Wesley, thank you for an interesting and informative article, which caught my attention because I am developing a model based on the efficient frontier.
In the work I am doing I have encountered a couple of things:
1. Potential investors that I have spoken to, both institutional and retail, look for strategies that can deliver absolute returns. While risk adjusted returns are interesting to them, using the numbers in table 7 in your article they would prefer a strategy using the tangency portfolio over the other two, even if I argued the merits of risk-adjusted returns until I was blue in the face.
2. A buy and hold strategy is exposed to the sequence of returns risk, particularly for investors just entering retirement, who invest at the top of the market.
3. In the sample I have (1999-2014, mix bag of asset classes) the equal weighted portfolio underperformed the tangency portfolio on both absolute and risk-adjusted measures. However since the strategy I am using is different to that you described it is not an apples to apples comparison.
4. Returns, net of fees and taxes, are the only consideration for the people I have spoken to. So, as you point out, taxes (short-term capital gains in my case) are a very important consideration for a product designer. Fees seem to be less of an issue to investors so long as they can earn reasonable returns (4-6%) after fees and taxes.
Best wishes
Savio