you can do an analysis of the "non-realized gains" and the age of each fund then compare that to benchmarks of other funds of the same year.
Just so I'm clear, the idea here is to look at all funds that started in the same year, average the non-realized gains, then compare that to the non-realized gains of the fund you're evaluating? How do you know whether the difference is how they mark vs. actual alpha?
Look at the funds a specific "vintage" year, then look at:
1) Realized Returns/ Total Size of Fund
2) compare above to prior vintage years of same partnership/ similar funds
3) Look at unrealized returns as a percentage for this vintage across funds and for same partnership for prior funds for same years out.
The bulk (like 80%) of unrealized gains can disappear in a quarter if you have a large market correction.
Some of the variance is going to just be market conditions but in general the weaker those numbers that's a pretty bad sign.
Comments
Just so I'm clear, the idea here is to look at all funds that started in the same year, average the non-realized gains, then compare that to the non-realized gains of the fund you're evaluating? How do you know whether the difference is how they mark vs. actual alpha?
Look at the funds a specific "vintage" year, then look at:
1) Realized Returns/ Total Size of Fund 2) compare above to prior vintage years of same partnership/ similar funds 3) Look at unrealized returns as a percentage for this vintage across funds and for same partnership for prior funds for same years out.
The bulk (like 80%) of unrealized gains can disappear in a quarter if you have a large market correction.
Some of the variance is going to just be market conditions but in general the weaker those numbers that's a pretty bad sign.