We study the risk and return properties of private real estate, infrastructure, and natural resources funds using a large dataset on private real assets. Employing quarterly index series, we first develop an ARMA–Dimson unsmoothing procedure that restores realistic volatility and co-movement with liquid public benchmarks while preserving buy-and-hold performance. Second, at the fund-level, we find that core and generalist real estate funds, on average, underperform listed REITs over the full sample. However, in contrast to prior findings using data from before the Global Financial Crisis, performance since then has outstripped public markets, driven primarily by the strong performance of value-add and opportunistic funds. Private infrastructure funds have, on average, outperformed publicly traded infrastructure equities. Natural resources funds generally lag their public counterparts throughout our sample. Taken together, once smoothing is stripped out and returns are evaluated against appropriate public comparators, we find that manager, style, and vintage selection are central to realized outcomes.
Wendy Hu, MSCI
Christian Lundblad, UNC Kenan-Flagler Business School & Institute for Private Capital
Vedant Mozumdar, Institute for Private Capital
