If giving to Democrats can't be expected to inflate stock prices directly, perhaps it can be considered a marker for other traits that lead to better corporate performance. The Blue Way argues that Democratic-leaning companies are more innovative, less rigid, and less apt to take a head-in-the-sand, defensive posture on such issues as environmental rules.

No doubt blue companies are hipper, but hipness does not necessarily spell profitability. And it strains credulity to believe that companies inherently become more virtuous when their executives steer, say, 60 percent of their political contributions to Democrats. Whatever the sins of the G.O.P., the Democratic Party is hardly simon-pure.

Rather than liberal politics yielding prosperous firms, it's more plausible that new, profitable industries happen to be peopled by liberals, who naturally then donate to Democratic causes. In other words, the authors have the causality reversed. Thus Google's cushy employee benefits are not the reason its stock has soared; its search engine is. Indeed, if ample employee benefits were their own reward, wouldn't General Motors be a hot company instead of one on the verge of going broke?

Another explanation for the blue index's performance is that it's not really as good as the authors report. The Blue Way does not divulge the authors' calculations, and it names only two stocks that saw a twentyfold increase. When queried about this, the authors replied, "While few of the blue stocks actually grew 20 times in value, it was their cumulative rates of growth that allowed the price of the blue index to rise as much as it did." This is nonsense. No index can rise more than its constituent parts, which leaves me with real questions about their numbers. And what of their overall investment thesis?

Go back to the baseball analogy, and suppose for a second you had to field that all-vegetarian team. Since some carnivores are good hitters, you would labor under a big disadvantage. The same holds true for stocks. When you screen for any trait that's irrelevant to a company's financial fundamentals—like its political leanings—expect to pay a hefty price.