As far as I know if you have for example 40% AAA, 40% BBB, 20% CCC with a total of 100k value. And someone new comes and adds 100k you can reallocate their money to fit the 40-40-20 (same as your old portfolio) and they will own 50% of your whole portfolio which is now 200k.
But what if your main portfolio has illiquid assets? This means that you'll have
40% AAA, 40% BBB, 20% XXX (illiquid, won't be traded for a few years) with a total of 100k value. Someone new comes and adds 100k to your portfolio and you do the same for 40% AAA, 40% BBB but can not buy more of XXX so you just buy 20% BBB instead.
Overall your portfolio becomes 40% AAA, 50% BBB, 10% DDD and the old & new person owns 50% of the 200k portfolio.
But your calculations have shown that DDD will probably increase much more than AAA & BBB, so overall, the late investors takes opportunity from the earlier investors.
This problem can be solved by creating a different fund for each time a fund enters an illiquid asset but then when you scale, you'll have 100 people invested with 35 different funds to manage.
How can this problem be solved? What is the best way to manage such funds?