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

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.

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

Behaviorists tell us that we tend to overweight and overreact to the most recently received information. If we do, we will find that the information that we thought was so important becomes tempered, and reduced in significance, by new and related information that follows.

If we observe the performance of only those funds that remain active, we will tend to find that the average performance of the surviving funds exceeds that of the market.

The New Finance focused on the market's major systematic mistake. In failing to appreciate the strength of competitive forces in a market economy, it over estimates the length of the short run. In doing so, it overreacts to records of success and failure for individual companies, driving the prices of successful firms too high and their unsuccessful counterparts too low.

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