PitchBook-2024年一季度量化视角：美国市场洞察（英）-2024

QUANTITATIVE

PERSPECTIVESUS

Market

InsightsQ12024US

Market

InsightsIntroductionPitchBook

Data,

Inc.John

Gabbert

Founder,

CEOPessimism

entering

2023

has

given

way

torenewedconfidenceabout

an

economic

soft

landing

in

2024.

Rateshave

remained

elevated,

butmarketexpectations

arethatahigher-for-not-much-longerenvironment

isupon

us.

Positiveeconomic

indicators,

improving

creditconditions,

and

lowerinflation

have

private

marketinvestors

looking

forward

tothisyear

and

beyond.Nizar

Tarhuni

Vice

President,

Institutional

Research

and

EditorialDaniel

Cook,

CFA

Head

of

Quantitative

ResearchResearchStill,valuations

acrossmany

areasof

themarket

appear

highrelative

tothecurrentinterestrateregime,

particularly

intrackingVC,

buyout,

and

realestatepricing.

Plus,

corporatedefault

ratestrendedhigherthroughout

2023.

Thenewenvironment

has

ledtoa

bifurcationacrosssectorsandstrategies.Asalways,

therearerisks

and

opportunities

forallocators

investingin

private

capital

markets.Zane

Carmean,

CFA,

CAIA

Lead

Analyst,

Quantitative

and

Funds

Researchzane.carmean@Hilary

Wiek,

CFA,

CAIA

Senior

Strategisthilary.wiek@Nathan

Schwartz

Quantitative

Research

Analystnathan.schwartz@We

proceedwithcautious

optimismas

theFederalReserve(Fed)

appears

tobe

done

withthelatestseriesof

tighteningmeasures,

theprivate

markets

have

had

plenty

of

time

tocometotermswith

theworth

of

theirportfolios,

and

signsofa

risk-onattitudein

thepublicmarketscould

finally

unjamexitactivity.Susan

Hu

Associate

Quantitative

Research

Analystsusan.hu@Contactpbinstitutionalresearch@Published

onFebruary

9,2024COPYRIGHT©

2024

byPitchBook

Data,

Inc.

Allrights

reserved.

Nopartofthispublication

maybereproduced

in

any

formorby

any

means—graphic,

electronic,

ormechanical,

including

photocopying,

recording,taping,

and

information

storage

and

retrievalsystems—without

theexpress

written

permission

ofPitchBook

Data,

Inc.Contents

arebased

oninformation

fromsources

believed

tobereliable,

butaccuracy

andcompleteness

cannot

beguaranteed.

Nothing

herein

should

beconstrued

as

anypast,

current

orfuturerecommendation

tobuyorsell

anysecurity

oran

offer

tosell,

ora

solicitation

ofan

offer

tobuyany

security.This

materialdoes

notpurport

tocontain

alloftheinformation

thataprospective

investor

maywish

toconsider

andisnotto

berelied

upon

assuch

orused

in

substitution

for

theexercise

of

independent

judgment.2PITCHBOOK

QUANTITATIVE

PERSPECTIVES:USMARKETINSIGHTSMacro

landscape3PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEKey

takeaways••••••Theengineeringof

asoft

landing

may

actually

be

happening,

given

recent

GDP

figures,thus

removing

somedownside

uncertainty

intheprivate

marketsand

bringingsomehope

toan

unfreezingof

deal

activity.Faith

in

an

economic

recovery

is

stillnot

widespread,

however,

as

bothconsumer

and

business

confidence

remainbelowtheir30-yearmedian

levels—a

statethathas

persistedsince2020.Inflationary

pressureshave

relaxed

considerably,

though

consumer

priceindex(CPI)

figuresarestillabove

theFed

target

of

2%.Thatsaid,forthreeconsecutive

meetings,theFed

has

held

ratessteady

and

signaled

thatthree

ratecutsmaybe

in

thecardsfor2024.Forward

economic

indicators

work

exceptwhen

theydon’t.

