This is really excellent research, the kind of research that advances the field in an important way. I strongly recommend the FAJ article.
I hope to see this research advance along one important question in particular: what is the effect of leverage when applied to an asset class whose volatility is not measured properly?
The returns of illiquid assets--particularly private equity and private real estate--cannot be measured through transactions in a well-functioning market. Instead their returns are computed using estimated asset values, but this valuation method dramatically underestimates volatility. If you have a volatility-targeting strategy in which you are systematically underestimating the volatility, what does that do to the drag on returns caused by the use of leverage?
If anybody has thoughts on that question, I would really appreciate hearing them. And if anybody wants to collaborate on answering the question, I'm interested.