The Value Line investment record is frequently interpreted as evidence of market inefficiency. This article reconciles the record with market efficiency as one implication of a model that assumes a semistrong form of market efficiency and autoregressive state variables, which need not be identified. In the model, expected returns on assets depend on these state variables and can vary over time. Value Line's rankings are assumed to reflect knowledge of these state variables. The Value Line data are consistent with the model's implications, suggesting the Value Line's rankings predict systematic marketwide factors. The purported abnormal returns of positions based on Value Line's rankings are seen as compensation for the systematic risk associated with these positions. Copyright 1990 by the University of Chicago.