Venture data is lossy

After much tussling with venture funds and (mostly) the media, CalPERS finally released performance data for its venture capital investments. Here is that data in a more useful form:



















































Year Funds Average St dev
1993 5 19% 3.6%
1994 18 13% 6.0%
1995 14 17% 8.8%
1996 17 6% 5.2%
1997 13 11% 7.1%
1998 21 -3% 3.8%
1999 12 -8% 5.4%
2000 29 -15% 9.8%


Basically, you can see how returns deteriorate rapidly once you get past 1997. While it is a reasonable excuse to say that funds in their early years typically show poor returns, 1998 funds are now five years old and should be showing better than break-even numbers.


One other point: the standard deviation of returns is remarkably high. For vintage 2000 funds, the table shows that a 95% confidence interval (assuming return normality) would range from almost -35% to +5% — a very large range.


Here is the same data for CalPERS’ venture investments:




























































Year


Funds


Average


St dev


1993


1


28.6%


2.0%


1994


5


11.2%


2.2%


1995


4


23.4%


6.9%


1996


10


10.9%


4.2%


1997


3


25.3%


3.2%


1998


12


-3.9%


2.8%


1999


4


-29.7%


4.4%


2000


14


-22.8%


8.2%


2001


20


-29.8%


11.9%


2002


3


-27.6%


3.1%

Related posts:

  1. Venture syndicates