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Fund of Funds Company Indices: Performance Analysis and Maximizing the Coefficient of Determination

Rajnish Aggarwal, Manu Sharma and Esha Prashar
The Journal of Private Equity
Vol. 16, No. 1 (WINTER 2012), pp. 100-107
Stable URL: http://www.jstor.org/stable/43503737
Page Count: 8
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Fund of Funds Company Indices: Performance Analysis and Maximizing the Coefficient of Determination
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Abstract

This article examines the relationship of funds of funds (FOFs) company indices, including SVG Capital, Pantheon International Participations PLC, and JP Morgan Private Equity Limited, with the market indices—AORD, SSE Composite, N225, FTSE 100 and S&P 500 of Australia, China, Japan, the U.K., and U.S., respectively—during the last five years. The coefficient of determination indicated the percentage of the variation in the FOFs company indices, which can be explained and accounted for by the market indices of these five respective countries. The FOFs company indices, except the J.P. Morgan PE index, had higher five-year average returns than that of most of the market indices. Sharpe ratios also indicated that Pantheon Intl Participations outperformed the five market indices during last five years.

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