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(Source: Bespoke Investment Group)
The basic goal behind this sort of mix is strong returns, low volatility and a low correlation to the U.S. stock market. It's easy to see how the right people implementing a portfolio with these tools could accomplish that goal.
Obviously domestic equities, foreign equities, fixed income and cash are all readily available.
There have been many products added to the absolute return in the last few years. Some that I think are worth exploring;
Rydex Managed Futures Strategy(RYMFX), which I wrote about here and here.
There are also countless mutual funds that use long/short strategies. Some of these funds struggled badly last summer, just as the market's volatility was ramping up. A couple that did relatively well were:
JP Morgan Multi Cap Market Neutral Fund(OGNIX); don't let the 48-cent dividend in December throw you.
One last idea to mention for absolute return would be creating your own pairs trade involving sector ETFs, which I wrote about in detail
Private equity is tricky. There are plenty of exchange-traded vehicles, but just about every one that I found is down a lot more than the market. Most of them have very high yields, but they had high yields before they fell that didn't protect them.