The importance of asset allocation policy in stock/bond portfolios is widely recognized. Drawing a parallel for equity-only portfolios, this study analyzed the importance of allocation by economic sector and by size and style in purely U.S. stock portfolios and the importance of regional allocation policy in international stock portfolios. The study found that allocation policy explains one-third to nearly three-quarters of among-fund variation in returns, nearly 90 percent of across-time variation, and more than 100 percent of the level of stock portfolio returns.