -0.233** -0.256**
(-2.25) (-2.26) (-2.25) (-2.25) (-2.18) (-2.29) (-2.18)
Constant 3.254*** 3.048*** 3.116*** 3.476*** 3.448*** 3.531*** 2.609***
-2.81 -2.65 -2.73 -3.06 -2.88 -3.19 -2.89
Vintage year, Style and Firm
Yes Yes Yes Yes Yes Yes Yes
dummies
Adj. R-sq 0.44 0.44 0.44 0.44 0.43 0.44 0.48
N. obs 349 349 349 349 349 349 304

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel C – By investment geography: North America and Global funds

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Regional or Local 1.636** 1.710** 1.666** 1.613** 1.513** 1.700** -0.523*
-2.11 -2.07 -2.05 -2.12 -2.05 -2.13 (-1.71)
Size 0.052 0.055 0.058 0.051 0.049 0.051 0.063
-1.26 -1.31 -1.4 -1.25 -1.22 -1.22 -1.28
Fund age -0.039** -0.031* -0.037** -0.044*** -0.044*** -0.042** -0.023
(-2.39) (-1.83) (-2.26) (-2.69) (-2.75) (-2.43) (-1.30)
Fund Sequence -0.265*** -0.271*** -0.266*** -0.264*** -0.261*** -0.269*** -0.285***
(-3.95) (-3.98) (-3.90) (-4.02) (-4.04) (-3.99) (-3.90)
Global 2.160*** 2.245*** 2.204*** 2.115*** 2.022*** 2.192***
-2.7 -2.64 -2.63 -2.7 -2.66 -2.66
Constant 0.954 0.875 0.777 1.047 1.170* 0.916 3.087***
-1.32 -1.12 -1.02 -1.47 -1.69 -1.22 -5.49
Vintage year, Style and Firm
Yes Yes Yes Yes Yes Yes Yes
dummies
Adj. R-sq 0.15 0.15 0.14 0.14 0.16 0.12 0.18
N. obs 2022 2022 2022 2022 2022 2022 1919

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Table S2-1: Additional tests for the relationship between fund performance and fund characteristics - continued

Panel C – By investment geography: ROW

PME PME PME PME PME PME TVPI

MSCI World MSCI Europe, MSCI Europe Russell 2000 Russell 2000 Russell 2000
Australia and Far Growth Value
East
Regional or Local -0.151 -0.113 -0.114 -0.126 -0.129 -0.125 1.708***
(-0.49) (-0.45) (-0.41) (-0.32) (-0.32) (-0.33) -3.77
Size -0.267*** -0.268*** -0.271*** -0.271*** -0.269*** -0.272*** -0.259***
(-3.48) (-4.22) (-3.85) (-2.76) (-2.68) (-2.85) (-5.82)
Fund age 0.057 0.057 0.057 0.057 0.058 0.057 0.058
-1.39 -1.56 -1.48 -1.22 -1.18 -1.26 -1.58
Fund Sequence 0.288*** 0.289*** 0.292*** 0.294*** 0.296*** 0.293*** 0.286***
-3.6 -4.3 -3.96 -2.95 -2.88 -3.02 -5.22
Constant 2.921* 2.937** 2.917** 2.97 2.916 3.022* -0.637
-1.88 -2.12 -2 -1.66 -1.57 -1.76 (-0.63)
Vintage year, Style and Firm
Yes Yes Yes Yes Yes Yes Yes
dummies
Adj. R-sq 0.89 0.9 0.89 0.88 0.87 0.89 0.86
N. obs 62 62 62 62 62 62 56

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