Beyond the 60/40 Portfolio: Regime Sensitive Multi Asset Allocation for High Net Worth Investors

This working paper evaluates whether transparent, long-only multi asset portfolio strategies can improve downside protection and risk-adjusted performance relative to a traditional 60/40 portfolio. The empirical analysis covers January 2008 through December 2025, with an out of sample comparison from January 2013 through December 2025. Six portfolio strategies are evaluated using seven exchange-traded fund proxies, quarterly rebalancing, transaction costs, inflation adjusted performance, and robustness and stress tests. The traditional 60/40 portfolio produced the highest nominal and inflation adjusted growth. Constrained mean-variance optimization achieved the highest Sharpe and Sortino ratios. Minimum-CVaR allocation provided the strongest tail risk protection but reduced long-term growth. The regime-sensitive strategy reduced downside risk but did not satisfy the precommitted overall success standard. The record includes the completed independent investment research working paper. The supporting Python analysis pipeline, final tables, figures, and archived results are available through the associated GitHub repository.