T A A N S A A F L.
Thousands of stock pickers and "technical analysts" (including Zweig) make their living convincing people that it is possible.
I could build you a back-tested model that does much better than Zweig's.
IMO, the most trustworthy and realistic way of reducing portfolio risk (measured as volatility) while increasing returns is through use of modern portfolio theory. The Basics of Investing and Portfolio Theory A lot of responsible folks have looked into it, and it has academic backing. It also works in the real world.
That debate will continue forever I think. There are also many who say modern portfolio theory is completely bunk. It's easy to dismiss either side based on your point of few. "Works in the real world" is impossible to measure because the future is always unlike the past. So on it goes.....
You might be right that risk cannot be reduced while getting similar returns. That might be true overall but it is not true during certain periods with certain methods, this study proves that. I really am not sure because I see both sides make valid arguements. I'll lean toward your view, but in times like this (extreme uncertainty I would call it), I waiver some. There might be times when the risks are not worth faithfully following a theory.