It's too bad Moses didn't come off the mountain with stone tablets that included, "Thou shalt not covet last year's best asset class." Religious readers probably already know that it's a sin to covet, yet nowhere is this form of beat-thyself-up behavior more evident—and with more dire consequences—than in the domain of investing. All too often, clients tend to focus on the best investments that they were not invested in during the previous quarter or year.

This nasty habit of looking back after the year is over and thinking we should have been smart enough to have picked the best asset class 12 months ago is ridiculous—and yet many clients, and even advisors, still do it. To examine the effect of such performance chasing, I looked at 15 years of returns, broken out by asset class. The "Covet This" chart lists 12 asset classes that would be included in a broadly diversified portfolio, including eight equity and equitylike asset classes (U.S. stocks, non-U.S. stocks, real estate, resources, commodities) and four fixed-income asset classes. For each year, the best-performing asset class is highlighted in yellow.

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