The most common benchmark in PE, which also includes time-series of returns is provided by CA and are available free of charge on their website.
Some data on the performance of nearly 1000 PE funds you could play with. As of Sept 2017, CalPERS, WSIB and Calsters holdings. The picture is close to what one observes with other asset owners, in larger datasets etc. PE funds delivered around 1.5x the money invested (there is very little variation across large asset owners in my experience, and note that Calpers and WSIB numbers are virtually identical!), which means that performance is around 11% return per annum (with a four years holding period) — not much to write home about?! I simulated (roughly) the fees paid (went a bit conservative on the management fees. Again, picture is similar across datasets. For Calpers it is basically about $7 billion of management fees, $5 billion of carried interest, i.e. $12 billion in total (there are more fees and expenses than that as explained and shown in the book). For that fee, $57 billion was invested, $84 billion was returned, i.e. about 11% p.a. return.
Fund raising prospectuses (a.k.a. PPMs) are great documents for research (even though I had a very hard time publishing my articles using these data) – it is basically the only way to obtain data on return of individual investments. The alternative is to infer these returns using the accounting information of the portfolio companies. This is not easy. An example of a PPM is available here; with the usual 30% IRR featured prominently (you know, the one that no-one takes seriously in practice). It is difficult to collect a large set as they are confidential documents and people are obsessed with the NDAs.
Similarly, Limited Partnership Agreements (LPAs) have long been as secret as the coca cola recipe. A few LPAs did end up online and have been gathered by a website called naked capitalism and located on the Pennsylvania Treasury’s public e-contracts library.
Many Management Services Agreements (MSAs) are available in SEC documents (but are a bit hard to find) — here is a link to a zipped file that contains many of them. I think it is a very interesting read.
This is the raw dataset used in the paper “private equity portfolio company fees.”
The SEC provides details of its investigations, which may include fund terms such as portfolio company fees and offsets: Apollo, Blackstone, Fenway Partners and WL Ross. Since 2011, the SEC has required investment advisors to prepare brochures detailing their investment services and fee structures. Some private equity firms disclose management fee rebates within these documents, some not.
From 2008, the Los Angeles Fire and Police Pension Fund board meeting minutes mention fund fee rebates for the funds brought forward to the board for investment approval. An example of such a document is available here.
From 2007, all private equity fund investment proposals for the State of New Jersey, Department of the Treasury presented at board meetings are listed online [link here]. You can download the ‘memorandum’, which includes a summary of the key terms and conditions, including the rebate policy for most funds.