Does Entrepreneurship Through Acquisition actually beat the stock market? I ran a Public Market Equivalent (PME) test on traditional search fund returns — the apples-to-apples way to compare an illiquid private return against simply buying an index. The cash flows were calibrated to the Stanford GSB 2024 Search Fund Study and tested against S&P 500 and Russell 2000 total returns. The answer comes down to one word: diversification. A single-searcher bet is a coin flip you usually lose. The median outcome (0.90x) underperformed every public benchmark — negative annualized alpha of roughly 10–15% per year. As a one-off, ETA behaves like venture: a few winners carry everything. But a diversified book of 10–30 searchers looks very different. Against the long-run S&P 500 (~10%) and Russell 2000 (~11%), it produced a Kaplan-Schoar PME of ~1.3–1.5 and +4% to +6% of annual alpha — gross. Even after searcher carry, it still beat those benchmarks (PME ~1.1–1.2). The only benchmark it couldn't clear? The last decade's exceptional, tech-led S&P 500 run (~15.6%/yr). Net of carry, ETA roughly matched it. Against a more normal market, ETA wins. The takeaway for allocators: ETA can be a real source of alpha — but the alpha lives in the portfolio, not the single deal. Concentration is the risk, not the strategy.