The investing support group Tiger 21 has about 580 members, most of them entrepreneurs who have sold their businesses. They meet regularly to provide advice and peer feedback on each other’s investment strategies. Michael Sonnenfeldt, creator of the group, says that lately, his members are dealing with growing unknowns in the market by moving more of their funds into assets where they can help shape success—and have some control over the outcome.

The stock and bond investing climates, of course, have been friendly for several years running. But with the Federal Reserve committed to increasing interest rates, stock valuations sharply elevated as the bull run approaches its 9th birthday, and national security concerns rising, there’s a growing belief among many observers that we’re due for a pullback. (Experts recently discussed these concerns at length while sitting at Fortune’s annual investment roundtable.)

Many investors are reacting to the unknowns by moving their assets to protect their portfolios against a market downturn. Looking for a defensive strategy usually means increasing exposure to an asset class that isn’t correlated with stocks or bonds—whether it’s gold, or Bitcoin, or real estate, or your brother-in-law’s latest invention. Each of these assets is risky in its own right, of course—and to put most or all of your money in any one would be a very edgy bet. But the hope is that your defensive assets will register some gains and keep your portfolio afloat if and when the rest of your holdings struggle.

Taking it private

For many entrepreneurs within Tiger 21’s network, private equity (broadly defined) provides the opportunity to decrease exposure to stocks or bonds. Over the past decade, “the single largest asset allocation shift” of these wealthy business people has been into private equity, says Sonnenfeldt, with the average allocation to that category growing from 10% to 21% today.

Private equity can mean taking a stake in a new, promising firm as an angel investor or venture capitalist. It can also include purchasing an established but struggling enterprise that you and a group of investors believe can be revived. A big enough investment could put you on the board of directors of the individual company, particularly if it’s in an early stage of development (an appealing prospect to someone with entrepreneurial expertise). Other Tiger 21 investors pool their money in funds raised by private equity firms; that structure limits their input, but decreases the amount of day-to-day attention they need to give the investment.

By betting on an individual company or on selective small pools of companies, you’re moving away from the market, choosing firms that you believe have unique characteristics that could benefit you as an investor no matter what happens on a macro level. So you’ve swapped one kind of risk for another kind—the exposure that comes with having more of your wealth tied up in relatively few assets.

The allure of cash and real estate

Of course, one of the only truly risk-free assets in anxious times is cash. Tiger 21’s clients on average have about 11% of their assets in cash. Vali Nasr, CEO of wealth manager Claraphi Advisory Network, which serves many Tiger members, says many of his clients have a 25% to 30% stake in cash. That’s high for most investors, but Nasr’s typical clients are nearing retirement with at least $2 million in net worth—and can’t risk taking a large hit to their portfolio right before stepping away from the job.

Nasr views cash as a “much better alternative these days than being in bonds or other instruments” for defensive purposes. That’s especially true with regard to long-term bonds, where rising interest rates could squeeze prices. The risk of hoarding cash: It gets you into market-timing territory—since it’s hard to predict when it might be a good time to plow that money back into stocks or bonds. And over time, of course, the value of cash gets eaten alive by inflation.

Nasr also sees real estate as an asset class that has little correlation to the overall market. The 2008 financial crisis and stock market plunge coincided with a real estate crash, but historically such correlation has been the exception rather than the rule.

Hedge funds are another option, but they come with high fees, as do some of their ETF offshoots, which have yet to prove their worth. Still, while hedge funds generally don’t do well when the stock market is strong, some funds, particularly ones that focus on managed futures, did outperform the market during the financial crisis.

Such is the balancing act of trying to defend against the stock market’s risks. In the long run, playing defense is about deciding which risks you can live with, and which ones you can’t.