No. of Recommendations: 15
So, try to weight by expected return?
You could certainly try, but then you'd be trying to enter the competition to figure out which things are worth more versus less than the global consensus. That's a tough task, probably not suited to the same population as those interested in index investing.
The efficient market hypothesis isn't actually true, but it's closer to being true than it is to being false. Beating "the market" over the long run is hard.
For those without the skill to analyze individual firms and project their likely returns better than the average bear, the closest thing to a free lunch that I know of is to skip cap weight funds.
Jim
PS
Though that's a nice quote and link, they're selling investment management services, a crowd that is usually worth taking with a grain of salt : )
