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Strategies based on a mix of index funds and individual investments are not likely to generate gains during periods when the index falls, but they are still able to beat the market if the individual stocks are selected wisely. Zeller’s comment about diversification is true, and at the heart of the argument in favor of the Treynor-Black model. The statement about overweighting high-return stocks is not a particularly good argument, because the model also calls for underweighting stocks with high unsystematic risk. But the worst argument involves beta, because the Treynor-Black model doesn’t take beta into account directly