Private Debt Fund Returns and General Partner Skills

This paper examines net of fees private debt fund performance and general partner skills, i.e. performance persistence across funds and a general partner’s ability to time the market. We document market outperformance in the cross-section against bond and equity market benchmarks, with high performance dispersion across strategies and performance quartiles. Lagged performance significantly affects current fund performance. Additionally, private debt fund general partners are skilled in timing credit market conditions, as they anticipate beneficial changes in credit market conditions. This skill affects fund performance more than persistence and ex ante known credit market conditions.