The end reason to explain why market is so efficient is not about whether majority of investors' capital is smart or not smart; it's all about leverage.  The end reason why LTCM blew up, is also about leverage.  Think about 125x levered vs just 2x levered book of russian bonds; when they defaulted, there's no way out. 

Now, how come today's market is so highly levered?  Leverage benefits from cheap credit.  The ultimate culprit is yen carry trade and china.  As long as asian keep buying US treasuries long term yields are low enough to keep stock market afloat. The real interest rate should have been much higher, so yen carry trade will not unwind easily and thus enables investors chase higher yields globally.  Although in gold terms S&P is way lower than 6 years ago, P/E is just 16 compared with 26 in 6/01. Makes a better case, huh?  The real reason investors are worried about the valuation is earnings growth.  You think those asset-backed MEWs had nothing to do with corporate earnings?

"the return for the summer season is still on the positive side. It's not negative."  The thing is opportunity cost is high when you realize historical return in summer is lower than other seasons combined. Tbill with higher return in the same period is simply a better investment, and it's never negative, which differentiates it with market risk. That justifies why you want to hold cash.  Very simple.

LZMM入的是美国股市？