Institutional portfolios are increasing allocations to illiquid private assets seeking better returns and diversification. However, as allocations increase, a portfolio’s liquidity structure changes, sometimes abruptly. How can a CIO increase their confidence with private asset allocations and...

In recent years many US corporate pension plans have closed and entered their “end-state.” As end-state plans have become more prevalent, their special portfolio management challenges, including asset allocation, have gained attention.Pure immunization with public fixed income assets...

Institutional investors have increased their allocation to private assets to capture a potential return premium over public assets and diversification benefits. However, an allocation to private assets, which typically are less liquid than public assets, raises questions: “How does an...

Changes in reported private equity (PE) valuations often lag those in public asset valuations, especially during periods of market turmoil. These periods often cause portfolio asset allocations to deviate from target allocations – something known as the “denominator effect.”Rebalancing...

US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still...

In an earlier study we examined the performance of public asset classes before, during and after equity market volatility events. We now expand this study to include three types of private assets (US buyout, US mezzanine, and US real estate funds).Public equity and credit assets experienced poor...

Infrastructure is a growing asset class in institutional portfolios. But what are the implications for portfolio risk and liquidity? We explore the performance and cash flow properties of infrastructure investments, both at the asset and the fund level. We use PGIM IAS’ asset-allocation...

Purpose: The aim of this paper is to develop a two‐stage decision model of vertical integration by breaking down integration decisions into two stages: extent of integration and direction of integration. Design/methodology/approach: The study uses price premium as a proxy for...