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Historical returns as compared to a benchmark are no determinant of an efficient portfolio.
An efficient portfolio is defined as one that is in the feasible set of portfolios and either offers the highest possible expected return for a given level of risk or offers the lowest possible risk for a given level of expected return.
High returns and low risk are not compatible. There is a risk-return tradeoff. For a high return, an investor must accept a higher level of risk. To get a lower level of risk, an investor must accept a lower return.
Low risk and high returns are not compatible. There is a risk-return tradeoff. For a low level of risk, an investor must accept a lower return. To get a higher return, an investor must accept a higher level of risk.