This is a famous quote attributed to the boss over at Amazon. The relevance form a portfolio construction perspective is that investors should at all times remain objective and focussed on the prize. Can we improve the probability of having a successful investment result? Are there decisions and strategies we can deploy to enable and support this? The active investment management industry would have us believe that success is a by-product of vigorous research, dynamic market engagement and the winner’s edge. Many more support the thesis that time is the only essential ingredient with moderate importance placed on the underlying asset allocation. Perhaps the truth is a combination of the two. Much has been written in academic journals about the pursuit and identification of alpha or outperformance of the market in layman’s terms. This alpha is usually associated through either optimal stock selection or enhanced market timing ability. In fact, the majority of the academic research investigating both the performance and [perhaps more importantly] the persistence of fund manager skill is unambiguous in its conclusion: active fund managers underperform the market. I can already imagine the roars of disapproval as fund managers flail around and point to the most recent period where active asset allocation did indeed deliver the alpha. The problem with this analysis however is that the sample period is not wide enough to deserve proper scientific scrutiny. We need to analyse sample periods that span decades if not generations. With this brief contextual introduction, we now turn to some common-place methods of capturing investment returns.