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Shiraki, S. and Miyata, S. (2018) Comparison of Performance Measurements of Private Equity Fund Investments. Securities Analysts Journal, 10, 42-52. (In Japanese)

has been cited by the following article:

• TITLE: Spread-Based Direct Alpha (SBDA) as a Performance Measure for PE Funds

  AUTHORS: Koichi Miyazaki, Kazuhiro Shimada

  KEYWORDS: PE Funds, Public Market Equivalent (PME), Direct Alpha, Spread Based Direct Alpha (SBDA), Performance Measurement

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.3, August 25, 2023

  ABSTRACT: In this study, we explore the Public Market Equivalent (PME) as a measure of Private Equity (PE) fund performance relative to the listed market. While various PME methods exist, the “direct alpha method” has been identified as the superior approach. However, concerns arise regarding its suitability from a financial theory perspective, given its derivation process and the questions surrounding its role as a performance measurement method for PE funds relative to listed markets. To address these issues, we propose a novel and more accurate measurement method, the Spread Based Direct Alpha (SBDA), along with a technique for deriving the alpha amount based on SBDA, enabling a more precise comparison of PE fund performance against traditional assets.