Stop Guessing Private Market Beta: A Consistent Framework for Private Equity and Private Credit

Private market beta has long been debated, with empirical estimates varying widely across studies. This paper shows that the ambiguity is not driven by data limitations, but by inconsistent methodological frameworks.

Using a simple and consistent approach based on contemporaneous quarterly returns, we document a clear and stable result:

• Private equity exhibits a low beta (~0.25) relative to public equity
• Private credit exhibits a high beta (~0.9) relative to leveraged loan markets

The difference is structural. It reflects how returns are generated and observed, rather than hidden economic relationships.

These findings imply that beta is not an intrinsic property of an asset, but a function of asset characteristics, valuation methodology, and observation frequency.

The results provide empirical support for frequency-consistent valuation approaches, including the Time-Consistent, Benchmark-Driven Valuation (TCBV) framework.