US PRIVATE EQUITY
INDEX AND SELECTED BENCHMARK STATISTICS
JUNE 30, 2024
US PRIVATE EQUITY
AS OF JUNE 30, 2024
CHANGE IN AVAILABILITY – CAMBRIDGE ASSOCIATES’ PRIVATE INVESTMENTS BENCHMARKS
Effective February 2021 (Q3 2020 reports) many of the private investments benchmark reports historically available to
download on Cambridge Associates’ public website will no longer be distributed free of charge.
Click here to purchase the reports from our partners at
Cambridge Associates will continue to provide our benchmark data directly to several key market segments: (1) our clients, (2) fund managers
that contribute their data to CA’s benchmark dataset, and (3) certain industry partners such as the Institutional Limited Partners Association
(ILPA) and other industry coalitions. With exception of these market segments, IHS Markit will become the exclusive distributor of CA’s
benchmark data in PDF and digital-only formats to end users, analytics platforms, and redistributors. Cambridge Associates will continue to
own the private investments benchmark data and be responsible for the collection of data, production of the benchmarks, and development,
security, and confidentiality of the dataset. Consistent with the long-standing confidentiality agreements CA has with fund managers that
participate in our benchmarks, IHS Markit will not have access to any benchmark constituent data—they will have access only to anonymous
and aggregated data.
Please refer to the Frequently Asked Questions document on our public website for more details regarding this change. If you have further
questions, please contact: [email protected].
We hope to make this transition as simple and seamless as possible for those who have adopted our private investments benchmarks and
thank you for your continued support.
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US PRIVATE EQUITY
OVERVIEW AS OF JUNE 30, 2024
Cambridge Associates’ Private Investments Database is one of the most robust collections of institutional quality private fund performance. It
contains the historical performance records of over 2,400 fund managers and their over 9,900 funds. In addition, we capture the performance
information (gross) of over 93,000 investments underlying our venture capital, growth equity, and buyout funds. This is one of the largest
collections of fund portfolio investment-level performance information in the world and represents the investments of approximately 69% of
these funds on a count basis and 69% on a total commitment basis. This fund and investment-level performance information is drawn from
the quarterly and audited annual financial statements of the fund managers and each manager’s reported performance numbers are
independently recreated from the financial statements and verified by Cambridge Associates.
Institutional Quality Data
Cambridge Associates strives to include only institutional quality funds in our benchmarks. “Institutional quality” funds, in our definition, tend
to meet the following criteria: closed-end funds, commingled funds that invest third party capital (we exclude firms that invest off of their
balance sheet, such as a bank’s principal investing group or a corporate’s venture capital arm), and fund vehicles. This institutional quality
screen seeks to provide investors with performance data consistent with their investible opportunity set.
Sources of Benchmark Data
Our benchmark database utilizes the quarterly unaudited and annual audited fund financial statements produced by the fund managers (GPs)
for their Limited Partners (LPs). These documents are provided to Cambridge Associates by the fund managers themselves. Unlike other data
providers, Cambridge Associates does not use Freedom of Information Act (FOIA) or similar requests, regulatory filings, manager surveys, or
press “scrapings” to obtain information. Our goal is to have a complete historical record of the quarterly cash flows and net asset values for all
funds in the benchmarks. We use a number of paths to encourage fund managers to submit their performance data to our database: our
clients for whom we provide private investment performance reporting, our research organization’s regular meetings with thousands of
managers, our special projects designed to enhance existing benchmarks or launch new ones, our exclusive relationships with over ten
globally-diverse fund manager associations, and finally, our strategic relationships with Refinitiv and the Institutional Limited Partners
Association (ILPA). By leveraging these varied sources and proprietary relationships, Cambridge Associates has constructed a rich and
diversified benchmark data set.
Disclaimer
Our goal is to provide you with the most accurate and relevant performance information possible; as a result, Cambridge Associates’ research
organization continually monitors the constantly evolving private investments space and its fund managers. When we discern material
changes in the structure of an asset class and/or a fund’s investment strategy, it is in the interest of all users of our benchmark statistics that
we implement the appropriate classification realignments.
