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 … - Robert Haugen

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.

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.

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