PitchBook：2026永续基金指数收益平滑处理分析报告（英文版）（13页）.pdf

1、ANALYST NOTE:RETURN SMOOTHING IN EVERGREEN FUND INDEXES1Institutional Research GroupJuan Mier,CFA Lead Analyst,Fund Strategies Miles Ostroff Associate Quantitative Research Analyst Published on June 8,2026ContentsReturn Smoothing in Evergreen Fund IndexesPitchBook is a Morningstar company providing

2、the most comprehensive,most accurate,and hard-to-find data for professionals doing business in the private markets.Key takeaways 1Introduction 2Methodology and data 2Results 4Key considerations for interpreting risk in evergreen funds 9Closing remarks 10Glossary 11References 12Key takeaways Private

3、markets performance is determined by appraisals rather than by the market-based pricing done in public securities.This is the reason for a long-standing critique of private market returns:Valuations are adjusted too slowly,leading to understated volatility and subsequent issues in interpreting the t

4、rue risks of private markets.Techniques have been developed to adjust for return smoothing in private markets performance.At PitchBook,we have applied such techniques to private capital drawdown funds data for several years.Now,we apply the methodology to evergreen fund indexes.The effect of desmoot

5、hing is most pronounced in real estate,where adjusted volatility is nearly twice as high as reported volatility(5.4%versus 3.0%),and the autocorrelation is statistically valid.The broad private capital composite exhibits smaller effects,while private debt shows weaker statistical significance.Interp

6、reting return-desmoothing results in evergreen funds must be done carefully,as several evergreen funds are not pure-play private exposures.Continuous inflows may lead to irregular periods of elevated cash levels awaiting deployment.The semi-liquid nature of evergreen funds means that some funds impl