Erel, Isil; Flanagan, Thomas; Weisbach, Michael S. - National Bureau of Economic Research - 2024
Private debt funds are the fastest growing segment of the private capital market. We evaluate their risk …-adjusted returns, applying a cash-flow based method to form a replicating portfolio that mimics their risk profiles. Using both equity … and debt benchmarks to measure risk, a typical private debt fund produces an insignificant abnormal return to its …