By John L. Bowman, CFA, President of the CAIA Association. : Since the arrival of Modern Portfolio Theory (MPT) in the early 1950s by the legendary Harry Markowitz, we have been sturdily anchored to this philosophy when constructing portfolios. MPT’s most tangible heir, Strategic Asset Allocation (SAA), and all its apparatus—mean-variance optimization, efficient frontier, benchmarking, not to mention our organizational charts, compensation structures, academic course work, and performance reporting—have perpetuated this worldview. In recent years, however, an enterprising handful of large institutional investors have begun challenging the common wisdom of an SAA approach given some of its now known inherent weaknesses.