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wubbles comments on The Rational Investor, Part I - Less Wrong
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CAPM explains 70% of equity returns, Fama French model 90%, but over the 20th century it's not clear what the Fama-French factors are. I fully agree with your minor quibbles. As for upkeep and worry, yes, risk leads to return. But it is an input, and like any sort of input it should be minimized for a given level of output.