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Private Debt Fund Returns, Persistence, and Market Conditions

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  • Pascal Böni
  • Sophie Manigart

Abstract

This paper examines net-of-fees private debt fund performance, performance persistence across funds managed by the same general partner and a general partner’s ability to time the market. We document that private debt funds outperform bond and equity market benchmarks in the cross-section, with high performance dispersion across strategies and performance quartiles. Lagged performance significantly affects current fund performance. While ex ante and ex post credit market conditions strongly affect fund performance, general partners can only partially time them.

Suggested Citation

  • Pascal Böni & Sophie Manigart, 2022. "Private Debt Fund Returns, Persistence, and Market Conditions," Financial Analysts Journal, Taylor & Francis Journals, vol. 78(4), pages 121-144, October.
    • Handle: RePEc:taf:ufajxx:v:78:y:2022:i:4:p:121-144
    DOI: 10.1080/0015198X.2022.2092384
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