In no particular order...
Foreign non-equity exposure, so either fixed income or currency. The argument that the US is a safe haven because it is a safe haven is a little thin. It might be a safe haven forever but that does not mean that some cash/fixed income exposure should not be foreign.
We use short term sovereign debt from Norway, Australia and Denmark along with a couple of others. The short date of our holdings means they sort of straddle the line between fixed income and cash other than the Aussie paper which has a pretty decent yield.
Where accessing individual issues is difficult for most individuals there are ETFs that can be useful. The WisdomTree Emerging Market Bond ETF (NYSEARCA:ELD) and the Market Vectors Emerging Market Bond Fund (NYSEARCA:EMLC) are both denominated in the local currencies. There are some small differences but they provide ETF access to foreign bonds without having 25% in Japan like several of the other foreign bond ETFs. For now the Japan exposure has not been a problem but there is a good chance that will change. In addition to those two I would think the WisdomTree Commodity Currency ETF (NYSEARCA:CCX) could be useful although it will yield less than the two funds mentioned above. Some clients own FAX which is heavy in Aussie paper but is a closed end fund. That structure won't be a hindrance very often but occasionally it will.
Some sort of commodity exposure is important but in a smaller proportion than many people think. I would also avoid the broad based funds like DBC. I've never been very fond of broad based funds as often the attributes of the various commodities get blended away. I've held gold for clients straight through for a long time for the often stated reason that no matter the price today I think it would go up tomorrow in the face of some sort of external shock. From there a little exposure to some commodity where you feel you have a handle on the supply and demand dynamics. I view commodities as diversifiers not the portfolio which is why I go small.
Although I don't own any of these now I think a small exposure to the generally lower beta, higher yielding vehicles that I touched on Friday is important. Clearly 2008 and 2009 were disasters for these things but I think with some exploration on your part you could find one or two that do indeed lower volatility and increase the yield. We owned a couple of them for several years and I was pleased with their impact on the portfolio far more often than not. One quick point is that I don't think of this group as being the same as dividend paying common stocks.
Diets in many countries have started to improve and I believe this will become increasingly more important as many places see a middle class emerge. This means protein, beverages and dessert, at least that is what I think it means. In this space, commodities might work or an ETF like MOO, which we own, that is comprised of related company stocks or some quirky companies that are not prominent in any of the ETFs. If you spend some time looking at the components for Asian countries funds you can find a couple plantation stocks. There are a couple that trade in the UK that could fit the bill. Even the Norwegian fisheries fit here, there is an ETF that could come from GlobalX for the fishery stocks but for now the companies are not the easiest to analyze.
There are countries that I think are very important to own as well. More and more countries are now accessible via ETFs--iShares and Market Vectors seem to be the leaders here but for many countries there are individual stocks that are relative large caps that correlate closely to the benchmark index. I write about these countries often enough that long time readers will know my long standing belief in places like Chile (BATS:ECH), Norway, Australia (NYSEARCA:EWA), Canada (NYSEARCA:EWC), Israel (NYSEARCA:EIS) and Brazil (NYSEARCA:EWZ). We also have exposure to Sweden (NYSEARCA:EWD), Denmark, Switzerland (NYSEARCA:EWL) the UK (NYSEARCA:EWU). We've owned China (NYSEARCA:FXI) a couple of times before but not now, we owned New Zealand (NYSEARCA:ENZL) a long time ago and looking forward Peru (NYSEARCA:EPU), Egypt (NYSEARCA:EGPT), a couple of places in Asia and Eastern Europe could make their way in at some point as well but you should invest in the countries that interest you as opposed to being of interest to me.
There are probably more segments but I'll cut it off there for now, feel free to add to the list.