here is little doubt the stock market is more behavioral than informationally efficient. Fuller Thaler pursues a combined behavioral/fundamental stock methodology, so not a behavioral pure play. It is not clear which part of this combined strategy delivers FT's outperformance. My guess is that both contribute.

Enough of the "risk adjusted return" game. CAPM beta has no evidence supporting it as a measure of risk, while even Fama and French admit they do not know whether so called "factors" represent risk or opportunity.

So, to penalize investment performance for what may be an opportunity and not a risk makes no sense. You can see the perverse logic here: the strategy outperformed so it must be due to risk!

Until we have a legitimate, agreed upon measure of risk then "risk adjusted returns" make no sense.

At AthenaInvest we have been managing two pure play behavioral strategies, one a value strategy for 22 years and another a market exposure strategy for 14 years. Each has dramatically outperformed since inception.

We are strong believers in Behavioral Portfolio Managment.