Preserving the Past: The Case for Frozen Indexes in Private Assets

Private-asset fund valuations are typically reported on a quarterly basis and have a significant time lag. While the delay varies across different fund structures, early reporters for closed-end private-capital funds typically take around 45 days (with most funds reporting meaningfully later). This delay stems from the complex and illiquid nature of the underlying assets, which require analysis and appraisal before valuation figures can be finalized. As a result, even 90 days after the end of a given quarter, only about 80% of fund valuations have been reported. (The reporting delay for Q4 is typically around 30 days longer.)

This industry-wide lag in reporting creates challenges for investors and analysts. In this blog, we focus on one of these challenges: The creation and updating of private-capital indexes. Private-capital indexes such as the MSCI Private Capital Closed-End Fund Indexes reflect the performance of the different private-asset classes such as buyout, venture capital, private credit, private real estate and private infrastructure. The quarterly returns of these indexes measure the performance of the given segment of the market by pooling aggregate cash flows and quarter-end valuations available at the time of calculation.

Data as of March 2025. Percentage of valuations that have been updated for the MSCI Global Private Capital Closed-End Fund Index over time. Source: MSCI Private Capital Universe  

As time passes, more funds report their valuations and — if one waits long enough — one can get 100% of reported valuations. But the delays required to receive 100% of valuations would make the indexes irrelevant for many use cases including one of the most important — judging the performance of one’s own portfolio.

Rather than waiting an impractical length of time, a common practice used in private-asset indexes is the use of unfrozen indexes, where the full history of the index is recalculated with each quarterly update (allowing for older valuations to flow into those quarters). The history of the index then changes every quarter to be more accurate and complete. As one looks further back in history where reporting approaches 100% completeness, the relative magnitude of incremental updates becomes smaller. (Although other changes — including the addition of new historical funds — can also change historical returns.)

Data as of June 2024. Quarterly returns for the MSCI Global Private Capital Closed-End Fund Index (Unfrozen; USD) as reported in the initial release (T) and the following three quarterly updates (T+1, T+2, T+3). Source: MSCI Private Capital Universe 

The unfrozen approach to indexes has two benefits:

1. It provides an indication of the “true return” as soon as practically possible with a good degree of robustness.
2. It updates history to maximize the completeness as more information becomes available.

These characteristics make unfrozen indexes ideal for many use cases including industry research and trend analysis, asset allocation and long-term portfolio monitoring. There are certain use cases, however, where changing history is less suitable — e.g. board reporting, policy benchmarking and incentive plans/compensation.

An alternative is to freeze history, where historically reported returns will not change as more information becomes available, regardless of additional valuations or new funds appearing. The timing of index calculation (i.e., how many days after the quarter to calculate and freeze the index) is an important parameter in the design of frozen indexes. There is a clear trade-off between the timeliness of the index and the number of funds with valuation data reported (providing a clearer view of the still-unknown true value). This trade-off also exists in unfrozen indexes, but it is less important as those returns have the benefit of future updating.

MSCI’s index release date follows two patterns where the Q1, Q2 and Q3 indexes are published at 80 days (unfrozen indexes) and 110 days (frozen indexes) after quarter-end. For Q4 indexes (because there is already a longer lag), both the unfrozen and frozen indexes are published at 110 days. These releases are shown in the chart below.

Data as of March 2025. Percentage of valuations that have been updated for the MSCI Global Private Capital Closed-End Fund Index, with markings for the point at which the final data cuts are taken and the index finalization process begins. Source: MSCI Private Capital Universe 

We performed backtesting to confirm that frozen quarterly returns — when compared to the latest unfrozen dataset — do not exhibit material differences or systematic bias. This is of particular importance because any valuations received after the frozen index cutoff are not included (in either the recently published return or the next period). The chart below shows backtested frozen index results for the MSCI Global Private Equity Closed-End Fund Index from 2021 through 2024, a period that experienced the most dramatic returns in private equity since the 2008 global financial crisis.

Data as of June 2024. Backtest simulation results providing the quarterly returns of the MSCI Global Private Equity Closed-End Fund Index if both frozen and unfrozen versions had existed. Source: MSCI Private Capital Universe 

While each quarterly return in the latest unfrozen indexes has changed relative to the frozen index, the direction of the difference varies and the magnitude is small (although quarters with higher absolute returns tend to exhibit relatively larger differences). 

In summary, creating an index of private-capital funds requires handling incomplete information and significant data lags. Index providers must strike a balance between timeliness, completeness and stability of reported history. Unfrozen indexes offer flexibility and (eventually) higher completeness, making them useful for research, asset allocation and understanding long-term trends. Frozen indexes, by contrast, prioritize consistency and comparability, making them more suitable for applications like governance, board reporting or incentive structures where revisions can undermine trust.

The choice between frozen and unfrozen is not about which is “better,” but about which is fit for purpose. Investors, analysts and decision-makers should be aware of these trade-offs and select the type of index that aligns with their specific use case. In doing so, they can preserve both the integrity of past reporting and the robustness of future insights.