Latin American Business Review, v. 16, n. 4, pp. 255-277. Abstract: This article indirectly investigates whether private equity and venture capital (PEVC) constitute an asset class different from publicly traded stocks with respect to the influence of macroeconomic risk factors. It uses a portfolio of three Brazilian exchange-traded asset management companies with PEVC funds to represent this asset class in vector autoregression models. The portfolio of PEVC stocks failed to present an attractive historical return and behaved similarly to portfolios of large and small stocks with respect to their risk exposure profile in relation to these factors. This limited sample does not suggest that these PEVC managing companies are a different class of assets, but does not reject the view of regulators and practitioners that PEVC funds are a different asset class.