Sure, equal weight split between SPY, EFA, EEM, VNQ.
7.7% real return with 17.7% vol vs 7.1% real return with 17.1% vol.
Sharpe for equal weight: 0.435; Sharpe for SPY: 0.415
Yes, see Renaissance Technologies Medallion Fund* which earned their employees a 66% annualized return (39% after fees) over 30 years. It's one of the most well known examples out there.