For many SMSF owners, the 2015-16 financial year will go down as one to forget.

The benchmark S&P/ASX 200 (Index: ^AXJO) (ASX: XJO) closed around 4% lower compared to the same time last year, spared only by the dividends that many of its constituents paid out. Include them, and you probably went close to breaking even.

Of course, long-term investors must accept that some years will be better than others – even Warren Buffett has had his share of stinkers over the five decades that he has been at the helm of Berkshire Hathaway.

Based on that, you may think that a roughly breakeven result is pretty decent – especially when you consider that equity markets crashed earlier in the year based on an oil scare, and then again just last week when Britain voted to leave the European Union.

If that’s you, then you may feel differently when you learn that many other investors likely achieved far greater returns than you did without investing abroad or in property or gold.

Most investors are familiar with how concentrated Australia’s market is. The big banks make up an outlandish portion of the entire ASX 200, with Commonwealth Bank of Australia (ASX: CBA) and Westpac Banking Corp (ASX: WBC) accounting for 16.6% alone.

Meanwhile, Telstra Corporation Ltd (ASX: TLS) accounts for 5% of the index, Woolworths Limited (ASX: WOW) is 2% and BHP Billiton Limited (ASX: BHP) is 4.4%.

Unbelievably, the country’s top 20 stocks account for around three fifths or 60% of the entire ASX 200. What isn’t so surprising, however, is the reliance that most SMSF owners place on these shares due to their perceived levels of safety and familiarity.

And that is why most SMSFs have suffered over the last 12 months.

Many of the blue chips have run into a wall over the last year, while there are fears related to the prospects of some in the future as well.

The banks have been hit by a tougher regulatory environment and concerns related to the state of the economy. The miners are down due to commodity prices and Woolworths is losing market share to Coles and Aldi. These shares have and could continue to fall further over the coming months.

Outside of the ASX 20, however, many shares have generated far stronger returns for those investors willing to look outside the box. In fact, The Australian Financial Review reported that outside of the usual suspects, the rest of the share market is up around 10%!

That’s a significant difference, particularly when you consider the dollar value of many SMSF portfolios.

Although many of the blue chip shares may seem like safer options than those outside, if you consider and select your positions carefully, there is the potential to generate far better returns than those achieved (or not achieved) during the 2015-16 financial year.

3 Rotten Shares to Sell, and 1 to Buy Today

Don't go out and buy just any old stock. Click here now to discover 3 shares we think you should avoid today plus one top pick worth buying, even if the market turns south and the RBA keeps rates at an "emergency low." Simply click here to uncover these stocks.

HOT OFF THE PRESSES: Motley Fool’s #1 Dividend Pick for 2017!

With its shares up 155% in just the last five years, this ‘under the radar’ consumer favourite is both a hot growth stock AND our expert’s #1 dividend pick for 2017. Now we’re pulling back the curtain for you... And all you have to do to discover the name, code and a full analysis is enter your email below!

Simply enter your email now to receive your copy of our brand-new FREE report, “The Motley Fool’s Top Dividend Stock for 2017.”

By clicking this button, you agree to our Terms of Service and Privacy Policy. We will use your email address only to keep you informed about updates to our website and about other products and services we think might interest you. You can unsubscribe from Take Stock at anytime. Please refer to our https://www.fool.com.au/financial-services-guide">Financial Services Guide (FSG) for more information.

The Motley Fool Australia's parent company Motley Fool Holdings Inc. owns shares of Berkshire Hathaway (B shares). Motley Fool contributor Ryan Newman has no position in any stocks mentioned. The Motley Fool Australia has no position in any of the stocks mentioned. We Fools may not all hold the same opinions, but we all believe that considering a diverse range of insights makes us better investors. The Motley Fool has a disclosure policy. This article contains general investment advice only (under AFSL 400691). Authorised by Bruce Jackson.