Within the growing body of literature on private equity, there is intense controversy as to whether, and by how much, the industry really adds value. However, much of the diversity in results can be ascribed to a tendency to focus on a subset of private equity fund types of venture capital and buyout funds or combine very different fund types. This study identifies and explores variations in performance according to eleven different types of fund, providing a much more fine-grained picture than preceding studies. We evidence considerable heterogeneity in performance results between fund types, with funds typically associated with riskier areas of activity having divergent outcomes and generally underperforming compared to buyout funds. We also find that all eleven fund types outperform the stock market when evaluating PMEs. We explore why underperforming fund types continue to attract significant investment. We apply agency theory to help understand general partner behaviour in private equity partnerships and building on the literature on the economics of expectation and of systemic evolution to explain limited partner behaviour, draw out the implications for theory and practice. Highlights: An analysis of the relationship between a much wider range of PE fund types than preceding studies, and performance. Explanatory application of agency, expectations, and evolutionary theories. We evidence considerable heterogeneity in the performance of different types of fund. Funds typically associated with riskier areas of activity generally underperform buyout funds. We explore possible explanations behind mediocre or superior returns for specific fund types and why levels of return for some exhibit much more diversity than others.