Decomposing Private Equity#
Use the data in ../data/private_equity_data.xlsx
import pandas as pd
LOADFILE = '../data/private_equity_data.xlsx'
info = pd.read_excel(LOADFILE,sheet_name='descriptions').set_index('ticker')
rets = pd.read_excel(LOADFILE,sheet_name='total returns').set_index('date')
info
| shortName | quoteType | currency | volume | totalAssets | longBusinessSummary | |
|---|---|---|---|---|---|---|
| ticker | ||||||
| SPY | SPDR S&P 500 | ETF | USD | 65058380 | 6.727266e+11 | The trust seeks to achieve its investment obje... |
| VTV | Vanguard Value ETF | ETF | USD | 2008018 | 2.069965e+11 | The manager employs an indexing investment app... |
| AGG | iShares Core U.S. Aggregate Bon | ETF | USD | 5268591 | 1.318272e+11 | The index measures the performance of the tota... |
| HYG | iShares iBoxx $ High Yield Corp | ETF | USD | 35079406 | 1.854291e+10 | The underlying index is a rules-based index co... |
| IEF | iShares 7-10 Year Treasury Bond | ETF | USD | 5154346 | 3.851085e+10 | The underlying index measures the performance ... |
| PSP | Invesco Global Listed Private E | ETF | USD | 46427 | 3.347804e+08 | The fund generally will invest at least 90% of... |
| PEX | ProShares Global Listed Private | ETF | USD | 4331 | 1.390970e+07 | The fund invests in financial instruments that... |
| APO | Apollo Global Management, Inc. | EQUITY | USD | 3430863 | NaN | Apollo Global Management, Inc. is a private eq... |
| BX | Blackstone Inc. | EQUITY | USD | 3218280 | NaN | Blackstone Inc. is an alternative asset manage... |
| KKR | KKR & Co. Inc. | EQUITY | USD | 4088698 | NaN | KKR & Co. Inc. is a private equity and real es... |
| CG | The Carlyle Group Inc. | EQUITY | USD | 3107906 | NaN | The Carlyle Group Inc. is an investment firm s... |
| SHV | iShares Short Treasury Bond ETF | ETF | USD | 2090735 | 2.070456e+10 | The fund will invest at least 80% of its asset... |
display(rets.head().style.format('{:.1%}').format_index('{:%Y-%m-%d}'))
display(rets.tail().style.format('{:.1%}').format_index('{:%Y-%m-%d}'))
| SPY | VTV | AGG | HYG | IEF | PSP | PEX | APO | BX | KKR | CG | SHV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||||
| 2015-01-09 | -0.6% | -0.7% | 0.5% | 0.6% | 1.4% | -0.7% | -0.6% | 1.3% | 0.2% | 1.1% | -5.7% | 0.0% |
| 2015-01-16 | -1.3% | -1.2% | 0.4% | -0.6% | 1.0% | -1.4% | -1.1% | 0.3% | -1.6% | -3.3% | -6.4% | 0.0% |
| 2015-01-23 | 1.7% | 1.2% | 0.2% | 0.5% | 0.2% | 2.0% | 0.9% | 2.8% | 7.1% | 5.7% | 3.2% | 0.0% |
| 2015-01-30 | -2.7% | -3.4% | 0.6% | 0.2% | 1.2% | -0.1% | 0.9% | 1.0% | 3.5% | -1.0% | 2.5% | -0.0% |
| 2015-02-06 | 3.1% | 3.8% | -1.2% | 0.8% | -2.4% | 2.7% | 2.9% | -2.3% | -3.4% | 3.0% | 1.2% | 0.0% |
| SPY | VTV | AGG | HYG | IEF | PSP | PEX | APO | BX | KKR | CG | SHV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||||
| 2025-09-05 | 0.3% | -0.4% | 0.6% | 0.0% | 0.7% | -1.3% | -0.7% | -3.4% | -0.8% | -2.8% | -1.3% | -0.2% |
| 2025-09-12 | 1.6% | 1.3% | 0.4% | 0.1% | 0.2% | 1.9% | -0.1% | 4.9% | 6.7% | 5.8% | 4.5% | 0.1% |
| 2025-09-19 | 1.0% | 0.4% | -0.2% | 0.4% | -0.4% | 0.3% | -1.2% | 4.9% | 3.5% | 3.9% | 2.4% | 0.1% |
| 2025-09-26 | -0.3% | 0.5% | -0.2% | -0.2% | -0.4% | -3.8% | -4.9% | -4.9% | -6.6% | -10.0% | -6.1% | 0.1% |
| 2025-10-03 | 0.3% | -0.4% | 0.2% | 0.2% | 0.3% | 0.4% | 0.2% | 0.6% | 0.5% | 0.4% | 1.4% | 0.0% |
1. Performance#
Calculate performance stats for the assets, both stand-alone (mean, vol, Sharpe) as well as linear decompositions (alpha, beta, info ratio, r-squared).
2. Replication#
Can we replicate private equity APO using the following?
public equity
SPYtreasury bonds
IEFhigh-yield corp bonds
HYG
How does that compare to APO against SPY alone?