Under a pure capm the market is the optimal portfolio, that you can mix with the risk free asset to get whatever risk/reward payoff you want, and multifactor ap

Under a pure capm the market is the optimal portfolio, that you can mix with the risk free asset to get whatever risk/reward payoff you want, and multifactor approaches can replicate a lot of the returns of various funds, so not too surprising I guess that a large hedge fund approach ok mates the market very well, since the larger you get the harder it can get to find strategies that really outperform