%0 Journal Article %A Kodjovi Assoé %A Jean-François L'Her %A Jean-François Plante %T The Relative Importance of Asset Allocation and Security Selection %D 2006 %R 10.3905/jpm.2006.661371 %J The Journal of Portfolio Management %P 46-55 %V 33 %N 1 %X There remains an active debate as to whether asset allocation or security selection is more important in investment performance. This revisit of the question uses a normative framework suggested before, but adds a more representative opportunity set for asset allocation, an unbiased dataset for stocks, and a modified security selection methodology that ensures strict uniformity with asset allocation rebalancing rules. In this case, the results do not support a clear hierarchy of investment choice. The extent to which asset allocation or security selection generates dispersion in active return is largely time-dependent.TOPICS: Portfolio construction, equity portfolio management, performance measurement %U https://jpm.pm-research.com/content/iijpormgmt/33/1/46.full.pdf