The SEC in August of 2020 broadened the pool of people considered "accredited investors" allowing this new cohort to participate in private markets. In the September 5, 2020 issue of The Economist, an article describes three problems with private equity as an investment.(Buttonwood: Impaired Visibility)
The first issue is the size of the private equity market. It is unknown. Data on the size of the industry are all estimates. Pension funds that report the proportion of assets they intend to invest in private equity rarely give specific disbursement information.
The second issue is reported returns. Currently, the returns for private equity funds report only on the returns of money actually used. Unfortunately, investor funds may site dormant for some time before a suitable investment is found. This dormant time period is not included in the investor return calculations.
The final issue the author describes is the lack of a benchmark for the industry both for performance comparison and risk. For investors in publicly traded securities there are many benchmarks from which to choose from broad market indices to sector indices. The author notes there is a move to create some sort of "public-market equivalents or PME" but so far there is no consensus on a reliable benchmark for private equity. There is also no benchmark for risk such as the Sharpe ratio.

Russell Malley