The Chief Investment Officer (CIO) of a large university endowment fund is considering the addition of several non-liquid assets to the university's investment portfolio to potentially boost its overall performance. To better understand the implications of this move, the CIO has tasked an investment manager with producing a comprehensive report on the characteristics of returns generated by illiquid assets. The investment manager has subsequently conducted an analysis of the behavior of these illiquid assets, focusing on the various factors that impact their returns.