Hi!
I want to create a new Entitity (Project) and then another Entity 
(Investor). Is there a way to create a relationship so that I can see all the 
activities of the Investors linked to the Project?

I think you should build a custom webpage with a datagrid.  you can
display that in an Iframe on the project.  I'll take a couple hours to
figure out, but im sure it'll be worth the hastle.