Which is NOT one of two principals that results from the focus on SAA in portfolio construction?

A. A portfolio's systematic risk accounts for most of its change in value over the long term.
B. The returns to groups of similar assets predictably reflect exposures to certain sets of systematic factors.
C. Empirical studies have shown that 85-95% of a portfolio's total returns come from the asset allocation decision.

Correct Answer: C

C is the empirical evidence but not the underlying principle.