Applying the Appraisal Ratio and Style Analysis to Total Portfolio Management
介绍了评估比率和风格分析工具，用于支持整体投资组合方法，通过分析私募股权对参考组合的贡献，展示了如何提升股债组合的收益风险效率。
The total portfolio approach (TPA) provides a holistic view of plan assets and strategies that benchmark investment decisions to a reference portfolio. It is generally supported by changes in the plan’s governance structure leading to a departure from the decentralized investment management model. We provide and illustrate analytical tools supporting TPA decision. We present and review the appraisal ratio (AR) that provides a measure of the maximum Sharpe ratio improvement from the inclusion of an asset to the reference portfolio. Using the AR, we demonstrate the benefit of private equity (proxied by State Street’s PE benchmark) to reference portfolios representing alternative allocations to equity–bond portfolios. We complement this historical analysis by developing style factor models to private equity that support projections of future expected returns. These are used to demonstrate the expected mean–variance enhancements to an equity–bond efficient frontier. Our work can be applied to other asset classes and can be generalized to multi-asset, multistrategy TPA capital allocations.