Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a common, time‐varying strategic asset allocation. We also find surprisingly little cross‐sectional variation in the average ex post returns arising from the strategic‐asset‐allocation, market‐timing, and security‐selection decisions of the fund managers. Strategic asset allocation accounts for most of the time‐series variation in portfolio returns, while market timing and asset selection appear to have been far less important.