Bench the Market Benchmark?
September 15, 2014 - Equity Premium
Is the capitalization-weighted market portfolio a lame benchmark? In his August 2014 paper entitled “It’s Easy to Beat the Market”, Moshe Levy tests the perception that it is hard to beat a capitalization-weighted portfolio and therefore that an index so weighted is a challenging benchmark. Specifically, he compares the gross risk-adjusted performance of a capitalization-weighted buy-and-hold portfolio to those of 1,000… Keep Reading