Putting the [α + β-Cen] Reports into Context

On monday night, earlier this week, Carlyle announced preliminary data regarding its funds’ first quarter valuations.

“The Carlyle Group preliminary carry fund valuations increased 6% during the first quarter of 2014. Over the past twelve months, Carlyle’s carry fund portfolio increased 18%. In comparison, the MSCI All Country World Index2 (ACWI) increased 1% during the quarter ending March 31, 2014 and has risen 15% over the past 12 months.”

These insider’s data make the comparison with the output of a quantitative model that only relies on publicly available information quite interesting. It’s nice and fortunate that we published the report friday April 4th.

At the beta stage of the Report, data are not yet available versus the same global benchmark that Carlyle refers, but just to a universe of USD buyout funds.

For buyouts, Carlyle also releases the growth numbers that are respectively  8% for the first quarter and 27% for the last twelve months.

The comparison is not an unreasonable exercise, assuming that the bulk of Carlyle’s buyouts investments is in developed markets, usually quite correlated with the S&P 500 that we use as a benchmark. Another difference that is easy to correct is that we have not published at this stage numbers for the last twelve months but the first quarter 2013 growth reported by Carlyle was 9% – the number for 2013 is therefore 28% = 27% – 8% + 9% (compounding neglected here).

Now the data we published – for the different vintage years they may and may not include data referred to Carlyle funds, but certainly they refer to a much broader and diversified set of funds whose average we define private capital beta.


The average expected growth across the vintage years that we have analysed is 26,5% for 2013 and 4,6% for the first quarter of 2014. The average σ of our annual estimates is 5,8%. Carlyle data fit in our σ=1 range.

I like to consider the results of our comparison an encouraging start for the Reports.


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