The thing with illiquid assets is that they go up more in good times than liquid assets, and down more in the bad times. Marking your book below the market ser

The thing with illiquid assets is that they go up more in good times than liquid assets, and down more in the bad times. Marking your book below the market serves two purposes. You give customers who are unaware of the above a nice surprise when you sell out in good times, and they think you're a genius. In bad times, your portfolio looks less volatile than it actually is, because you smoothed out the down-move by borrowing from the up-move.