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Source: StepStone Private Debt Internal Database

Irrespective of the number of loans within the portfolio, the expected loss remains the same. However, the 99th percentile of the loss distribution falls significantly with the number of loans. This is one more example of the importance of diversification and the benefit of investing with multiple GPs. Indeed, having access to transactions sourced by various managers enables investors to participate in enough deals and build a well-diversified portfolio.

The COVID-19 pandemic provides another example of the importance of diversification. The lockdown and social distancing measures imposed by most governments had a dramatic effect on some businesses such as restaurants, leisure or retail shops whereas others benefited from the situation. Had it been a computer virus instead of a biological one, the affected sectors would have been very different. Diversification remains the cheapest and most effective hedge against these types of risk. StepStone recommend using investment guidelines (see section 4.2) to ensure a proper sector diversification in the portfolio.