We revisit the study of Cochrane (2005) to estimate the risk and return of venture capital investments with selection bias correction. We use an up-to-date dataset and enhance it to account for missing valuations using machine learning. We infer, with a median error of less than 4%, the true log value of the firm for a total of nearly 120,000 observations, six times more than the original paper, from 2010 to 2022. We find an annualized expected return of around 38%, an annualized alpha of 32.14%, a beta of 1.37, and an idiosyncratic risk of 40%.