Comparative Optimisation of Managed Portfolios Across Market Regimes

The study contributes a contemporary perspective to the evolving discourse on the relative performance of three managed investing styles: Deep Value, Growth, and Blended portfolios. Deep Value investing focuses on fundamentally strong but undervalued stocks, whereas Growth investing targets companies with high future earnings potential. Blended investing integrates elements of Deep Value and Growth investing styles. The study examines the performance of managed investing styles in optimising portfolios under pre-pandemic and pandemic financial market regimes. Leveraging US Exchange Traded Funds (ETFs) data spanning 2016-2019 and 2020-2023, the study assesses the temporal performance of each investment strategy across five portfolio optimisation frameworks: Equal Risk Contribution, Global Minimum Variance, Minimum Tail Dependence and Most Diversified Portfolio—benchmarked against the Equally Weighted routine. Complementary out-of-sample performance indicators on returns, volatility, and wealth distribution are further evaluated. The results show that distinct portfolio management styles and optimisations are suitable for pandemic and pre-pandemic market conditions. The empirical assessment suggests that Deep Value portfolios outperformed during the pandemic regime, while Growth portfolios dominated performance during the pre-pandemic regime. The findings highlight the importance of calibrating optimisations with regime-specific risks in dynamic market contexts for enhanced portfolio resilience and sustainability.