The study looks at the top four and bottom four performing asset classes for the past five years and reveals how the performance of commonly used asset classes can reverse over a very short period of time.
For example, UK gilts were among the best performing asset classes in 2008, then subsequently had two years in the bottom group in 2009 and 2010, and were back in the top performers last year.
Asia ex-Japan equities have also had a tumultuous time, among the best performers in 2007, 2009 and 2010 and in the worst performing group in 2008 and 2011.
2012 outlook
Andrew Cole, manager of the Baring Multi-Asset Fund, said: "So far 2012 is looking more positive for equities across the globe but there are a number of risks on the table that could provide a strong headwind to performance here. We are currently overweight in equities, having increased our allocation by 26% (from 24% to 50%) over the first two months of this year when the environment became more positive.
"We will, however, dramatically reduce this allocation as and when either the outlook for growth and earnings deteriorates or the risk premia on offer is below that required to hold risk assets such as equities. We believe over the long term equities will perform well, but one bad year can wipe out several good years of returns."
For this reason he thinks having an unconstrained mandate is crucial to enable dynamic moves into and out of asset classes as the fund manager sees fit.
Last year’s top-performing asset classes were (in order): index linked gilts (23.3%), UK gilts (15.6%), gold bullion (11.9%) and property (8.1%).
The worst performers were (in order): emerging equities (-17.6%), European equities (-15.2%), Japanese equities (-13.1%), Asia ex-Japan (-13%).
All statistics are from Barings and are for the calendar year to 31 December, showing total returns in sterling terms.
