Farrell compares quite a few of the simple passive investment portfolios recommended by some of the most well known advocates of MPT. In virtually all cases the portfolios have beaten the S&P 500 over the prior 5 year period. Virtually all also beat the s&p 500 index for the three year period and half beat the one year index.
I strongly recommend the article. It's a great glimpse into the power and benefit of a passive indexing strategy using MPT.
A few quick comments on the article:
- The S&P 500, although well known is an inappropriate comparitor - most of the portfolios are diversfied outside of the s&p 500 - it's comparing apples and oranges.
- Some of the portfolios selected from different writers are hardly their high performing portfolios (Bernstein is a good example).
- One year returns, although interesting, are especially meaningless when analyzing index investing strategies. 30 year regressions would be much more interesting and include more varied markets.
Anyway, try the articles, it's a great way to examine the actual undertakings of low cost index based strategies using MPT (modern portfolio theory).