This article addresses the issue of the alleged superiority of risk-factor-based asset allocations over the more traditional asset-class-based asset allocation. The authors used both an idealized model, capable of precise mathematical treatment, and optimizations based on different periods of historical data to show that neither approach is inherently superior to the other. Although the authors appreciate the role of risk models in portfolio management, they urge caution with respect to unwarranted claims of their dominance.