If the Semi-Strong Form of Market Efficiency Holds True, What Is the Primary Way for an Investor to Achieve Higher Returns?

If the semi-strong form of market efficiency holds, all publicly available information (like news reports, financial statements, and economic data) is already incorporated into asset prices. This makes fundamental analysis ineffective at finding undervalued stocks.

Therefore, the primary way for an investor to achieve higher returns is not by picking better assets, but by taking on higher risk. An investor would need to construct a portfolio with a higher beta (market risk) or diversify into asset classes with inherently higher risk profiles, such as small-cap stocks or emerging market equities.