Multi Asset Study: an in-depth analysis of multi asset portfolios

Welcome to the first in a series of papers setting out the findings of our proprietary in-depth analysis of multi-asset portfolios. For the first time, this analysis includes the performance of funds run by fiduciary managers, as well as those of investment managers, delving beyond the headline risk-return numbers to understand how returns are generated.

In this note we explore performance from a number of different perspectives, as well as introducing a new way of understanding how returns are generated by multi-asset portfolios, as opposed to where money is invested.

Three key questions we explore throughout this insight note:

  • Is there a “style” of multi-asset investing that works better across all market environments?
  • Do multi-asset investments provide a low governance way to quickly capture opportunities?
  • Do multi-asset investments provide any material access to the illiquidity premium?
Across the 25 providers surveyed, over 250 distinct asset class names and labels were cited. 
38% of the top performing managers in 2018 were among the worst performers of 2019.
3/12 managers surveyed generated more than 5% of their returns through an illiquidity premium.


A taste of what you can learn

What’s in a name?

There are a range of ways to build and manage multi-asset portfolios and no one approach that systematically outperforms the others. There are often differences between fiduciary and asset management portfolios but these labels are not a strong indicator for outcomes.  

Style is broadly static and predictable

Managers rarely deviate from their DNA, i.e. their style of investing, so it is always important to look under the bonnet and understand what you are buying. Once you do, you can extrapolate how your chosen fund might be expected to perform in different economic scenarios and work this into your wider strategy.

Skill is difficult to measure

Many investors adopt multi-asset strategies under the expectation that they will be more dynamic, accessing an ability to capture opportunities quickly. This is true in some cases but by no means universal. Additionally, only a small number of managers were able to measure this themselves in a meaningful way. How comfortable you are with accepting that the value of this element cannot be assessed will determine how appropriate it is to have a manager that relies on it.

Accessing a broad, but still mostly liquid, universe of assets 

Asset managers rarely incorporate a meaningful exposure to illiquid assets and fiduciary managers are unlikely to include this as part of their “core” offering.  

Please contact Sarah Lochlund or Dan Wooder if you would like to discuss any of the above topics in more detail.