Maximizing milk yield has been the main focus of the dairy industry as it is believed that it maximizes profit mainly through dilution of maintenance costs. Efficiency of milk production has received, until recently, considerably less attention. The most common methods to determine efficiency of milk production are feed efficiency (FE), which is defined as the amount of milk produced relative to the amount of nutrients consumed, and residual feed intake (RFI), which is the difference between observed and predicted DMI, and assumes that animals with a high RFI have a low efficiency. Feed efficiency is affected by 1) ration quality and management (e.g., nutrient balance, mixing order, mixing accuracy, changes in nutrient composition across days, feed availability in the feedbunk), 2) digestive function (e.g., passage rate, rumen fermentation, rumen and hindgut microbiome), 3) feeding behavior (e.g., eating rate, sorting), 4) physical activity of the cow, 5) metabolic function (e.g., homeorhesis, insulin sensitivity, hormonal profile), 6) immune system activity and health, 7) age (e.g., body size, udder vascularization), 8) environmental conditions (e.g., heat stress), and 9) genetics (controlling ultimately most of the previous aspects). Over the years, energy requirements for maintenance have progressively increased, but interestingly, efficiency of nutrient use for milk production has also increased. Empirical evidence from the literature suggests that marginal increases in milk require progressively greater marginal increases in nutrient supply (despite the supposed dilution of maintenance), in other words, the marginal amount of milk produced for every additional Mcal of NEl or every additional gram of metabolizable protein consumed follows the law of diminishing returns. Thus, the dilution of maintenance requirements associated with increases in production is partially overcome by a progressive diminishing biological response to incremental energy and protein supply, and thus FE also follows the law of diminishing returns. Hence, profits associated with improving milk production might, on some occasions, be considerably lower than expected.