The Tradeoff Between Liquidity and Performance - MandarinTheTradeoffBetweenLiquidityandPerformance-Mandarin

如果您想知道自己是否以流动性为由过度牺牲投资组合回报，我很高兴与您分享一份新的资产配置框架，它可以帮助投资者衡量投资组合流动性与回报之间的权衡关系。

此框架考虑到了私募资产的实际回报特征，其中包括其独特的现金流概况和起伏较大的交易成本。此框架也可让投资者表达其对预期私募资产回报及其基金选择技能的看法。

此外，它可决定满足投资者流动性需求信心水平的最佳资产配置。在不同流动性要求下的投资组合预期价值的变化，反映了流动性和回报之间的权衡关系。该框架有助于回答下列问题："让我的投资组合更具流动性要牺牲多少投资回报？"以及"我的投资组合流动性过高吗？"

下面视频概述，Michelle Teng 和 Junying Shen 详细说明其研究方法.

 

If you ever wondered whether you’re sacrificing too much portfolio performance in the name of liquidity, I’m excited to share a new asset allocation framework that help investors measure the tradeoff between liquidity and performance.

The framework incorporates realistic performance characteristics of private assets, including their unique cash flow profiles and lumpier transaction costs. The framework also allows investors to express views on expected private asset performance and their fund-selection skills.

Additionally, it identifies the optimal asset allocation for an investor’s desired level of confidence. Changes in a portfolio’s expected horizon value given different liquidity requirements, capture the tradeoff between liquidity and performance, helping to answer: “How much does it cost to make my portfolio more liquid?” and “Is my portfolio too liquid?

Michelle Teng and Junying Shen explain their research methodology in the overview video.

Read the white paper

Read the executive summary