Many years ago, the authors demonstrated that there is much greater dimensionality to the stock market than is suggested by the one-factor capital asset pricing model. Investors today continue to underestimate the market’s dimensionality through their recent embrace of “smart beta” strategies. Such strategies assume a market in which a few chosen factors produce persistent returns. In reality, there are numerous factors that produce returns, which vary over time. Those returns can best be captured by a multidimensional approach that emphasizes diversification across many proprietary factors and continuous adjustment of exposures to those factors.