Applied Research Brief: Can We Improve on Roll-Forward Valuations?

Roll-forward valuation errors are significant. This is not surprising since they ignore important sources of information. Examples of relevant information include the returns of public markets, the returns of private markets (represented by the Burgiss Manager Universe), and the past behavior of funds. In this brief we explore various techniques that improve on roll-forward valuations, and discuss in more detail the best-performing of these. Our recommended technique leverages the Burgiss Manager Universe to reduce errors by a factor of about one half.

Comparison of Valuation Forecasts for Portfolios of Funds



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