While most multi-asset managers lost money in an "extremely testing" Q1, average declines were relatively modest and certain strategies delivered impressive capital preservation, according to bfinance.
Analysis from the investment research firm said it was unsurprising that during the "dismal period", the multi-asset sector delivered on average negative performance.
However, it added many of the losses (see Fig. 1, below) could be viewed as "rather modest" in a quarter where the MSCI World index lost more than a fifth of its value.
Q1 also saw investment grade credit fall by 7%, almost all commodities lose value, losses across the board in the hedge fund space and a 7% drop in absolute return fixed income, which is often sought explicitly for its "resilience".
Diversifying strategies director Chris Stevens said: "Indeed, with the exception of cash and high-quality government bonds, huge risk-off moves left few places to hide at the asset class level."
However, he added there were also notable bright spots: "The sometimes-maligned GARS cohort, for instance, provided impressive resilience with a remarkable average loss of barely over 2% in March."
Stevens added: "Importantly, the quarter has illustrated the real diversity within the multi-asset space, both between the categories shown in Fig. 1 and within those groups."
He explained manager dispersion was unusually wide in Q1: "In many cases, a key driver of relative performance was the speed at which different managers measure risk, and therefore rebalance portfolios, given the extremely rapid increase in volatility across all asset classes.
"This particular crisis has been remarkable not just for the extent of market declines but the speed of those declines: in previous bear markets, it has taken an average of eight months for global stocks to lose 20%; in March it took just 16 days."
Understanding the numbers
In the long-only 'traditional balanced' space, bfinance said losses were driven almost entirely by the breakdown of the strategic allocation between equities and bonds.
Stevens said: "For reference, a global 60/40 portfolio (60% MSCI World / 40% JPM Global Government), delivered a return of approximately -12% over the quarter, losing close to 8% in March.
"Almost any move away from this benchmark would generally have hurt managers' returns: small cap underperformed large cap, non-US underperformed US, credit spreads widened, commodities fell heavily.
"It was a quarter that punished anyone who dared to diversify away from US large cap growth names (principally tech) as their principal risk exposure."
Managers that bfinance see as "bellwethers" in the 'unconstrained balanced' category - long-only, mainly invested in traditional asset classes, not anchored to a strategic benchmark - fared relatively well, Stevens added.
"We observe that some of the most well-known managers had adopted a conservative, rather sceptical stance towards the post-GFC economic and market expansion which has now ended abruptly.
"This conservatism was generally beneficial in March, with managers' losses averaging about 5% and some firms even posting positive performance for the month as a result of options-based protective positions," the director said.