Private equity performance through the end of March was "poor for most [private equity] fund types, with portfolio valuations continuing to drop as fund managers remain unable to exit any of their previous investments," according to Etienne Paresys, Preqin's Head of Research. Real estate private equity funds were worst, with an internal rate of return of -40.5 percent, followed by buyout funds (-33.8 percent), funds of funds (-20 percent) and venture capital funds (-17.1 percent).

Though a sufficient data set for the second quarter is not yet available, Preqin believes the results will track with the public markets. "Returns are stabilizing," Paresys says, "and it is likely that future quarters will show a modest increase in net asset value after a sustained period of decline."

The worst seems to be over for the private equity sector, but a 30 percent decline leaves a long road to recovery. Preqin cites the long-term performance of the asset class as a sign of health -- it has beaten the S&P 500 by 19.1 percent over a three-year period and 25.4 percent over five. But this does little to take the sting out of recent losses. When investors look at the balances in their accounts, they're more likely to zero in on what they have lost, rather than the fact that they did better than others.