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Fund Performance

PitchBook PE Barometer

The PitchBook Private Equity Barometer is a linear regression model that incorporates information from 14 macroeconomic, credit, and equity indicators, which have proven statistically significant in explaining the variance in quarterly PE returns.

Updated November 16, 2023; data through September 30, 2023

The PitchBook Private Equity Barometer is a linear regression model that incorporates information from 14 macroeconomic, credit and equity indicators that have proven statistically significant in explaining the variance in quarterly PE returns. The function takes the current value of the indicators as inputs and produces an estimate of the standardized quarterly PE return. (For detailed methodology, please click here.)

Below, we have charted the PE Barometer alongside the standardized quarterly PE return. These values alone are not inherently intuitive, but can be multiplied by the standard deviation of the desmoothed quarterly PE return series (7.55%), and added to the mean desmoothed quarterly PE return (3.23%) to arrive at values that are easier to interpret. For example: Q2 2021 shows a PE Barometer score of 0.49, which implies a desmoothed PE return of 6.96%. (For more information on smoothing of PE returns, please see our previous research.)

 

The table below shows detailed data about the contribution of each indicator to the overall score, which provides insight into what is driving the model’s output. Features with the highest absolute value of Beta in the table will have the largest impact on the Barometer score, and the Value field indicates the Z-score of each feature with respect to historical data.

 

Please reach out to [email protected] for additional information or feedback.

Featured image by Drew Sanders/PitchBook News

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