Standard quantitative portfolio analysis techniques, including mean-variance analysis, historical risk and performance estimation, and various portfolio optimization techniques, implicitly require all assets under consideration having the same length of return histories. Unfortunately, it is...

While the internal rate of return (IRR) remains to be widely used despite its well-documented flaws, considerable progress has been made in the literature on the search for a proper measure of performance of illiquid investments. Most recently, two general approaches have been proposed, namely...

A number of methods have been developed to link single-period arithmetic attribution results. We present the first institutional portfolio empirical study comparing the most referenced methods for producing additive multiperiod attributes from their single-period counterparts. While our findings...

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...

We extend the Brinson et al. (1986) performance attribution framework to support institutional-specific requirements, including a hierarchical structure and multiple benchmark styles. By attributing performance to four statistics (e.g. manager alpha, portfolio construction, tactical and...

A number of methods have been developed to link single-period arithmetic attribution results, including the Cariño logarithmic method, the Frongello methods, the Menchero method and some Ad Hoc methods. We point out an omitted but necessary property, the associative property, which renders the...