In addition, Cambridge Associates is always working to grow our private investments performance database and ensure that our benchmarks
are as representative as possible of investors’ institutional-quality opportunity set. As a result we continually add funds to the database (both
newly-raised funds and backfill funds) and occasionally we must remove funds that cease reporting. Our private investments performance
database is dynamic and will reflect both classification adjustments and changes to the underlying pool of contributing funds. As a result, you
may notice quarter to quarter changes in the results of some historical benchmark return analyses.
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US PRIVATE EQUITY
US PRIVATE EQUITY AS OF JUNE 30, 2024
FUND INDEX SUMMARY: HORIZON POOLED RETURN COMPARED TO CA MODIFIED PUBLIC MARKET EQUIVALENT (MPME)
Net to Limited Partners
CA INDEX 1-QUARTER YTD 1-YEAR 3-YEAR 5-YEAR 10-YEAR 15-YEAR 20-YEAR 25-YEAR
CAMBRIDGE ASSOCIATES LLC US PRIVATE EQUITY INDEX®1 1.60 3.40 7.08 6.88 16.35 15.05 16.75 14.49 12.73
MPME ANALYSIS2
mPME Constructed Index: MSCI World/MSCI All Country World
19.91 7.09 11.70 9.37 11.31 8.49 7.45
Index3 (gross)
Value-Add (bps) -1,283 -21 464 567 545 600 529
mPME Russell 3000® Index 23.07 8.98 14.50 12.28 15.09 10.42 8.96
Value-Add (bps) -1,599 -209 185 276 166 407 378
mPME Russell 2000® Index 9.99 -1.41 7.10 7.02 12.35 8.23 8.16
Value-Add (bps) -291 829 925 803 440 626 457
The index is a horizon calculation based on data compiled from 1,607 US private equity funds, including fully liquidated partnerships, formed between 1986 and 2024.
1 Pooled horizon return, net of fees, expenses, and carried interest.
2 CA Modified Public Market Equivalent (mPME) replicates private investment performance under public market conditions. The public index’s shares are purchased and sold according
to the private fund cash flow schedule, with distributions calculated in the same proportion as the private fund, and mPME NAV is a function of mPME cash flows and public index
returns. “Value-Add” shows (in basis points) the difference between the actual private investment return and the mPME calculated return. Refer to Methodology page for details. page | 3
3 Constructed Index: MSCI World/MSCI All Country World Index: Data rom 1/1/1986 to 12/31/1987 represented by MSCI index gross total return. Data from 1/1/1988 to present
represented by MSCI ACWI gross total return.
Sources: Cambridge Associates LLC, Frank Russell Company, MSCI Inc., and Thomson Reuters Datastream. See Notice on Third Party Index Disclosure.
MSCI data provided "as is" without any express or implied warranties. Total returns for MSCI Emerging Markets indexes are gross of dividend taxes. Total returns for MSCI Developed
Markets indexes are net of dividend taxes.
US PRIVATE EQUITY
DESCRIPTION OF PERFORMANCE MEASUREMENT METHODOLOGY AS OF JUNE 30, 2024
Cambridge Associates LLC (CA) has established a database to monitor investments made by venture capital and other alternative asset
partnerships. On June 30, 2024, 1,607 US private equity funds (buyout and growth equity only) from the years 1986 through 2024 were
included in the sample. Users of the analysis may find the following description of the data sources and calculation techniques helpful to their
interpretation of information presented in the report:
Partnership financial statements and narratives are the primary source of information concerning cash flows and ending residual/ net asset
values (NAV) for both partnerships and portfolio company investments.
Recognizing the alternative asset community's sensitivity to the distribution of information pertaining to individual fund investments, as a
matter of policy CA only releases aggregated figures in its benchmark report.
Vintage year is defined as the date of the fund’s first cash flow, defined as the date of the fund’s first LP contribution. Any investment activity
taken prior to the first LP contribution is not taken into account.
CA uses the pooled horizon internal rate of return calculation to calculate the official quarterly, annual, and multi-year index figures. The
horizon IRR performance calculation is a money-weighted return similar to the since inception IRR; however, it is measuring performance
between two points in time. The calculation incorporates the beginning NAV (if any, treated as an inflow), interim cash flows and the ending
NAV (if any, treated as an outflow). All interim cash flows are recorded on the mid-period date of the quarter. In order for a fund to be
included in a horizon IRR calculation, the fund must have at least one quarterly contribution, distribution or NAV during the time frame being
measured. Similar to the since inception IRR, the horizon IRR is annualized for time frames greater than one year.
