Earlier this week, my boss, David Spaulding surmised on his blog about the possibility that the mere existence of indexes may be a reason for "above average" performance, as changes in index constituents often results in trading in the newly added stocks, which often causes their prices to rise.
The question of whether the Standard & Poor's 500 is actually a managed portfolio is addressed in one of the "Benchmarks" study session readings at the CIPM Expert Level. The reading, authored by Laurence B. Siegel, refers to some research done by Sandy Rattray and Pravin Manglani. The article on that research is not required reading for CIPM candidates, but it may be of interest, and can be found online here.
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