The aim of this paper is to examine the best portfolio diversification strategy in three subperiods which are during the global financial crisis (GFC), post-global financial crisis and during the non-crisis period. Two types of diversification strategies are used and compared which are Markowitz’s mean-variance approach and naïve diversification. From past studies, many pieces of evidence have shown that naïve diversification strategy sometimes performed better or not as compared to the mean-variance framework. Therefore, in this study, we incorporate ten securities from five different industries to minimize the risk portfolio. We found that during the non-crisis period, the portfolio is not well diversified. Then, we construct ten efficient portfolios from the mean-variance approach. We choose and com-pare the optimal portfolio selected based on the risk-averse preference with the naïve portfolio. Performance wise that optimal portfolio dominated the naïve strategy throughout the three subperiods tested. All the optimal portfolios selected are yielding more return com-pared to the equal weight portfolio.