Currently the biggest issue causing the professionals to lose sleep is the increasing correlation of assets.
What this essentially boils down to is that professionals mix the assets in their portfolios to reduce volatility.
By doing so, they give up a certain amount of returns in order to lower the risk of their capital suffering a sharp fall in value.
Over the summer, both bonds and equities fell together, turning many of the asset allocation models the professionals use on their head.
Private investors could react to this by trying to follow what the professionals and the fund of funds managers are doing and reducing their exposure to bonds in favour of alternative assets that are less correlated.
Hedge funds, targeted absolute return funds, property and all sorts of credit are finding their way into the portfolios of institutions and multi-manager funds.
However, according to Rob Morgan (pictured), investment analyst at Charles Stanley Direct, keeping it simple could be the best approach when it comes to managing money.
"If you are a genuinely long-term investor and you do not need to access your capital for a long period of time, the fluctuations in capital won’t worry you too much," he said. "But it could well be a worry to the institutional investor who is worried about next month's or next quarter's figures."
"The problem comes when people look at their portfolios too much and on a day-to-day basis and obviously you will occasionally see a drop-off."
"I have a lot of sympathy for the idea of putting your money in a portfolio of assets you trust and simply sitting it out."
Data from FE Analytics shows that the FTSE All Share has made 32.2 per cent since markets began to fall in May 2008.
Over that time the average IMA Targeted Absolute Return fund has made just 14.6 per cent and the IPD UK Property index 7.33 per cent.
The HFRX Global Hedge Fund GBP index has actually lost 9.09 per cent.
Performance of indices since May 2008
Source: FE Analytics
The bottom line is if you had put all your money in a passive fund that tracked the FTSE All Share, you would be better off today than if you had put alternatives into your portfolio.
Morgan says that picking reliable managers can boost these easy returns even more.
"If you bet on a few good managers in sectors like UK Smaller Companies, where there’s greater potential for alpha to be generated, you would be even better off."
"There’s a lot to be said for finding decent managers, then giving them the time to work for you."
"You will hopefully be in a pretty good position, even if in the short-term you take a bit of a hit."
Our data shows that the average IMA UK Smaller Companies fund has made 57.08 per cent since May 2008.
It is more volatile, of course, but not by as much as might be expected. The sector has a five-year annualised volatility figure of 18.61 per cent to the All Share’s 16.73 per cent.
No-one gets the average returns, of course, because you have to pick a manager. But as Morgan explains, it is well established that there are some consistent top performers in this sector in particular.
There are eight funds that are run by FE Alpha Managers and have five FE Crowns, and they have returned an average of 117.35 per cent to investors over the same period in question.
Performance of portfolio and sector since May 2008
Source: FE Analytics
Of course, it should be remembered that rankings are based on past performance, and there is no guarantee that this will continue.
Nonetheless, there are many managers with long track records who have proved their worth, Morgan says.
He agrees that for the long-term investor, putting money in a few cheap passives and forgetting all about asset allocation for a while could be simpler and more effective.
"Even if you are buying ETFs or passive funds, by being invested in US or UK stock markets over the past 10 years, you would have done very well."
It all depends on how much volatility you can take in the years before you come to realise your investment and how flexible you are as to when to take it.