The Sterling Group at 3DL Capital Management believes the goal of long term investors should be to capture long term market returns while reducing portfolio risk through diversification. Dimensional Fund Advisors has been a pioneer in the research of how best to apply these principles in the real world. 

Dimensional  Fund Advisors (DFA)
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Dimensional Fund Advisors (www.dfaus.com) is a mutual fund company started in 1981 by alumni  from the University of Chicago’s Graduate School of Business. Their investment approach was to build investment portfolios based on unbiased long term research . One of their early conclusions was that active managers as a group reduced value because of the higher expenses associated with active management. 

Over the years DFA has pioneered additional key investment concepts. For example over long periods value stocks provide a premium over growth stocks. Similarly small cap stocks provide a premium over large cap stocks.  As a result, over 20 years ago, DFA created asset class funds that reflected these various factors. This permitted the construction of portfolios with asset class funds that overweighted high return factors and under weighted low return factors. 

The ETF market has expanded significantly over the last decade. ETF's can be used as an alternative to DFA funds in constructing a portfolio.