Jim, first your knowledge of investing is just incredible, and the amount you teach us all is just fabulous. If I studied investing 24 hours a day, which is impossible, I would still not know as much as you.

That being said, I listened to an interview with Rob Arnott, and he said that he had a fund that beat the cap weighted index. He then did the opposite of what the fund did and it still beat the cap weighted index. Listening to him, you would think that the worst possible way to invest is with cap weighted indexes.

The thing is in practice the s and p 500, or Wilshire 5000 which has almost the exact same returns are very hard to beat. Re: r.sp, 'This approach tilts the portfolio toward mid-cap stocks and requires high turnover compared with market-cap weighting, increasing transaction costs and adding to its volatility.' Compared to the s and p, it has trailed it over the last 1, 3, 5, 10 and 15 year periods. If you go back to 2000 or so, it has done a lot better than the s and p.

Rob Arnott's own fund, P.RF has also trailed VOO over the last 10 years.

I used to get the Hulbert newsletter, and very few of the newsletters beat the Wilshire 5000, which has very similar returns to the s and p.

I believe you, when you say that over a long period of time, r.sp has beaten the s and p, but I don't know if transaction costs were taken into account.

My point is not that there are not ways to beat the s and p. There certainly are. It is more that when people say it is the worst way to invest, they are very very wrong, which has been proved by all the actively managed funds trailing them.

I myself am a victim of this. I bought, lrgf, mtum, and intf, which are multifactor and momentum funds, and I got crushed by the s and p.