Regimes are of interest to investors as they describe periods of episodic changes in returns and volatility caused by the non-normality and non-linearity characteristics of financial returns. The literature to date has examined regimes in single asset classes with little emphasis on the regime behavior of diversified (i.e. multi-asset investment) portfolios. This study examines whether lowering risk or increasing asset diversification are valid methods for investors to temper the regime behavior of their portfolios. Using a hidden semi-Markov model, we analyse the returns of two pension (i.e. superannuation) fund investment portfolios at opposite ends of the risk spectrum, namely a low risk cash-based portfolio and a moderate-to-high risk, but highly diversified, balanced portfolio. The findings show that asset class diversification does not appear to offer any noticeable benefits in relation to managing the regime behavior of investment portfolios. The findings also reveal that risk-reduction towards a cash based investment does not mitigate regimes in diversified portfolios.