The Long Run: Pick Up the Pieces of Your Asset Allocation Puzzle

"Human beings are designed to fail as investors."

If James O'Shaughnessy said that in 1998-99 -- he probably did, actually -- the senior managing director at Bear Stearns Asset Management would've been laughed out of most rooms: cocktail parties, daytrading centers, the set of CNBC. But when O'Shaughnessy uttered those words this week at Ibbotson Associates' 2003 Asset Allocation Conference, the University of Chicago classroom -- filled with investment professionals who paid a grand to attend -- nodded approvingly. They were there because, like most Americans, they feel it's high time to revisit asset allocation.

Let's be honest: Somewhere over the past five years, a lot of us threw away our asset allocation playbook -- or never bothered to read it in the first place. Let's be even more honest: The financial media -- including my two employers during the past five years, The Wall Street Journal and TheStreet.com -- didn't always champion the cause of asset allocation, even though it is the most important factor for every investor. ...