In his annual letter to investors, Ray Dalio, whose $80 billion Bridgewater fund is doing phenomenally well, returning almost 9% in 2008, had some advice and warnings to investors. Key among them: to be truly objective when designing a portfolio of investments and to remove any market bias, as strategy optimization without a deep enough understanding of "how it would work in all circumstances, including circumstances that did not occur within the period that's your frame of reference, you will inevitably do badly." In other words, if you don't anticipate everything that could happen when you throw money in the market, you are bound to lose.
Sounds like wise advice.
Bridgewater's Pure Alpha fund, is an actively-managed, signal-translating global fund, that participates in everything from copper, to currency, to treasuries, and has consistently generated significant returns over risk free rates.