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Article

Why Track Inefficiency?

Brian Boscaljon, Greg Filbeck and Xin Zhao
The Journal of Index Investing Winter 2011, 2 (3) 28-36; DOI: https://doi.org/10.3905/jii.2011.2.3.028
Brian Boscaljon
is an associate professor of finance at Penn State University–Erie in Erie, PA.
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  • For correspondence: blb30@psu.edu
Greg Filbeck
is a professor of finance and Samuel P. Black III Professor of Insurance and Risk Management at Penn State University–Erie in Erie, PA.
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  • For correspondence: mgf11@psu.edu
Xin Zhao
is an associate professor of finance at Penn State University–Erie in Erie, PA.
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  • For correspondence: xuz12@psu.edu
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Abstract

Benchmarks play an important role in assessing performance as a part of the investment process. Modern portfolio theory suggests that the benchmark of the true market portfolio on the efficient frontier is unknown. However, the S&P 500 Index is often used as a proxy for the U.S. domestic equity market portfolio. In this study, the authors examine the efficiency of the S&P 500.The results imply that more efficient subsets of the S&P 500 are easily constructed by randomly selecting stocks across industry sectors within the S&P 500. The implications of the study suggest portfolios consisting of fewer stocks equally weighted across industries are more efficient than the S&P 500 Index.

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The Journal of Index Investing: 2 (3)
The Journal of Index Investing
Vol. 2, Issue 3
Winter 2011
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Why Track Inefficiency?
Brian Boscaljon, Greg Filbeck, Xin Zhao
The Journal of Index Investing Nov 2011, 2 (3) 28-36; DOI: 10.3905/jii.2011.2.3.028

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Why Track Inefficiency?
Brian Boscaljon, Greg Filbeck, Xin Zhao
The Journal of Index Investing Nov 2011, 2 (3) 28-36; DOI: 10.3905/jii.2011.2.3.028
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    • Abstract
    • LITERATURE REVIEW
    • PROBLEMS WITH THE S&P 500 INDEX
    • SAMPLE AND METHODOLOGY
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