Less volatile stocks tend to have negative abnormal profits; more volatile stocks tend to have positive abnormal profits.

Although efficient markets people still go around saying there is a "mountain" of evidence supporting their hypothesis, the truth of the matter is that it's a very old mountain that's now eroding rapidly into the sea.

So you see, in the end, it is nearly certain that the power of prediction must triumph over the arrogance of elegance.

In real-world Finance, they don't pay for elegance. They pay for power - predictive power.

The cheaper the stock, the better the outlook for future returns.

In going directly to Investment Heaven, you build your portfolio as you would build a wonderful company through a merger and acquisition program. You specify the way you want your portfolio to look, and then you assemble the profile piece by piece by bringing together companies that make their own individual contributions to the desired character.

CAPM also makes use of what is called a "definitional identity." This is something that is automatically true, simply because of the way things have been defined.