Is S&P100 Index a Mean-Variance Efficient Portfolio?

Mohammad G. Robbani, Ajeet Jain


This paper investigates whether Standards and Poors’ 100 stock index (henceforth, S&P100) is a mean-variance efficient portfolio. In other words, the paper examines if there is any other portfolio allocation rule that provides better risk-return scenario than one that is achieved under value-weighted strategy used in S&P100 index. Our results show that the realized risk of the S&P100 index is not the lowest for the return at any other portfolio combinations using all stocks in index. There are other portfolio combinations that provide lower risk for the same realized rate of return. Similarly, the realized return of S&P100 index is not the highest for the standard deviations at any other portfolio combinations. Based on these results, we conclude that the S&P100 index may not be considered to be a mean-variance efficient portfolio.

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International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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