This US News article
makes the claim that the Lost Decade wasn't too bad for those investors who were well diversified:
What many investors don't realize is that there were sectors of the U.S. economy, as well as some overseas markets, that did very well over the same time period. This is why it is so important for investors to have a well-diversified portfolio.
One of the article's example is the Russell 2000 Small Cap Value index which was up more than 60 percent for the decade. This is better than a negative return, but that's only an annual return of about 5 percent.