Despitea

persistentlyinverted

yieldcurve,

theruleof

thumbthatsuch

aninversion

means

recessionhas

not

proven

tobe

a

negativeomen

so

far.Oneindicator

thathas

persistentlyresistedsignsof

recessionhas

been

jobs.Whilesome

industrieshave

beenannouncing

cuts,theUSunemployment

ratehas

remained

surprisingly

low,temperingthepain

of

rising

ratesand

inflation

becauseat

leastpeople

areemployed.Theincreaseinrateshas

takensomepressureoffallocators

to

extend

intohigher-riskassets

in

order

tomeettheirreturntargets,whichcould

be

a

negativeforVC

and

high-yielddebtflows.4PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEOur

“Macro

environment

dashboard”

provides

a

look

at

broad

trends

in

the

economy

and

financialmarkets.

To

end

2023,

strong

GDP

growth

and

falling

inflation

coincided

with

risk-on

public

markets.Macro

environment

dashboardQ420204.2%Q120215.2%Q2

20216.2%Q320213.3%Q420217.0%Q12022-2.0%Q2

2022-0.6%Q320222.7%Q420222.6%Q120232.2%Q2

20232.1%Q32023

Q42023*RealGDPgrowth

(annualized)CPI

(3-monthannualized)Core

CPI

(3-monthannualized)Jobcreation4.9%4.9%3.1%3.3%1.8%3.1%2.0%2.2%6.7%80.7101.44.5%1.9%8.8%9.4%2.5%5.9%85.55.2%3.0%2.9%4.7%72.810.4%8.0%3.1%9.7%5.5%10.5%7.1%2.5%6.0%2.0%3.5%3.3%4.3%1.2%3.8%5.1%1.4%3.5%622.7%4.1%1.6%3.3%2.1%2.3%1.5%1.2%1.1%Unemploymentrate6.1%3.9%70.63.6%3.6%3.5%59.83.6%64.23.8%67.93.7%69.7Consumersentiment84.959.45058.6PositiveNeutralBusinessconfidence102101.70.08%1.45%0.25%3.04101.60.08%1.52%0.28%3.15101.30.08%1.52%0.73%3.1100.80.20%2.32%2.28%3.43100.21.21%2.98%2.92%5.8799.598.998.698.598.898.6Federalfunds

rate

0.09%US10-yearTreasury

0.93%US2-yearTreasury

0.13%0.07%1.74%0.16%3.362.56%3.83%4.22%5.434.10%3.88%4.41%4.814.65%3.48%4.06%4.585.08%3.81%4.87%4.055.33%4.59%5.03%4.035.33%3.88%4.23%3.39NegativeHigh

Yield

OASS&P

5003.8612.1%6.2%12.7%3.0%1.8%8.3%5.2%8.5%4.3%9.7%1.5%0.6%-4.4%-0.2%1.1%11.0%2.1%-4.6%-7.5%-8.9%-0.1%-5.3%0.9%-16.1%-17.2%-22.3%-4.5%-14.7%-10.0%-4.9%-2.2%-3.9%1.3%7.6%6.2%-0.8%2.6%4.1%7.5%2.7%17.0%3.2%1.7%1.9%8.7%5.2%13.1%3.1%-3.3%-5.1%-3.9%3.5%-8.3%-6.9%11.7%14.0%13.8%2.9%18.0%10.9%Russell2000

31.4%Nasdaq

Composite

15.6%8.4%0.7%16.2%8.2%Morningstar/LSTA

USLeveraged

LoansNareitAll

EquityREITs3.8%8.1%12.0%5.6%0.2%-2.0%-10.8%-8.4%1.2%MorningstarInfrastructureIndex

10.9%10.4%1.9%Sources:

Bureau

of

Economic

Analysis,

Bureau

ofLabor

Statistics,

FederalReserve,

ICEDataIndexes,

OECD,

University

of

Michigan

,

Morningstar,PitchBook

|LCD

·Geography:

US

·

*Asof

December

31,

2023;

business

confidence

asofNovember

30,2023Note:Colorshadingreflects

the

relative

Z-score

overthelast10years.5PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEAbove-trend

real

GDP

in

2023

brings

the

US

closer

to

a

successful

soft

landing.

