Emergence and construction of multi-asset class strategies and how they perform against traditional strategies in the modern day highly volatile markets

Abstract

The aim of the study is to determine whether or not a constructed fund with its own investment policies and asset weightings in certain alternative asset classes can outperform a more traditional Bond-Equity fund in times of volatility. The study focuses mainly on the area of risk to return and shifts in asset weighting during the analysed periods. Two funds were setup identically to test the notion whether having a passive fixed approach versus a more active approach to weighting can garner you extra performance and less risk. Within the data we see that having a multi-asset approach does beat the traditional strategy and having a more passive role in the times of volatility will see you outperform that of the active portfolio however the active fund fares better in terms of risk.