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Ava Chan, age 52, is a high-net-worth investor residing in Vancouver, Canada. Four years ago, the logistics firm she co-founded had an initial public offering. One year ago, Chan retired when her obligation to work for the company and to maintain ownership of its stock ended, to spend time with her family and to manage her investment portfolio, valued at approximately Can$425 million. Her investment adviser, Ethan Gill, has extensive experience working with publicly traded equity and fixed-income portfolios. With Gill’s assistance, Chan sold her concentrated stock holdings and created a well-diversified portfolio with approximately 70% in global equities, 20% in real estate, and 10% in investment-grade fixed income. The equity and fixed-income portions of the portfolio consist entirely of index exchange-traded funds (ETFs), and the real estate portfolio consists of a well-diversified selection of REITs.

Chan’s investment plans for the coming year are threefold. A Can$25 million portfolio is intended to provide an annual retirement income of Can$1 million for her and her spouse. Trusts of Can$50 million each are to be established for her two children. The remainder of her wealth will be used to establish a charitable foundation to provide annual grants in support of environmental preservation causes.

Chan meets with Gill to discuss potential changes to her investment strategy and portfolio—specifically, the addition of more alternative investments in the charitable foundation. She tells him, “As we separate my current portfolio into the three trusts and the foundation later this year, my intention is for the trust portfolios to have the same asset allocation as my current portfolio but to shift approximately 50% of the charitable foundation’s portfolio into alternative investments, leaving the remainder in the existing asset allocation. It seems that the growth in the number of managers of these assets has made it much easier for investors like me to access top-tier managers. I understand that shifting the foundation portfolio into alternative investments will drastically reduce the liquidity of those positions, but I don’t believe this will be a concern, given the long-term horizon of the foundation. Investing in these assets will certainly require you to spend more time conducting due diligence, but based on the advisory work you’ve done for me in the past and your experience, I’m confident of your ability to do this.”

Gill responds, “It will be particularly important for the foundation that I look for managers who offer full transparency regarding their holdings and strategies, so the foundation’s investment committee can best understand the risk and return characteristics of the entire portfolio. Also, because the current portfolio is appropriate for an investor who believes financial markets are efficient, it will be important for the investment committee and me to identify markets we believe are not completely efficient and match those views to alternative investment products and strategies that are most likely to benefit from those perceived inefficiencies.”

Gill also reminds Chan, “We have used a traditional mean–variance approach to optimize your current portfolio allocation, but this will not be appropriate for a portfolio that includes substantial allocations to alternative investments. Returns to traditional asset classes are normally distributed, whereas returns to alternative investments tend to exhibit non-normality. For alternative investments, even the most basic estimate of risk, the standard deviation of returns, is likely to be measured incorrectly, because of the way returns are calculated and reported. A common approach to portfolio optimization when alternative assets are involved is a two-step process that first uses a mean–variance analysis for the traditional asset classes and then incorporates alternative assets using more sophisticated techniques, such as Monte Carlo simulation.”

Chan tells Gill, “My studies over the past year have made me realize investments in alternative investments will require different kinds of monitoring from the traditional asset classes in which I’m currently invested. Regarding performance benchmarks, we will likely have to rely on peer comparisons, which are good substitutes for the market indexes we use for traditional asset classes. For many alternative investment classes, particularly private equity and direct real estate investment, we will not be able to assess the performance until the program is fully invested, which can take many years. Furthermore, unlike traditional asset classes, for alternative investments, we need to worry about how the actions of other investors affect the performance of the investments we make.”