GDP

growthforecasts

are

muted,

but

recession

fears

have

noticeably

receded.RealGDP

compared

with

trendfollowing

the

global

financial

crisis

(GFC)*$24Recession$22$20$18$16$14$12$1010%5%Q420233.3%34.8%0%-5%-10%-28.0%2000200220042006200820102012201420162018202020222024ERealGDP($T)Post-GFCtrendNext-four-quarterforecastAnnualizedquarterlygrowthrateSources:

Bureau

of

Economic

Analysis,

Wall

StreetJournalEconomic

Forecasting

Survey

·

Geography:

US

·

*AsofDecember

31,

20236PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEConsumer

sentiment

improved

over

2023,

but

both

consumers

and

businesses

are

still

warydespite

positive

economic

data.University

of

Michigan

Consumer

Sentiment

Index*USBusiness

Confidence

Index**1251031021011009910075Median:

88.369.7Median:

99.998.698975025969519901995200020052010201520201990199520002005201020152020Sources:

University

of

Michigan,

OECD

·

Geography:

US

·

*Asof

December

31,

2023

·

**As

ofNovember

30,20237PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEEasing

of

energy

and

logistics

prices

propelledinflation’simpressive

downward

progress

towardthe

Fed’s

2%

target…Year-over-yearchange

in

CPI*CPI

one-year

change

byselect

categories

in

December2023*10%8%6%4%2%Shelter6.2%3.9%CoreCPICPI3.4%3.3%ElectricityFoodApparel2.7%3.9%3.4%1.0%1.0%0.2%Newvehicles2.0%target0%-2%Commodities(excludingfoodandenergy)Education&communicationMedicalcare

servicesGasoline-0.1%-0.5%-4%-1.9%2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

2022Naturalgas

-13.8%CPICoreCPISource:

Bureau

ofLabor

Statistics

·

Geography:

US

·

*As

ofDecember

31,

20238PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPE…and

strong

jobgains

have

driven

the

unemployment

rate

back

to

the

lows

of

2019.

While

stillpositive,

jobcreation

has

cooled

to

the

average

growth

ofthe

pre-pandemic

decade.Quarter-over-quarter

USjobcreation

change*USunemployment

rate*12%6%4%11.0%10%8%6%4%2%0%2%Average

2010-20190%-2%-4%-6%-8%3.7%3.5%20102012201420162018202020222010201220142016201820202022Source:

Bureau

ofLabor

Statistics

·

Geography:

US

·

*As

ofDecember

31,

20239PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEThe

market

is

pricing

in

substantial

cuts

to

policy

rates

even

though

the

Fed

has

attempted

totemper

expectations.Federalfunds

ratewith

forward

market

expectations*6%5.3%5%Market

expectations4%3%2%1%3.5%Long-run

equilibrium:

2.5%0%20142015201620172018201920202021202220232024E2025ESources:

FederalReserve,

CMEGroup

·Geography:

US

·

*Asof

January

30,202410PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEThe

era

of

zero

ornegative

real

yields

has

ended.

Higher

interest

rates

have

allocators

rethinkingrisk

exposures,

lenders

tightening

standards,

and

dealmakers

reevaluating

leverage…10-YearTreasury

realversus

nominal

rates(monthly

series)6%5%4%3%4.0%2.2%1.8%2%1%0%-1%-2%200620072008200920102011201220132014201520162017201820192020202120222023

*Negativerealyield10-YearTreasuryBreak-eveninflationRealrateSource:

FRED

·

Geography:

US

·

*Asof

December

31,

202311PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPE…but

a

deeply

inverted

yieldcurve

showcases

the

market’s

view

that

short-term

rates

aren’t

hereto

stay.

