Quantcast

Alpha Architect announces insights on private investment volatility

EU revises growth downwards to 0.9% in 2025, weighed down by Donald Trump's customs duties
United Kingdom: Crypto firms will have to report all customer transactions
Ethereum on the brink of an incredible surge? This expert's bold prediction
DOJ is investigating Coinbase data breach— Report
Crypto Agenda: Paris and Nantes host two events
American Bitcoin, BTC Miner Backed by Eric and Donald Trump Jr, to Go Public
China and the United States Reach an Agreement – ​​What if It's Bad News for Bitcoin?
Crypto custodian BitGo secures MiCA license in Germany
Ethereum Explodes to $2,600, Surpassing the Market Valuations of Coca-Cola and Alibaba
SEC Chair Paul Atkins unveils his vision for crypto regulation as the agency charts a friendlier approach to digital assets
Coinbase's SEC Documents Reveal NY Attorney General Wanted ETH Declared Security
Bhutan launches crypto payment system for tourism with Binance Pay
Robinhood plans blockchain platform to allow trading of US securities in Europe: Bloomberg
Bad news for Bitcoin: Strategic BTC reserve plans postponed in Florida
Cryptocurrency References in SEC Files Explode to New All-Time High
Tokenized Treasuries Hit Record $4.2B Market Cap as Crypto Correction Fuels Growth
Maximizing BNB Utility on Binance: A Guide to the Benefits
FTX liquidated $1.5B in 3AC assets 2 weeks before hedge fund’s collapse
Binance recognized by Indonesian cybercrime directorate for collaborative efforts
It's the first institutional investment in the crypto exchange and the investment was made in an unnamed stablecoin, Binance said.
US CPI Inflation Drops to 2.8%: Is Bitcoin About to Explode Again?
Business founder on Binance France allegations: 'What is this madness?'
Indian authorities arrest alleged Garantex founder for US extradition
Trump’s crypto summit ‘not going to have anything on taxes’ — White House official
Bitcoin: USA could sell gold to finance its strategic BTC reserve
Lawmaker of Japanese LDP on crypto regulation: We will classify 'Crypto assets as a new asset class'
Tom Lee Predicts Market Bottom This Week, Still Sees Bitcoin Closing the Year at $150K
IMF deal to ban public sector ‘Bitcoin accumulation’ in El Salvador
Bitcoin: Michael Saylor's company pauses BTC purchases
Head of law enforcement training at Binance: We need 'a unified approach between law enforcement and industry leaders'
Alpha Architect announces insights on private investment volatility
Research
Webp swedroe
Larry Swedroe, author | Alpha Architect

Alpha Architect announced Larry Swedroe's insights on the impact of spreading volatility in private investments. The research shows that private equity's infrequent valuations can smooth returns, leading to underestimated risks and over-allocation.

Swedroe’s research on private investment volatility examines how infrequent valuations in private equity can lead to smoother returns, giving the impression of lower volatility. According to Nicolas Rabener’s 2020 study, the volatility of private equity returns is undersaid due to smoothing, making them appear less volatile than they are. This leads to an inaccurate perception of risk, as private equity returns can be replicated through public equities with similar volatility. Advisors should adjust their volatility assumptions for private equity to reflect higher risk, about 20% greater than public equities, according to Alpha Architect.

Mark Anson’s 2024 study expanded on Rabener’s findings by including various types of private investments and examining the impact of lagged betas. Anson’s research revealed that private valuation methods lead to a smoothing effect, underestimating systematic risk and inflating alpha estimates. This results in higher reported alphas and lower volatility than is accurate, affecting investment decisions and portfolio allocations, according to Alpha Architect.

Get the Newsletter
Sign-up to receive weekly round up of news from Crypto Republique
By submitting, you agree to our Privacy Policy and Terms of Service. By providing your phone number you are opting in and consenting to receive recurring SMS/MMS messages, including automated texts, to that number from our short code. Msg & data rates may apply. Reply HELP for help, STOP to end. SMS opt-in will not be sold, rented, or shared.

The findings showed that accounting for lagged betas significantly impacts reported volatility and Sharpe ratios. For instance, volatility estimates for small buyout funds doubled, and Sharpe ratios dropped substantially. The research also found that incorporating lagged betas led to a reduction in private equity allocations in portfolio models, as the true risk and return profile became clearer, according to Alpha Architect.

Alpha Architect, established in 2010, focuses on providing investors with education-driven asset management services. Specializing in value and momentum factor strategies, the firm aims to offer cost-effective, differentiated investment options such as Exchange-Traded Funds (ETFs), separately managed accounts and white-label services. Guided by principles like transparency, evidence-based investing, and systematic decision-making, Alpha Architect emphasizes client relationships that benefit all parties. The company is based near Philadelphia and is both service-disabled and minority-owned.

Organizations Included in this History
More News

Farid Mahmoodi, a crypto trader and whistleblower, has raised serious allegations against the cryptocurrency exchange Bitget.

May 29, 2025

The Financial Conduct Authority (FCA) has issued a warning regarding Codex Finance, which is allegedly offering financial and crypto-related services without proper authorization.

May 22, 2025

The Financial Conduct Authority (FCA) has issued a warning regarding Dragonfly Capital Fx, which is reportedly offering financial and crypto-related services without proper authorization.

May 22, 2025

The Comisión Nacional del Mercado de Valores (CNMV) has announced that it has informed the European Securities and Markets Authority (ESMA) of its adoption of five MiCA Regulation development guidelines.

May 22, 2025

The German Federal Financial Supervisory Authority (BaFin) has issued a warning to consumers regarding the website turbon.co.

May 21, 2025

The Financial Conduct Authority (FCA) has announced its intention to seek feedback on proposed regulations for cryptoasset trading platforms.

May 17, 2025