Abstract
I construct a measure for how good a time period was for stock pickers selecting from a benchmark index. A market is better for skilled stock pickers when it is difficult for random selection to do well, in particular, in years where more stocks underperform than outperform the benchmark return. I apply the measure to the S&P500 index for 2000 through 2020. The best five years for skilled stock pickers were 2020, 2007, 2018, 2017, and 2015, in that order, while the worst five years for skilled stock pickers were 2001, 2000, 2002, 2004, and 2010, respectively. Large cap equity manager underperformance has been especially bad in years that would have been good for skilled stock pickers, further emphasizing the well-known lack of stock-picking skill among most large cap U.S. equity managers.
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