You are reviewing the last three fiscal years for a diversified investment portfolio after a weaker YTD return and a tighter liquidity outlook. The CIO has asked you to identify the clearest performance trends across the portfolio and recommend where incremental capital should be allocated next year. Assume all returns are net of fees, all figures are in USD millions, and you can use only the data below.
| Metric | Public Equities | Infrastructure | Private Credit |
|---|---|---|---|
| Beginning AUM (FY2021) | 4,000 | 3,000 | 2,500 |
| Net return FY2021 | 12.0% | 8.0% | 9.0% |
| Net return FY2022 | -15.0% | 7.0% | 10.0% |
| Net return FY2023 | 18.0% | 9.0% | 11.0% |
| Annual volatility | 22.0% | 6.0% | 4.0% |
| Expected net return FY2024 | 10.0% | 8.5% | 9.5% |
| Incremental capital available for FY2024 | 1,200 | 1,200 | 1,200 |
How would you analyze the return trend and risk-adjusted attractiveness of each asset class, and where would you recommend allocating the $1.2 billion of incremental capital for FY2024?
Time-series interpretation of multi-year returnsUse of KPIs such as cumulative return, average return, and expected dollar returnRisk assessment through return-versus-volatility trade-offs