Still,

with

systematically

higher

rates,

portfolio

optimization

math

changes.USpension

plan

returnassumptions

versus

10-YearTreasuryTreasury

market

yieldcurve*9%6%5%4%3%2%1%8%7%6%5%4%3%2%1%20yearsago7.0%4.0%December

202310

years

ago5.0%1yearago5years

ago0.7%2019MedianUSpublicpensionplanreturnassumption0%0%20072009201120132015201720212023*3-month1-year5-yearBondmaturity10-year30-yearUS10-YearTreasurySources:

FRED,

National

Association

of

StateRetirementAdministrators

·

Geography:

US*Asof

December

31,

202312PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSMACROLANDSCAPEFor

asset

allocators,

most

of

the2010s

weredefined

bylowexpected

long-term

returnsacross

asset

classes

due

toadecade

of

extremelylooseHigher

yields

have

shifted

the

efficient

frontier

up,

whichsignificantly

alters

risk-return

trade-offs

in

a

multi-asset

portfolio.10-yearexpected

risk

and

returnfor

select

asset

classes

with

efficient

frontiers*monetary

policy

in

the

wake

ofthe

GFC.

Facing

fixed

returntargets,

many

allocators

werepushed

“out

on

the

risk

curve.”This

dynamic

hit

anextremeafteranother

massive

episode

ofmonetary

stimulus

in2020and2021.Privatemarket

strategieswerekey

beneficiaries

of

lowexpected

returns

asmoneyflowed

into

riskier

assets.20232021Private

equityLarge-capequityPrivate

debtSmall-capequityPrivate

realestateThe

long-term

outlook

for

returnsnow

looks

quite

different

than

thelast

decade,

and

especially

sincerisk

premiums

bottomed

in

2021.The

entire

efficient

frontier

hasshifted

higher,

but

much

moresoon

the

lower

endof

the

riskHigh-yieldcorporate20212023Core

bondsCash

equivalentsspectrum.

This

willallowallocators

to

take

less

risk

tomeetreturntargets

and,

in

turn,decrease

demand

for

risky

assetslike

PEand

high-yield

debt.Sources:

PitchBook,

Horizon

Actuarial

·Geography:

US

·

*As

ofAugust

2023Note:The

2023expectationsweregenerated

before

therecent

furtherrise

in13PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSlong-term

bondyields.Private

markets

overview14PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSPRIVATE

MARKETSOVERVIEWKey

takeaways••••••Our

private

marketsdashboard

provides

a

heatmap

of

recent

deal

trendsand

private

fund

performance.

Q42023

volumes

of

buyouts,growthequity,

and

VC

investmentwereeachdown

-47.8%,

-44.9%,

and

-61.8%,respectively,compared

with

thesame

period

in2021.Theanomalous

behavior

of

PEfund

returnsbrought

about

by

thepandemic

and

its

aftermath

has

settled

backto

trackmoreclosely

topatterns

moreexpectedby

fundamental

marketfactors.

Our

Venture

Capital

Indexisdown

22.7%fromits

peak

inQ42021.Supported

by

twomajor

pieces

of

legislationinthelastfew

years,

2022

and

2023

put

infrastructure

inthespotlightintermsof

bothfundraising

and

returns.Manager

selection

isimportant

inprivate

markets,asthedispersion

of

returns

between

top-

and

bottom-decilefunds

within

eachof

thestrategies

runs

in

thethousands

of

basispoints.Adjusting

forappraisal-based

valuation

methods,

our

volatility

and

correlation

estimates

of

private

markets

compared

topublicindexesprovide

usefulinsightforportfolio

construction

inputs.Overall,

valuations

arestillnot

atlevelsthatwould

suggestgreatreturnsfrom

recent

vintages,

exceptingperhaps

forprivate

debt,whichhasn’t

seensuch

an

attractiveenvironment

sincejustafter

theGFC.15PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSPRIVATE

MARKETSOVERVIEWPrivate

markets

were

challenged

as

deal

activity

slowed

and

exits

dried

up.

