Finding a true proxy (or reflection) of the market as a whole may not be possible, because a proxy will only be a fragment of the entire market for all risky assets. As well, every proxy for the market would need to be unique, according to what is being traded or measured. For example, the S&P 500 could be used as a market proxy when evaluating the excess returns of a fund manager only using stock from the S&P 500. A different proxy would be needed, however, to assess a manager trading in futures or using fixed-income arbitrage.
Investment dictionary. Academic. 2012.
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