I was amazed when teaching the Investment Management Analyst Certificate course several years ago to learn that the class believed that 90% of a fund’s returns were due to its asset allocation. Shortly thereafter, I was totally flabbergasted to read the same mantra being expressed in an opinion piece written by a senior executive of one of the biggest financial houses in the world. When pointing out the dangers of extolling such a myth to said executive, I was told I was wrong as the financial house believed the mantra to be true.

So where did th...