Found it: http://www.kauffman.org/~/media/kauffman_org/research%20repo...

The title is "We Have Met The Enemy...And He Is Us": Lessons from 20 years of the Kauffman Foundation’s Investments in Venture Capital Funds.

That's a great paper but most people are interested in the performance of the top 10 firms, not the average of the top 100. If I invest only in Sequoia/KPCB/AZ/Accel how well am I doing?

You should be able to get return information from State Pension Funds that invest in private equity/venture capital.

For example, the Washington State Investment Board Private Equity IRR report can be access at http://www.sib.wa.gov/financial/invrep_ir.asp. From December 2013 IRR Report [PDF] at http://www.sib.wa.gov/financial/pdfs/quarterly/ir123113.pdf,

    U.S. Venture Partners VIII, L.P.     6/4/2001     3.23%
    New Enterprise Associates 10, L.P.     10/17/2000     3.16%
    Menlo Ventures X, L.P.     1/6/2006    0.66%

That's great, thanks. Unfortunately it doesn't have much post 2001 data on many big name VC funds like Sequoia/Accel/KPCB.

Reuters couldn't get these via Calpers after suing.

http://www.reuters.com/article/2013/12/20/us-funds-californi...

Like this ?

"Only four of thirty venture capital funds with committed capital of more than $400 million delivered returns better than those available from a publicly traded small cap common stock index"

That's helpful but the argument will always be that you just need to pick one of those four or that Kauffman are bad pickers of funds and therefore exclude many of the best from their allocation.

  you just need to pick one of those four 

Outside of the VC industry, one technique used by some investment management companies is to launch enough funds that some will outperform the market by chance. Then they quietly close down all those that perform equal to, or worse than the market average and trumpet the success of the one or two that lucked out.

Perhaps which four of the thirty you should pick is only obvious with hindsight :)

  or that Kauffman are bad pickers of funds

I assume when they compare VC funds to a "common stock index" they mean an index fund [1], a type of fund that aims to provide market-average performance with lower fees than an actively managed fund. For example, an index fund tracking the S&P 500 does it by holding all the shares that comprise the S&P 500.

[1] https://en.wikipedia.org/wiki/Index_fund

> ... one technique used by some investment management companies is to launch enough funds that some will outperform the market by chance. Then they quietly close down all those that perform equal to, or worse than the market average and trumpet the success of the one or two that lucked out.

Yes, that's how independent investment advisors puff up their reputations also. In fact, it's the basis of a sneaky and convincing promotion scheme called "Miracle Man":

http://arachnoid.com/equities_myths/index.html#Miracle_Man

People who hear only the result of Miracle Man often say, "That's impossible!" But it's so easy that it can be automated.

I agree with you, it just would be nice to have some data to further support the argument. It is much more convincing if Sequoia funds have inconsistent or mediocre performance than if they all had outsized returns. I am also genuinely curious as to the exact returns the premiere funds have.

Also what I meant regarding bad fund picking is that the universe of VCs funds that were in the Kauffman portfolio may not have included all the great performing funds.

Depends what's the Beta of PE/VC vs the S&P 500 / FTSE 100.

And blindly tracking major indexs means you are highly invested in a smallish number of stocks in the same area in this example investing in the big indexes means you will have take all the losses with the bank crashes - instead of a share/fund that got out or banks when it looked to toppy.