I am a new investor. What are the advantages and disadvantages of using the CAPM?

There is no disadvantage. Using the CAPM is just part of knowing what you are doing. It measures the return in relation to market risk.

The "beta" of a particular stock tells you the return in relation to the market. A stock with a beta of over 1.0 will be more sensitive to market fluctuation whereas a stock with beta below 1.0 will be less sensitive. High beta stocks are good during expansions and low beta stocks are good during a slow-down.

I recommend reading about CAPM on wikipedia. They have a pretty good write-up on it.

To put it in simple terms for a new investor: Have a good portfolio. Let it ride. Don't fool with it.

The last finance class I had at university, the professor said that CAPM had pretty much been disproved as having any validity in terms of actually determining share prices. I think that the CAPM structure is valuable as a theoretical structure, in that it gives a means of understanding that you should compare the risk of the investment to the reward offered. However, it assumes that statistical variance is a good measure of risk, which in my experience, is not the case, and it has no proven validity for actually predicting share prices.