In

2023,

power

at

thenegotiating

table

swung

to

investors

in

VC,

as

measured

by

our

VC

Dealmaking

Indicator.Privatemarket

dashboardQ42020Q12021$243.7Q2

2021$326.7Q32021$294.5Q42021$342.3Q12022$260.5Q2

2022$292.5Q32022$202.4Q42022$187.9Q12023$193.2Q2

2023$185.3Q32023

Q42023*Buyout

$255.9$182.8$31.9$103.7$0.0$22.4$9.3$178.8$21.0$40.9$1.8PEgrowth

$22.5Leveraged

loans

$95.2PEexitsviaIPOs

$39.5PEexitsviaM&A

$43.6Early-stageVC

$13.6Late-stageVC

$17.4Venturegrowth

$12.6VCexitsviaIPOs

$104.4VCexitsviaM&A

$37.4$41.9$228.0$44.7$63.1$16.4$34.8$24.6$92.5$15.1$25.4$195.9$92.3$38.5$21.3$36.8$20.6$213.8$25.328.4$34.0$203.7$76.7$83.8$20.9$40.6$20.8$99.8$34.719.5$38.1$172.5$26.2$89.8$28.3$41.2$23.0$127.2$28.29.3$45.4$167.4$4.3$22.2$134.3$2.2$22.1$78.1$0.0$33.4$14.5$17.1$7.6$23.0$67.1$0.0$20.8$11.5$14.0$10.0$1.8$27.1$71.9$0.9$38.0$10.3$23.6$13.4$1.1$23.1$79.5$3.5$41.9$23.7$33.6$16.1$3.6$31.3$20.2$29.0$20.2$0.7$17.6$11.2$16.6$6.6$32.9$8.9$17.0$9.4$0.9$8.1$20.2$6.6PositiveNeutral$0.6$3.4$19.8$10.379.7Negative$12.05.6$12.18.2$11.317.2$4.8$7.6$3.8EarlystageLatestage42.141.834.37.5%36.835.153.768.479.985.135.624.8135.53.58.624.646.661.18578.5VenturegrowthPrivateequity22.81511.35.46.910.627.944.155.568.171.272.416.1%23.6%6.4%3.4%7.4%13.2%13.6%14.0%8.2%4.2%5.7%11.9%7.9%8.1%6.3%6.1%1.5%-4.3%2.9%5.6%7.8%2.2%-2.7%-9.7%-0.9%1.5%-0.8%-1.7%0.4%2.3%-0.4%-0.4%0.7%-5.7%2.1%2.7%-1.4%0.1%3.3%-2.7%2.8%1.0%-1.2%1.7%3.5%0.4%0.6%0.8%0.7%2.3%0.4%-1.2%3.5%-2.6%0.6%0.6%Venturecapital

15.1%PrivatecreditInfrastructure3.6%4.3%2.3%3.4%10.7%7.1%2.7%6.6%7.5%5.9%Realestate

-0.1%All

privatecapital

7.0%2.9%-1.7%Source:

PitchBook

·Geography:

US

·

*As

ofDecember

31,

2023

·

**AsofSeptember

30,2023Note:Color

shadingreflects

therelative

Z-score

overthelast

10years.

Private

Capital

Indexreturns

in

Q32023are

preliminary.16PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSPRIVATE

MARKETSOVERVIEWRecent

PE

fund

returns

have

been

more

in

line

with

our

PEBarometerafter

a

period

of

wide

divergence

in

2020

and

2021.Rolling

one-year

PEfund

returns*ThePitchBook

PEBarometer

isa

factor-basedframework

thatestimates

PE

fund

returnsbasedon

key

economic

andmarketvariables.

Historically,ithas

trackedactual

returnsreasonably

well.However,

fromlate2020through

2021,PEfund

returns

wereconsiderablyhigher

than

theimplied

returnsfrom

thePE

Barometer.

Thisperformance

gapreversed

inearly

2022

as

fund

managersgradually

markedtheir100%80%60%40%20%0%-20%-40%20022004200620082010201220142016201820202022*Actual

desmoothedPEreturnsPEBarometerimpliedreturnsDifference

between

actual

and

implied

rolling

one-year

PEfund

returns*valuations

to

market.Outperformancerolling

over40%Formoreinformation

about

thePitchBook

PEBarometer,pleasevisitthiswebpage.20%0%-20%20022004200620082010201220142016201820202022Source:

PitchBook

·

Geography:

