Are Benchmark Portfolios Efficient?

Abstract

Are investment benchmarks efficient? Is it true, as often said, that although the U.S. market is efficient there are ample opportunities in foreign markets? How can we talk about such questions in a systematic way and avoid being overwhelmed by recent evidence, authoritatively stated opinion, or marketing hype? In this article we try to give a partial answer to these questions with the use of a splendid new invention from academia.