 While testing the CAPA model, there appears two major questions. The first is that how stable is the mayor of systematic risk that is the beta? And second question is whether is there any positive linear relationship between the expected return on a risky asset and the beta as it is generally hypothesized? So how stable is the beta? We see that betas for individual stocks are not as stable as the betas of the large portfolio of the stocks. These portfolio betas are more stable. Larger the portfolios of stock and longer the period, the more stable the beta we see. We also see that high beta portfolios tend to decline over time to 1. Low beta portfolios tend to increase over time towards 1. So we also see that different institutions and professional firms publish betas on stocks and other market indices. We see that the differences exist among the values of beta estimated by these professional values and professional financial firms. So how to use these betas? We need to consider the return interval used and the firm's relative size used in the estimation of such published betas. So what is the relationship between systematic risk and return? We see these in two perspectives. We see the effect of skewness on the relationship. Then we see the effect of size, price earning and the leverage. When we see the effect of skewness on the relationship, we see that investors prefer stocks with high positive skewness because these types of stocks provide an opportunity for very larger returns to the investors. When we see the effect of size, price earning and leverage on risk and return, we see that size and price earnings have an inverse impact on the return after considering the KPM model while computing the returns on the assets. So far as the financial leverage is concerned, it also helpful in explaining the relationship between risk and the returns of the cross-section returns. Another effect we have, that is the effect of the book to market value on stock returns. Farmer and French have questioned the relationship between returns and beta in their phenomenal study in 1992. They found that book value to market value ratio to be a key determinant of the return. If we see the summary of the risk and return empirical results, we can see that the relationship between beta and rate of return is still a debatable point. Now what are the theories versus practices? That is the crux of the market portfolio till now. We see that there exists a controversy over the market portfolio. This means that it is still a debatable point that what proxy can be used to proxied the market return, whether to use a portfolio of all whole of the world assets or the stock market's index. Like in Pakistan we can use the KSE 100 index or the PSX 100 index or any other index as the market return proxy. So there is no unanimity still about which proxy to use. This means that if any incorrect market proxy exists, it will have an effect on both of the beta's riskiness and the position and slope of the SML that are used to evaluate the performance of any portfolio manager.