Hey there,
We haven't done any formal research on a small concentrated portfolio like that. There are obviously added risks to such a strategy because if anything happens to one of those 5 stocks and 20% of your portfolio is impacted. I just look at what happened with AQN this past year and how that was viewed by many as a foundational utility company. If 20% of one's portfolio was exposed to that, it would hurt quite significantly. The same goes for big banks - look at the underperformance by BNS (which could happen to any of the Big 6 if they make poor acquisition choices). Your portfolio would likely underperform if you had but one bad apple which is why diversification is important. It is also very hard to do back-dated research because you will naturally gravitate toward the winners and avoid any losers. In other words, you're likely to do research on the stocks that look like they had a long history of success and ignore the others. So to be completely unbiased, you'd have to run multiple scenarios and likely take the average of them all. Do-able, but certainly a lot more time-consuming considering the # of potential 5 stock sets out there.
I know there are some that do advocate for this - but it is not something that I'd personally be comfortable with. It is a riskier strategy and as far as I am concerned, it does not fit my risk tolerance. If it was me, and I did not want to maintain a portfolio of individual stocks (~24-26 is the ideal # based on diversification. After that the benefits of diversification drop significantly), then I would purchase ETFs instead of a smaller concentrated batch of stocks.
Mat