My 2 cents: 401K investors and gov't employees don't have the option of investing in securities. They typically are given a choice of 10-30 funds or so (maybe up to 75 or 100 at big firms.) For that reason, asset allocation assumes a preeminent position for many investors.

IRA investors have more choices, but when it comes to security selection, there seems to be little evidence that the skill to identify alpha is very common. I doubt that many CFAs would claim to have superior stock selection skills, though perhaps I am wrong? When about 7% of all stocks drive excess returns, and most of what we see in fund performance is consistent with the assumption that virtually all outperformance is driven by luck - well, why would I think any CFA is any different? The biggest controllable variable, after the amount saved, is asset allocation.

As a self directed investor, I feel very little need for security selection. I am interested in optimizing my asset allocation. I"ll interject that TAA and alternative funds such as managed funds, or even factor funds, are all interesting, but most don't have decades of performance behind them, which makes it very difficult to gauge their true impact on an otherwise balanced portfolio. However, portfolio construction can have substantial impact on financial outcomes - a perfectly fine portfolio in one context can be ruinous in another context. Additionally, if the asset allocation is appropriate, security selection could enhance it, but indexation will go a long ways towards 'locking in' a reasonable outcome.