The S&P 500 has notched up significant gains over the last year. But looking a bit further back then the performance of the stock market is dismal. A 1999 investment made in SPDR S&P 500 (SPY) has only produced a negative real compound annual growth of -0.3%, with dividends reinvested. However, one should get much better returns by following the signals from a well constructed portfolio optimization system, which according to my analysis would have produced real average annual returns of about 30% in the past.