%0 Journal Article %A Manu Sharma %A Rajnish Aggarwal %T S&P Listed Private Equity Index: Performance Analysis and Maximizing the Coefficient of Determination %D 2012 %R 10.3905/jpe.2012.15.3.096 %J The Journal of Private Equity %P 96-101 %V 15 %N 3 %X This research study examines the relationship of the S&P Listed Private Equity Index (LPE) with the S&P 500, S&P 600, S&P 400, and S&P Global 1200 Indices by calculating the coefficient of determination during the last five years. The S&P LPE is composed of 30 leading listed private equity companies that meet size, liquidity, exposure, and activity requirements. The coefficient of determination indicates the percentage of the variation in the S&P LPE that can be explained and accounted for by the S&P 500, S&P 600, S&P 400, and S&P Global 1200 in the regression analysis. The study also investigates the performance of the S&P LPE relative to the other indices. The performance was measured by calculating the yearly as well as five-year Sharpe ratios of the S&P LPE and comparing them with the Sharpe ratios of the market indices. The study shows that the S&P LPE had lower fiveyear average returns than did the S&P 500,S&P 600,S&P 400, and S&P Global 1200. The five-year Sharpe ratios also indicate that the S&P LPE was not able to outperform these four market indices during last five years.TOPICS: Private equity, statistical methods, performance measurement, style investing %U https://jpe.pm-research.com/content/iijpriveq/15/3/96.full.pdf