Using novel data on U.S. households, we provide the first systematic study of private equity performance by individual investors. On average, individual investments in private equity perform similarly to institutions. However, the most affluent investors outperform the least affluent by 9 percentage points in public market equivalent. Advisor fixed effects explain two-thirds of the variation in private equity performance and 75% of the wealth performance gap, as wealthier investors have better advisors that deliver persistently higher returns. Intermediary fees impose a sizable drag on performance, especially for less affluent investors.