May 12, 2020
In light of the recent volatility in public markets, we thought it an opportune time to share some updates to our framework for strategic asset allocation.
In the first edition of this paper, we focused on building the private markets portfolio on the assumption its size, return objective, and risk budget is determined in a prior phase. But as we pointed out in the first report, public and private asset classes have key risk factors in common and that we believe portfolio managers must take these commonalities into account.
The updated report discusses this aspect of portfolio construction in more detail and illustrates the importance of determining the allocation to public and private markets in conjunction with one another.
Tom Keck and Christian Frei discuss some of the data-related and analytical challenges investors face when building private market portfolios.
