The author starts by pointing out that the early formulations of asset allocation were very narrow and did not anticipate the wide array of institutional investment possibilities that are now available. He argues that the elegant simplicity of a three-class system has now been degraded into a complex array of shifting and inconsistent categories that has lost its logical underpinnings. He suggests that what was intuitively obvious in the three-class system is now lost: homogeneity within classes and heterogeneity across classes. He therefore sets out to rethink the definition or classification of asset classes, proposing that classes, might be constructed that are “horizontal” rather than hierarchical (or rational) and offers seven broad criteria which could be used to define assets in a solid asset allocation framework.