US

·

*PE

returns

dataas

of

September

30,

2023;PE

Barometer

inputs

asofNovember

30,202317PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSNote:Q32023returnsare

preliminary.PRIVATE

MARKETSOVERVIEWSince

the

anomalous

years

of

2020

and

2021,

VC

has

fallen

back

as

other

strategies

like

privatedebt,

natural

resources,

and

infrastructure—traditionally

laggards—recently

landed

in

the

top

half.Yearlypooled

IRRs

bystrategy15-yearhorizonIRR20102011201220132014201520162017201820192020202120222023*Secondaries23.1%Secondaries19.3%Buyout14.7%VC22.0%VC20.9%Buyout15.4%Natural

resources16.2%Buyout18.2%PEgrowth20.2%PEgrowth21.6%VC37.7%VC62.2%Natural

resources25.4%Buyout7.7%PEgrowth14.3%Opportunistic

realestateValue-addrealestateNatural

resources17.0%Privatedebt14.7%Buyout20.9%Infrastructure16.7%Buyout14.5%Secondaries17.1%VC19.4%VC16.5%PEgrowth36.0%PEgrowth56.5%Infrastructure13.9%Allprivatecapital4.0%Buyout13.3%20.4%13.4%Opportunistic

realestateOpportunistic

realestateValue-addrealestate10.6%Opportunistic

realPEgrowth19.7%PEgrowth14.2%FoF15.8%VC12.5%Allprivatecapital10.8%PEgrowth17.0%FoF16.5%Buyout16.1%FoF25.8%Buyout50.3%Privatedebt3.4%Secondaries12.2%13.0%20.2%Value-addreal

Opportunistic

real

Value-addrealOpportunistic

realestatePrivatedebt19.4%Buyout15.8%Secondaries11.8%Allprivatecapital13.8%Secondaries14.5%FoF12.6%Buyout22.4%FoF49.5%PEgrowth2.6%VC11.3%estate12.4%estate13.4%estate19.8%estate8.9%9.8%Value-addrealestateBuyout18.6%PEgrowth12.2%Allprivatecapital12.7%PEgrowth18.1%Allprivatecapital14.5%FoF11.1%Privatedebt9.6%FoF11.8%Secondaries12.5%Allprivatecapital16.4%Secondaries48.1%Privatedebt4.4%Infrastructure1.9%Allprivatecapital11.1%13.0%Value-addrealestateValue-addrealestateValue-addrealestate11.1%Opportunistic

realNatural

resources18.3%VC10.8%Secondaries12.1%Allprivatecapital17.2%PEgrowth11.0%Buyout11.7%Allprivatecapital11.3%Secondaries13.6%Allprivatecapital43.3%Secondaries1.4%Secondaries1.6%FoF10.9%14.4%8.8%Value-addrealestateAllprivatecapital16.9%Buyout10.1%FoF13.5%PEgrowth14.2%Allprivatecapital10.1%Infrastructure8.3%Allprivatecapital11.4%Privatedebt8.4%Infrastructure6.4%Natural

resources

AllprivatecapitalFoF1.6%Privatedebt8.7%estate10.9%36.0%0.4%12.0%Opportunistic

realestateValue-addrealestateValue-addreal

Opportunistic

realInfrastructure13.9%Allprivatecapital9.7%FoF9.1%Privatedebt11.7%Infrastructure8.9%PEgrowth8.1%Privatedebt10.3%Infrastructure9.8%Buyout0.2%Natural

resources0.9%Infrastructure8.2%estate6.0%estate13.8%8.3%35.2%Opportunistic

realestateOpportunistic

real

Opportunistic

realValue-addrealValue-addrealestateOpportunistic

realestate6.9%Value-addrealFoF11.6%FoF8.8%VC7.3%Natural

resources7.8%Secondaries13.5%FoF7.2%VC9.5%Privatedebt2.7%FoF-7.0%estate7.9%estate7.2%estate28.1%8.5%0.1%Opportunistic

realestateVC11.5%Infrastructure5.8%Natural

resources6.7%Secondaries7.6%Privatedebt12.7%Privatedebt5.1%Secondaries5.7%Natural

resources8.6%Privatedebt6.3%Infrastructure3.5%Privatedebt20.2%PEgrowth-7.2%VC-2.3%estate6.2%2.5%Value-addrealestateOpportunistic

realestatePrivatedebt4.2%Infrastructure6.2%Infrastructure4.8%Natural

resources

Natural

resources0.3%

-18.2%VC0.1%Infrastructure8.0%Natural

resources

Natural

resources

Natural

resources5.1%

-9.4%

-16.6%Infrastructure18.5%VC-17.9%Natural

resources5.4%-2.4%-2.9%Source:

PitchBook

·

Geography:

US

·

*As

ofJune

30,202318PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSPRIVATE

MARKETSOVERVIEWOver

the

longterm,

PE

growth

and

buyout

have

been

standoutperformers.

