The article explores the benefits of diversifying investments in different asset classes. By analyzing historical data from 15 asset classes, the authors found that certain assets, like below-investment-grade fixed income, consistently improve portfolio performance. However, commodities may not always boost returns. Some asset classes do not provide significant diversification benefits when combined with others. The study also shows that the effectiveness of diversification varies over time, with cycles longer than the US business cycle. Additionally, the relative price-to-earnings ratios of US and international equity move in opposite directions to the performance of diversified portfolios.