Roger Ibbotson - Asset allocation

This paper by Roger Ibbotson has all the details, but the upshot is that your investment return will be determined by three main factors:

1. 75% of your return comes from something you have no control over: the overall market return. That is, simply deciding to invest at all will expose you to most of the same big market swings that everyone else experiences. What this really means is that most of your return is not at all a reflection of you as an investor or your specific strategy, but simply a reflection of what’s going on in the world as a whole.
2. 15% of your return comes from how much you decide to expose yourself to those market movements. This is your asset allocation.
3. 10% of your return comes from the specific investment choices you make. That is, the specific mutual funds, ETFs, stocks, bonds, etc. that you decide to use.