If a professionally managed portfolio consistently outperforms the market proxy on a risk-adjusted basis and the market is efficient,it should be concluded that _______________.

Question

Quizplus · Accepted Answer

If a portfolio consistently outperforms the market on a risk-adjusted basis in an efficient market, it suggests that either the CAPM is not accurately capturing risk or the market proxy used is not adequate.

If a Professionally Managed Portfolio Consistently Outperforms the Market Proxy