Before revision: It is argued that the simple trading strategy of leveraging or deleveraging an investment in the market portfolio cannot outperform the market. Such stochastic market efficiency places strong constraints on the possible stochastic properties of the market.
After revision: It is argued that the simple trading strategy of leveraging or deleveraging an investment in the market portfolio cannot yield long-run outperformance. Historical data support the hypothesis. This places a strong constraint on the stochastic properties of the market.