Factor Analysis of Private Capital Returns

In this report, we dive further into factor analysis, focusing on macroeconomic multi-factor models that utilize variables related to economic change. We found:

• Exposure to the equity market risk premium is significant across all private capital

• Buyout and VC both influenced by traditional fundamental factors, alongside interest rate risk

• Surprise economic growth positively impacts real estate returns alongside surprise inflation

• Increased financial stress generally has a negative impact on returns for most private asset classes, except private debt