Nice article. Merrill Lynch used to have a PE proxy index in the 1990s that focused on the performance of small cap stocks. I think they discontinued it after the tech bubble burst. It is true that the average PE fund performance is just that and for most investors in PE, the desire to diversify reduces overall returns. The way to win in PE as an investor is through good timing and selectivity and concentration. Throw in a healthy dose of good luck. Have you checked to see what percentage of the small cap stocks that you screen still have PE funds on the board and or have a large PE shareholder? Is there any evidence to suggest that you are screening for publicly traded PE-backed companies and you may actually be picking up PE exposure?