Excellent article, Hamlin. It's worth emphasizing that illiquidity is risky. Investors should not invest in illiquid assets unless they really will earn a return that's high enough to compensate them for illiquidity risk. Unfortunately, historically speaking most illiquid assets have NOT compensated investors for illiquidity risk--in fact, empirical evidence suggests that investors in illiquid assets have actually received LOWER returns than investors in otherwise similar but liquid assets. Until investors start to appreciate the costs of illiquidity, and start to realize that they haven't been compensated adequately (if at all) for bearing those risks, managers like Third Avenue will continue to over-allocate to Level 3 assets.