Total Portfolio Approach for Private Assets

The Challenge

Static weights hide real risk

TPA investors size positions by exposure to systematic risk factors — equity, rates, credit — across the whole fund. Private markets don't offer the continuous pricing that requires: appraisal-based valuations understate volatility, and a private equity allocation's beta to public equities isn't fixed — it ran above 1.0 through the low-rate 2014–2021 period and has sat below 1.0 since 2022. Without independently repriced data, private allocations sit outside the risk budget entirely.

The SIPA Approach

Four steps to bring private assets into TPA

privateMetrics® and infraMetrics® reprice monthly on a mark-to-market basis — giving TPA teams the same data granularity for private holdings as for listed markets. Our four-part research series sets out how to put that to work.

PART I · MEASURE

Measuring Exposures with Private Markets Data

Introduces the toolkit for mapping private equity and infrastructure holdings onto systematic risk factors using privateMetrics® and infraMetrics® — turning private allocations into numbers a TPA framework can use.

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PART II · GOVERN

The Reference Portfolio as a Governance Mechanism

Shows how a simple listed equities-and-bonds reference portfolio turns private holdings into consistent risk budgets, separating skill-driven active returns from market-driven passive ones.

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PART III · MONITOR

Private Assets Risk Factors Exposure

Tracks how private equity's beta to public equities has shifted over time, showing why exposures need active monitoring against listed proxies — not a static allocation weight.

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PART IV · ALLOCATE

Factor Allocations

Puts it together in a worked portfolio: adding private assets to a factor-targeted allocation lifts the Sharpe ratio from 0.55 to 0.67, since private markets carry exposure listed proxies can't fully replicate.

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