PitchBook年四季度私人市场有多少阿尔法？量化私人市场中技能型经理选择的预期阿尔法值（英）

Q42025QUANT RESEARCHHow Much Alpha Is There in Private Markets?Quantifying the expected alpha of skilled manager selection in private markets2ContentsHOW MUCH ALPHA IS THERE IN PRIVATE MARKETS?PitchBook Data, Inc.Nizar Tarhuni Executive Vice President of Research and Market IntelligenceDaniel Cook, CFA Global Head of Quantitative Research and Market IntelligenceZane Carmean, CFA, CAIA Director of Quantitative ResearchInstitutional Research GroupAnalysispbinstitutionalresearch@pitchbook.comPublishingReport designed by Adriana HansenPublished on October 7, 2025Click here for PitchBook’s report methodologies.Key takeaways 3Introduction 4Simulation framework 6Quantifying alpha opportunities 8Conclusion 12Andrew Akers, CFA Lead Quantitative Research Analyst andrew.akers@pitchbook.com3HOW MUCH ALPHA IS THERE IN PRIVATE MARKETS?Key takeaways• We introduced a historical simulation approach with paired sampling to quantify how much alpha could have been generated from private manager selection skill compared with random selection in 60/40 portfolios with a 20% target allocation to PE buyout, VC, private debt, and real estate.• We define manager selection skill by three hypothetical scenarios—moderate-skill selection, high-skill selection, and underperformer avoidance—that determined the probability of selecting funds by final performance quartile ranking.• Selection skill in a portfolio with a moderate 20% allocation to private markets would have added 20 to 60 basis points to annualized total portfolio returns, on average, depending on the assumed skill scenario and asset class. This implies 100 to 300 basis points of annualized alpha within the private market portfolios.• The payoff for skilled manager selection was largest for the PE buyout and VC strategies. It was smallest for private debt.• These results provide LPs with a reasonable starting point for estimating the potential alpha available in private markets, which should be weighed against realistic levels of skill and the cost of achieving it.4HOW MUCH ALPHA IS THERE IN PRIVATE MARKETS?IntroductionUnlike public markets, private markets lack representative and investable passive indexes. If allocators want to include private markets in their portfolios, they are forced to take an active approach to portfolio construction. Over the past several decades, passive implementations have gained significant market share across public asset classes at the same time allocators have increased exposure broadly to private markets. Together, these trends have shifted active risk budgets increasingly toward private markets. Although often a byproduct of more assets flowing into both passive public strategies and private markets rather than a deliberate choice, investors have justified this shift by pointing to wider performance dispersion across private market funds compared with their public counterparts. This dispersion primarily stems from the absence of a common benchmark, which in public markets provi