VC

was

keeping

pace

but

has

retrenched

since

2021.Hypothetical

growth

of

$100invested

in

Q1

2007Thisassumesinvestingin

ouruniverse

of

funds

forwhich

wehave

cash

flowsand

netassetvalue

(NAV)

data

availableeach

quarter.Itisahypothetical

resultifone

wereabletoinvestin

a“market”portfolio

of

funds

starting,inthiscase,atthebeginningof2007.

We

useour

quarterlyreturns

series

available

in

ourPitchBook

Benchmarks

reporttocalculate

thegrowthinassetvalue.

Thisdata

also$1,000$900PEgrowth:

$869Buyout:$846$800$700$600$500$400$300$200$100$0Secondaries:

$701FoF:$626VC:$611Infrastructure:

$432Private

debt:$383Natural

resources:

$268Opportunistic

real

estate:

$211Value-add

real

estate:

$185constitutes

our

PrivateCapitalIndexes.

Actualresultsexperienced

by

limitedpartners

will

vary

widely.*2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

20232022*Source:

PitchBook

·

Geography:

US

·

*As

ofSeptember

30,2023Note:DataforQ32023is

preliminary.19PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSPRIVATE

MARKETSOVERVIEWWhile

median

returns

in

private

markets

often

compare

favorably

to

public

markets,

any

givenfund’s

return

may

deviate

substantially.

Fund

selection

decisions

are

ofthe

utmost

importance.Private,closed-end

fund

net

IRR

dispersion

bystrategy

(vintages

2002

to2018)*35%33.7%33.4%31.9%30%25%20%15%10%5%27.6%27.2%23.4%23.3%10.1%22.2%9.0%18.7%5.7%18.0%9.8%16.0%15.1%2.3%14.1%4.4%14.0%-1.0%12.2%4.3%11.8%-8.1%11.3%-0.6%8.9%2.5%0%-2.0%-5%-10%-5.4%-7.6%-7.6%AllprivatecapitalBuyoutSecondariesPEgrowthFoFVCValue-addreal

Infrastructure

OpportunisticPrivatedebt

NaturalresourcesestaterealestateTopandbottomquartilerangeTop

decileMedianIRRBottomdecileSource:

PitchBook

·

Geography:

US

·

*As

ofJune

30,202320PITCHBOOK

QUANTITATIVE

PERSPECTIVES:

US

MARKET

INSIGHTSPRIVATE

MARKETSOVERVIEWWe

estimate

that

private

capital

funds

exhibit

significantly

highervolatilities

than

indicated

by

reported

figures…Incontrast

topublicmarkets,private

investmentsarevaluedlargely

according

toappraisal-basedpricing,

which

isamethod

thatinvolvesReported

and

adjusted

privatemarket

volatility

compared

with

public

indexes*infrequentand

typicallyunaudited

approximations.Appraisal-based

pricing

canintroduce

significantdownward

biason

privateinvestmentvolatility

andcorrelation

measures,

whichresultsinartificially

higherallocations

using

mean-35%30%25%20%15%10%5%variance

portfolio

optimization.0%To

account

forthesesmoothreturns

and

toprovide

amoreaccurate

depiction

of

privatemarketvolatility,

weimplementa

Geltnerautocorrelation

desmoothingmethod.

Readmoreaboutourmethodology

in

our

AnalystNote:ReturnSmoothing

inPrivateMarkets.Public

market

indexesPitchBook

PrivateCapital

IndexesReportedAdjustedSources:

Morningstar,

PitchBook

·

Geography:

US

·

*Asof

September

30,

2023Note:Public

indexes

are

based

onquarter-endtotalret