Private equity has traditionally been thought to provide diversi cation bene ts. However, these benefi ts may be lower than anticipated. We find that private equity suffers from signifi cant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The...

Private equity has traditionally been thought to provide diversification benefits However, these benefits may be lower than anticipated. We find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The...