Diversification sucked back in the heady days of the 'da bull bubble' - Bernstein's portfolio's he posted on Efficient Frontier lagged the U.S. market.
But the worm turned after 2000 - and then guess what looked good - heh, heh, heh.
1. In hindsight - someone will always beat the pants off 'your' portfolio.
2. In my multi asset days(yes I was sinner in the 80's) - I tryed to swag weighted asset SD to get a portfolio SD (never heard of correlation that I can remember). Same with expected growth rates for each asset class. Was kind of a pain in the but and limited as to growth - better on SD.
3. In ER - defense is better than offense. Current portfolio yield being my linebackers - with a little diversification as cornerbacks and pension/SS as safety.