In the late 1980s, just as a puppet named ALF landing on television sets across America, a couple of academic researchers issued a paper purporting to show 97 percent of a portfolio’s return came from asset allocation, not security selection.

Or at least that’s the way it was famously misquoted. By the end of the decade, and long after network TV sent ALF back into syndication space, a volley of papers went back and forth arguing whether or not investors had been duped by an asset allocation hoax.

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