The Relative Importance of Asset Allocation and Security Selection
Why this work is in the frame
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Bibliographic record
Abstract
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. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>equity portfolio management</ext-link>, <ext-link>performance measurement</ext-link>
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it