thud,
First of all, thanks for adding to the discussion. Your comments bring up one important question people must ask themselves. What is your goal? You speak of RE having potential costly effects during transfers. For some, this may not be a factor and for others frankly, this may not be of any concern at all depending on what their goals are. You said that trusts cost money, but so do capital gains taxes. But these are good things, as it means you have profitable assets! I find it laughable when folks argue about not selling something because of a tax...shouldn't we all be so lucky! When you asked me about looking at something from various perspectives, not just total return or income...that may or may not be relevant to me. For some people, income is their only concern. I'm not a true income only investor, but I lean heavily this way as I am a very reluctant seller of equities (and a patient buyer...I acquire many and miss out on more by selling puts). For others, it may be total return. For anyone who plans on retiring and using the "sell 4% of my assets each year", then total return is crucial for them, since by their philosophy they need return to generate $$. For even others, it may only be to outpace the S&P 500 with whatever combination of investment vehicle. Or inflation, or whatever metric one wants to use as a measuring stick. So while your comment about confirmation bias is a somewhat intriguing one, another (equally if not more dangerous) threat in my opinion is investors constantly switching their strategy because they have no goal other than to just "make money."
If the market does well, some folks get disappointed that their portfolio is struggling compared to so many others, so they switch strategies. Or conversely when the market dumps, it's tough for many to swallow such a big loss so they switch. Or they hear their friend/relative/random internet forum guys doing this or that, which works great (right now) so they switch. But more accurately, I think the fatal flaw is that they don't have any goal they are trying to achieve. Come up with a well thought out goal, whatever that may be, and then come up with a plan to get there. Then one can re-evaluate (think constantly debrief yourself) on how you can improve your plan along the way.
As has been discussed on here previously by several other posters, I think the dollar cost averaging/index fund/low cost mutual fund/etf approach with a periodic rebalance is one of the best plans out there for people who want to maximize their profit potential and minimize their risk and effort put into it, while having no real "goal" set in mind.
Lastly, I'm not at all familiar with RS Metrics or what they are selling. Nor am I interested in a consumer discretionary/staples portfolio only. I only used Target as an off the cuff example in an effort to not just speak in vagaries, as is often the case with investment discussions (I find). There's much more worthy of discussing, but probably not worth getting bogged down in the forum over it (such as your graph you linked, which is fine and well, albeit generic and irrelevant unless someone is maybe invested in a REIT vs. Consumer staple/disc ETF). Anyway, again thanks for continuing the discussion here as I think it's one that is severely underrepresented in this community.