(Re)Balancing Act: The Interplay of Private and Public Assets in Dialing the Asset Allocation
针对主权财富基金和养老金在增加私人投资后面临的再平衡难题，提出一种整体策略：通过公共资产补充私人资产的风险因子暴露，以维持流动性并稳定风险杠杆水平。
The growing trend of sovereign wealth and pension funds to allocate more toward 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 stable risk and leverage profile. It presents a dynamic and risk-aware approach for rebalancing portfolios with private assets.