Quote from BJL:
Sure, but then again nobody invests 100% in US equities. The comparison is quite different if you include (high yield) bonds, emerging markets, commodities, real estate and foreign equities.
And nobody invests in the CSFB index as well (unless you have access to all funds that are closed and have the capital to put money in thousands of hedge funds).
A fairer comparison would be between an investable index (you have to choose between all the funds you can invest in so this approximates an educated guess) versus a diversified portfolio of (international/us/emerging) equities, (high yield/emerging/government) debt, commodities and real estate.