The multi-asset category covers a of different approaches, from static balanced strategies to diversified growth strategies and hedge-fund-like absolute return strategies. While these approaches can differ substantially, they all share a common root: the well-established 60:40 equity-bond portfolio. For decades, professional investors have attempted to develop strategies to beat this simple approach by both expanding the universe to include new assets (e.g. credit, commodities, risk factors) and by asset timing through developing ever more sophisticated investment processes and portfolio construction methodologies.
Our research suggests that neither the value of active management nor the benefits of Expanded Universes are stable through time. In fact, they appear to be cyclical.