[ConstantineX]

Let me see if I can grasp your argument in a primitive, layman form. Please feel free to correct, remand or revise. Your first myth states that the strong form of the Efficient Market Hypothesis is false. Irrational traders, coupling of sectors, movements of the market, bad calculation can generate alpha by these talented managers exploiting these idiosyncracies (Simons does this, I presume). Moreover, the length of time these traders have beat the market would suggest these people are finding or extracting real value in their strategies.

Beta is a measure of the "riskiness" of a particular portfolio's asset allocation. You claim that it is a myth that riskiness and earnings are even correlated. A comment from de Long's blog states "Most hedge funds are supposed to be low-beta. To the extent that their risk is truly idiosyncratic, it’s worth paying 2-and-20 even for lackluster returns, because they don’t add any risk to a portfolio", so one cannot even easily quantify the risk a particular portfolio has, and it isn't necessarily greater than the entire market's. Myth 4 states that even with greater "beta" from more exposure to different sectors of the market, one can arbitrage or hedge this risk and create value for the investor.

Appreciate your thoughts.