In conclusion, capitalization-weighted indexing is unlikely to be deposed as the overwhelming favorite in the battle for index supremacy. Even if markets were inefficient, departing from the weightings given by the market as a whole would have to be a zero-sum game. All the stocks in the market must be held by someone. If some investors hold portfolios that do better than the market, it must follow that some other investors hold portfolios that do worse. Because of their greater costs, however, active management or “smart” indexing must be a negative-sum game. On average, these higher-cost
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