Cambridge Associates Modified Public Market Equivalent (mPME): The mPME calculation is a private-to-public comparison that seeks to
replicate private investment performance under public market conditions. The public index’s shares are purchased and sold according to the
private fund cash flow schedule, with distributions calculated in the same proportion as the private fund, and the mPME NAV (the value of the
shares held by the public equivalent) is a function of mPME cash flows and public index returns. The mPME attempts to evaluate what return
would have been earned had the dollars been deployed in the public markets instead of in private investments while avoiding the “negative
NAV” issue inherent in some PME methodologies. “Value-Add” shows (in basis points) the difference between the actual private investment
return and the mPME calculated return.
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US PRIVATE EQUITY
NOTICE ON THIRD PARTY INDEX DISCLOSURE AS OF JUNE 30, 2024
Source: MSCI. MSCI data provided "as is" without any express or implied warranties. The MSCI data is comprised of a custom index calculated
by MSCI for, and as requested by, Cambridge Associates. The MSCI data is for internal use only and may not be redistributed or used in
connection with creating or offering any securities, financial products, or indices. Neither MSCI nor any other third party involved in or related
to compiling, computing or creating the MSCI data (the 'MSCI Parties') makes any express or implied warranties or representations with
respect to such data (or the results to be obtained by the use thereof), and the MSCI Parties hereby expressly disclaim all warranties of
originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to such data. Without limiting any of the
foregoing, in no event shall any of the MSCI Parties have any liability for any direct, indirect, special, punitive, consequential or any other
damages (including lost profits) even if notified of the possibility of such damages.
Source: MSCI. The MSCI data is comprised of a custom index calculated by MSCI for, and as requested by, Cambridge Associates, LLC. The
MSCI data is for internal use only and may not be redistributed or used in connection with creating or offering any securities, financial
products or indices. Neither MSCI nor any other third party involved in or related to compiling, computing or creating the MSCI data (the
“MSCI Parties”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the
use thereof), and the MSCI Parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness
for a particular purpose with respect to such data. Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any
liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of
such damages.
© 2024, S&P Dow Jones Indices. Reproduction of S&P Dow Jones Indices in any form is prohibited except with the prior written permission
of S&P. S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors
or omissions, regardless of the cause or for the results obtained from the use of such information. S&P DISCLAIMS ANY AND ALL EXPRESS
OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A
PARTICULAR PURPOSE OR USE. In no event shall S&P be liable for any direct, indirect, special or consequential damages, costs, expenses,
legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with subscriber’s or others’ use of S&P Dow
Jones Indices.
The Down Jones Industrial Average Index, Dow Jones U.S. Small Cap Index, Down Jones U.S. TopCap Index, and S&P 500 are products of S&P
Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by Cambridge Associates, LLC. Standard & Poor’s® and
S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by
Cambridge Associates, LLC. The Cambridge Associates Private Investment Benchmarks is not sponsored, endorsed, sold or promoted by
SPDJI, Dow Jones, S&P, or their respective affiliates, and none of such parties make any representation regarding the advisability of investing
in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Indices.
Source: FTSE Russell 2024. To the extent permissible by law, FTSE Russell accepts no liability for errors or omissions in the data.
The Industry Classification Benchmark is property of FTSE International Limited and has been licensed for use.
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Copyright © 2024 by Cambridge Associates (“CA”). All rights reserved. Confidential.
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not for enterprise use and may not be used to create financial instruments or products. This report is provided for informational purposes
only. It is not intended to constitute an offer of securities of any of the issuers that may be described in the report. No part of this report is
intended as a recommendation of any firm or any security, unless expressly stated otherwise. Nothing contained in this report should be
construed as the provision of any tax or legal advice. Past performance is not indicative of future performance. Any information or opinions
provided in this report are provided as-is as of the date of the report, and CA is under no obligation to update the information or
communicate that any updates have been made. Information contained herein may have been provided by third parties, including investment
firms providing information on returns and assets under management, and CA takes no responsibility for the accuracy thereof. Managers
may report returns to CA gross (before the deduction of management fees), net (after the deduction of management fees), or both.
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