We study whether regulated semiliquid funds can successfully democratize private assets and improve retail investors’ risk-adjusted performance. Using interval funds, which invest in illiquid assets while offering periodic redemptions, we show retail investors face a trade-off between agency frictions and liquidity premia. Managers generate positive risk-adjusted returns in illiquid, information-insensitive markets, especially credit, but underperform in liquid, information-sensitive strategies, consistent with weak flow-based incentives. Outperformance originates from distribution yields rather than NAV appreciation and is amplified by leverage and portfolio illiquidity. Retail investors benefit from co-investing alongside sophisticated investors, whose stable capital supports illiquid exposure and improves liquidity transformation.