This article reviews the different aspects of the asset allocation debate. It starts with the most widely discussed disagreement: the differences between the variation in returns over time (the focus of Brinson’s 1986 study) and the variation in returns across portfolios (the heart of Jahnke’s 1997 critique of Brinson). It explores the impact of the sample used in the Brinson study on the results and the study’s implications for an investor with a broader set of investment options. Finally, it reports on the historical “success” of active management in increasing a portfolio’s returns and/or decreasing its volatility.