Nowcasting Net Asset Values: The Case of Private Equity

We estimate unsmoothed private equity net asset values (NAVs) at weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout (venture) fund is around 1.0 (1.4), and the total risk is 33% (4%) per year. The risk-return profile of the funds varies significantly over time and across funds. Risk-taking and reporting quality appear to persist by manager.