Financial researchers have had great success over the years in deciphering some of the mysteries of asset pricing. Much of it boils down to recognizing that the source of excess returns—risk premiums—can be traced to various betas, or specific types of market risks, or factors or investment anomalies or whatever term you prefer. As productive as this effort has been, it’s only half the battle. The next phase of deciphering Mr. Market’s secrets—indeed, the critical phase—has only just begun. Figuring out how to efficiently manage risk factors–dynamic asset allocation—is still in its infancy. Nonetheless, this is the holy grail of investment strategy.