While nice in theory, the Capital Asset Pricing Model hasn't always performed as well as hoped in practice. As a result, various multi-factor models have been developed that seem to more effectively capture real world price movements. One of the more famous, the 3 factor model of Fama and French supplements the market factor of the CAPM with a size and (book-to-market) value factor. One proposed explanation for why the size factor works is the sea turtle theory. The idea being that, like sea turtles and their eggs, lots of small companies fail, but the very few that succeed grow to become enormous. Unfortunately, this isn't a very rigorous theory for why the size factor works, and the justifications for how many of the other proposed factors actually measure risk not captured by the market beta aren't much better. With all that as a preface, how should we balance our considerations of theoretical elegance with practical value? What pitfalls might we face when using something that seems to work even if we don't know why it does? While nice in theory, the Capital Asset Pricing Model hasn't always performed as well as hoped in practice. As a result, various multi-factor models have been developed that seem to more effectively capture real world price movements. One of the more famous, the 3 factor model of Fama and French supplements the market factor of the CAPM with a size and (book-to-market) value factor. One proposed explanation for why the size factor works is the sea turtle theory. The idea being that, like sea turtles and their eggs, lots of small companies fail, but the very few that succeed grow to become enormous. Unfortunately, this isn't a very rigorous theory for why the size factor works, and the justifications for how many of the other proposed factors actually measure risk not captured by the market beta aren't much better. With all that as a preface, how should we balance our considerations of theoretical elegance with practical value? What pitfalls might we face when using something that seems to work even if we don't know why it does