Нравится мне время от времени играть в devil's advocate
Поэтому, привожу высказывания Peter Bernstein:
CAPM has failed more empirical tests than any other element of the body of idea we usually call modern portfolio theory. Indeed, in 2004, Eugene Fama and Kenneth French put the situation this way:
The CAPM, like Markowitz’s portfolio model on which it is built, is... a theoretical tour de force. We continue to teach the CAPM as an introduction to the fundamentals of portfolio theory and asset pricing... but we also warn students that, despite its seductive simplicity, the CAPM’s empirical problems probably invalidate its use in applications.
Дальше Бернштайн говорит, что самое большое наследство CAPM - разделение рисков на понятие систематического и идеосинкратического, а не сама формула.