Private Assets Modelling: A quantitative approach to building and maintaining exposures

As exposures to Private Assets within portfolios continue to grow it has become increasingly important for investors to determine the pacing of commitments needed to achieve and maintain a required target asset allocation. Determining the optimal pace of commitments is a challenge and one that requires not only information about where the portfolio is today, but also general assumptions around the cash flow and return characteristics of funds that can be committed to in the future. In this paper, we discuss a quantitative approach for sizing commitments that can be used to achieve a target allocation to private markets within a multi-asset portfolio.