{"title":"Interview with Ian Toner, CFA, of verus","authors":"Ian Toner","doi":"10.3905/jpm.2024.1.628","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.628","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"28 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141659611","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Diversification and Asset Allocation in the Post-COVID Era","authors":"Kari Vatanen","doi":"10.3905/jpm.2024.1.610","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.610","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"36 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140971314","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Amortizing Volatility across Private Capital Investments","authors":"Mark Anson","doi":"10.3905/jpm.2024.1.608","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.608","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"3 29","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140712271","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The growing trend of sovereign wealth and pension funds to allocate more towards private investments has made the management of asset allocation more complex. Traditional rebalancing methods, such as fixed weights rebalancing, encounter problems when applied to private assets, as their illiquidity and lags in appraisal valuations pose challenges. During financial crises, the delayed and smoothed valuations of private assets lead them to be overweight in portfolios, as public assets decline in values. Rebalancing the underweight public assets can increase leverage usage and, more importantly, deteriorate the fund’s liquidity position. To address these challenges, this article proposes a holistic rebalancing strategy: rebalance a portfolio to the desired factor allocation by complementing the factor exposures of existing private assets with an allocation to public assets that overall delivers the required factor allocation. This approach safeguards the liquidity position of a fund during market downturns by maintaining a more stable risk and leverage profile. It presents a more dynamic and risk-aware approach for rebalancing portfolios with private assets.
{"title":"(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation","authors":"Redouane Elkamhi, Jacky Lee, M. Salerno","doi":"10.3905/jpm.2024.1.607","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.607","url":null,"abstract":"The growing trend of sovereign wealth and pension funds to allocate more towards private investments has made the management of asset allocation more complex. Traditional rebalancing methods, such as fixed weights rebalancing, encounter problems when applied to private assets, as their illiquidity and lags in appraisal valuations pose challenges. During financial crises, the delayed and smoothed valuations of private assets lead them to be overweight in portfolios, as public assets decline in values. Rebalancing the underweight public assets can increase leverage usage and, more importantly, deteriorate the fund’s liquidity position. To address these challenges, this article proposes a holistic rebalancing strategy: rebalance a portfolio to the desired factor allocation by complementing the factor exposures of existing private assets with an allocation to public assets that overall delivers the required factor allocation. This approach safeguards the liquidity position of a fund during market downturns by maintaining a more stable risk and leverage profile. It presents a more dynamic and risk-aware approach for rebalancing portfolios with private assets.","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"36 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140734360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Private Investing: A Survey of Issues and Solutions","authors":"Andrew Weisman, Joshua Shapiro","doi":"10.3905/jpm.2024.1.605","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.605","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"163 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140754239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Unpacking Private Equity Performance","authors":"Gregory W. Brown, William M Volckmann","doi":"10.3905/jpm.2024.1.604","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.604","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"54 51","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140363006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Estimating the Alpha and Beta of Private Capital Using State Space Modeling and Bayesian Inference","authors":"Vishv Jeet, Amit Partani, Rüdiger R. Stucke","doi":"10.3905/jpm.2024.1.603","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.603","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"51 9","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140366633","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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