Often, the goal for many investors is to find ways to maximize their expected return. But their first step should be to determine their acceptable or required level of risk and then attempt to maximize expected returns within those parameters. Diversification has been shown through empirical evidence to be the starting point for maximizing risk-adjusted returns. After properly diversifying, decades of research has also shown that tilting to small cap and value stocks has increased expected returns. Rick Ferri, a Forbes contributor, discusses this concept further in To Tilt or Not to Tilt.