Note: David Allen has been appointed as visiting professor/scholar in our group from 2013 and wanted his dual affiliation stated in this scnews item. Apologies for the second positng. Abstract: This paper features an analysis of the eeffectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and subsequent European Debt Crisis (EDC), is challenging one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety of hold-out periods and back-tests. We commence by using four two year estimation periods and subsequent one year investment hold out period, to analyze a naive 1/N diversification strategy, and to contrast its eeffectiveness with Markowitz mean variance analysis with positive weights. Markowitz optimization is then compared with various down-side investment optimization strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative eeffectiveness of Markowitz with various draw-down strategies, utilizing a series of backtests. Our results suggest that none of the more sophisticated optimization strategies appear to dominate naive diversification. Keywords: Portfolio Diversication, Markowitz Analaysis, Downside Risk, CVaR, Draw-down **Joint work with** (a) Michael McAleer , (b) Robert J. Powellc , and (c) Abhay K. Singh (a): Department of Quantitative Finance National Tsing Hua University Taiwan and Econometric Institute Erasmus School of Economics Erasmus University Rotterdam and Tinbergen Institute The Netherlands and Department of Quantitative Economics Complutense University of Madrid (b,c): School of Accounting, Finance and Economics, Edith Cowan University, Australia