There is one piece of empirical content" to the CAPM, says Roll, "which is that the true market portfolio should be on the efficient frontier [see chapter 2], if Sharpe's ideas are right, and maybe it is, but we'll never know that.... We'll never be able to measure it [the market portfolio] sufficiently when you think about all the stuff that's missing. I mean certainly it's not the American S&P 500. I mean that would be foolish to think that's a proxy for the worldmarket portfolio, which includes human capital and real estate." (Roll interview) Roll's methodological critique was interpreted by some, just as Fama and French's later empirical criticism was to be, as fatal blow to the Capital Asset Pricing Model.

Donald MacKenzie, An Engine, Not a Camera, loc. 404