Expected return
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What the sleeve changes
Compared with the same public portfolio and no private sleeve.
Cash yield
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Volatility
As reported
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Marked to market
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Return per unit of risk
As reported
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Marked to market
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Liquid on any given day
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Three bad stretches
Peak-to-trough loss for each portfolio. On reported marks the sleeve looks like a cushion. Marked to market, most of that cushion was a delay. Rounded historical estimates, not J.P. Morgan figures.
Public only
With sleeve, as reported
With sleeve, marked to market
Where the money could land
The likely range of values over time, from the low case (10th percentile) to the high case (90th). Ranges use marked-to-market risk, because reported risk would draw them too narrow.
With sleeve, median
With sleeve, middle half
With sleeve, 10th to 90th
Public only, median and range
Getting the money back
Calm market, requests met in full
Crowded market, pro-rated at the cap
Assumptions
Returns, marked-to-market volatility, and correlations are J.P. Morgan's 2026 estimates for the next 10 to 15 years, in U.S. dollars. Private returns are J.P. Morgan's median-manager figures, net of manager fees, before the structure drag you choose. Change any white cell and everything recalculates.
| Asset class, as J.P. Morgan names it | Return % compound | Volatility % marked to market | Appraisal smoothing | Volatility % as reported | Cash yield % |
|---|
Correlations, marked to market
J.P. Morgan's 2026 estimates. The as-reported correlations are lower, derived from these with the smoothing settings above.
Where the numbers come from
Return, marked-to-market volatility, correlation, and the cash rate: J.P. Morgan Asset Management, 2026 Long-Term Capital Market Assumptions, published October 2025, U.S. dollar matrix. Private credit uses J.P. Morgan's direct lending figures. Cash yields and the bad-stretch losses are the author's estimates. The as-reported figures are derived, not published by J.P. Morgan. J.P. Morgan publishes a new edition each fall; this page uses the 2026 edition.
How the mix is built
The public portfolio is scaled down by the private share, and the private mix fills the rest. At 20% private, an 80/20 public portfolio becomes 64% stocks, 16% bonds, and 20% split across the private sleeve.
How risk is measured
Marked to market uses J.P. Morgan's volatility and correlation estimates directly. As reported runs those same numbers through a standard appraisal-smoothing model, where each period's reported value carries over part of the last mark. A smoothing setting of s shrinks volatility by the square root of (1 − s) / (1 + s), and shrinks the correlation with public markets by the square root of (1 − s²). The defaults land reported volatility near what appraisal-based private indexes have shown.
How return is measured
Expected return is the compound annual rate, the same basis J.P. Morgan reports. A diversified mix compounds slightly better than the average of its parts. Return per unit of risk is the average annual return above cash divided by volatility.
Bad stretches
Rounded estimates of each asset class's peak-to-trough loss over the episode, weighted by the portfolio. Reported private figures reflect appraisal marks, some of which kept falling after public markets had already bottomed. This is a weighted sum, not a simulation.
Getting the money back
The crowded case assumes an evergreen fund hits its quarterly repurchase cap, commonly 5% of the fund, and every holder is pro-rated, so each quarter returns about 5% of what's left. The calm case assumes requests are met in full at the next window. Drawdown funds are assumed to return nothing early; distributions and secondary sales are not modeled.
Where the money could land
Values grow at the compound rate with marked-to-market volatility, assuming returns are independent from year to year and the mix stays constant. Bands show the 10th, 25th, 75th, and 90th percentiles.
What this leaves out
Taxes, rebalancing, commitment pacing and cash drag for drawdown funds, the J-curve, and manager selection. J.P. Morgan's private equity figure is the median manager, and the spread between top-quartile and bottom-quartile managers is wider than the private equity premium itself. The average is not the offer.