Never was this more true in my experience than in the 2000-02 market decline.
If you believe that the S&P (or the Dow for that matter) is "the market," you would have been down 1/3 or more at the bottom of the market in 2002.
But if, like me, someone also had a fair amount of "skin" in small caps, internationals, REITs, bonds, emerging markets and maybe even a small helping (3-4%) of gold stocks, they wouldn't have been down more than a 1/3 -- but only about 7% in total. That's about all I lost in that bear market" despite being about 2/3 invested in equities overall.
Granted, in the 2008-09 Ursa Major this broke down and just about everything except U.S. Treasuries collapsed in tandem. But that's not always the case.
Having said that, the S&P is a reasonable proxy for large cap domestic equities. But that's only one of many different asset classes in the equity arena, and they don't always behave the same way at the same time.
"Hey, for every ten dollars, that's another hour that I have to be in the work place. That's an hour of my life. And my life is a very finite thing. I have only 'x' number of hours left before I'm dead. So how do I want to use these hours of my life? Do I want to use them just spending it on more crap and more stuff, or do I want to start getting a handle on it and using my life more intelligently?" -- Joe Dominguez (1938 - 1997)