Private equity has heen dominating the news recently both as an asset class and a tool to facilitate market efficiency in South Africa. Many private equity funds have had good returns in recent limes. However, many pension funds still shun away from this asset class, mainly due to lack of understanding of the risk inherent in this asset class, and in its potential overall risk diversifying characteristics. Regulation 28 of the Pension Fund Act, prescribes maximum allocation of five percent to unlisted assets and that includes private equity as an asset class.One of the reasons why investors don't understand this asset class is the lack ofcomparabJe data relative to the listed asset classes such as listed equities and listed bonds. From these asset classes, people get data on a daily basis and they are able to Wlderstand the daily prices and values of their portfolio. They can also try to value the individual stocks within their portfolio by using variables such as price:earnings ratio and dividend yields, as that information is freely available. This research tries to use the listed private equity companies to establish a Private Equity Index.