Exploring Portfolios with Illiquid Assets

The management of illiquid assets in a portfolio is a global problem in wealth management and management of pension funds. With no set of prescriptive or (as yet) formalised standards, the responsibility is placed on super fund trustees to address the questions such as:

• How do you define acceptable portfolio quality?
• What is a tolerable level of suspected stale pricing and unit price ‘gapping’?
  (‘suspected’ because one can only estimate the market movement in unlisted assets)
• When does the performance impact of providing liquidity and restoring portfolio quality become
  unreasonable?

The core purpose of the material and tools presented here is to stimulate dialogue, discussion and further research into the pressures placed on super fund trustees. Our aim is to provide a set of resources that assist funds explore some of the challenges associated with allocating to illiquid assets.

The resources are made available to:

• Be used to frame and illustrate important trustee discussions in an interactive case study structure
• Be extended upon and incorporated into existing risk frameworks
• Provide a baseline framework to establish reference standards for Australian super funds

Who is this work for?

Investment Managers, Risk and Governance Officers, Fund Trustees and Regulators.

Frequently Asked Questions >

Important Disclaimer

These presentation and supporting research reflect the views of the authors and do not reflect the views of the Conexus Institute and the CFA Societies Australia.
These presentation and supporting research do not constitute financial advice and do not present normative recommendations for the management of funds with illiquid assets. The work is not prescriptive; it is best complemented by other insights, both quantitative and qualitative. Our models provide an element of “baselining”: they can be customized to incorporate assumptions.