With the economic downturn, it’s no surprise that venture capital returns, as measured by the private equity performance index (PEPI), have been falling. But a new report notes that VCs are still doing okay compared to stock indexes like the NASDAQ and the S&P 500.

During the first quarter of this year, PEPI’s one-year returns fell 7.6 percent compared to Q4 2007, according to the report from Thomson Reuters and the National Venture Capital Association. They’re also down 2.5 percent compared to the same period last year. But a 13.3 percent return still puts VCs in the black, while NASDAQ showed a 5.5 percent one-year loss, and the S&P 500 showed a 6.6 percent loss. PEPI (which tracks the cash flow of more than 1,860 U.S. venture capital firms, accounting for more than $678 billion in capitalization) shows a similar advantage over a 10-year period, with a 17.2 percent return compared to NASDAQ’s 2.2 percent return and the S&P 500’s 1.8 percent.

So it looks like all those investors who are still putting their money into venture firms know what they’re doing. VCs, after all, invest for the long-term, and are better-equipped to weather cyclical doldrums. (If only it were easier to become a VC, or at least a VC at a reputable firm …) The economy’s biggest effect on the venture market has been indirect — the IPO and mergers/acquisitions markets are hurting, which means VCs have to pump more money into later-stage companies. That’s presumably why returns are already falling. In a statement released with the report, NVCA President Mark Heesen says returns will fall even further if the exit market doesn’t improve.