The Global Market Index (a passive benchmark of all the major asset classes) has a history of delivering competitive returns against its actively managed competitors over the past decade. Surprising? Not really. It’s tough to beat the market generally, and the lesson applies to asset allocation too. A minority of skillful (lucky?) portfolio managers will, of course, outperform the averages when it comes to running multi-asset class portfolios. The mistake is thinking that the superior results will be widespread and easy to identify in advance. History suggests otherwise, which is one reason why a broadly defined strategy such as GMI is such a valuable benchmark. As an unbiased measure of return and risk for the global opportunity set, GMI tells us what’s available to every investor for minimal effort and at low cost via replicating this index via ETFs.