Private market reported NAVs significantly understate true economic risk because reported valuations are smoothed, lagged, and mechanically slow-moving.

This article introduces an intuitive, data-driven framework — powered by Altius’s analytics and proprietary data — to reveal the real equity, rate, and credit exposures embedded in private-equity and private-credit portfolios.

Through a simple but powerful desmoothing model, we show how observed betas drastically understate long-run risk, and we illustrate the differences using Altius-standardized factors: market, PE proxy, VIX, long interest rates, credit-spreads,
and alpha charts. The model results have a many useful applications from risk management to cash flow forecasting.