That's the point....as a retail investor I don't care about 'efficiency' which is more about balancing volatility with return. If you are investing for the long term,volatility isn't as relevant. I invested in Asian equities with an absolute oriented manager because I thought that gives me a good chance of a good return without having to check my portfolio every day or month or quarter. I may not have the most efficient portfolio but the point is I don't care. And this is when I enjoy finance. Now imagine a person who is not into finance. What do they really care about?