The market return refers to the performance of the broad equity market. For Singapore, the STI index is commonly used as a market return. For US, the S&P 500 is often used. For global but developed countries, the MSCI World Index is commonly used. For emerging market, the MSCI Emerging Market Index is often used.
When refer to an index, it is important to ask when is the index merely tracking the price index of the underlying securities or does it take into account of reinvesting the dividends. This is very important because dividends and reinvestment income takes up as much as half of the total profit over a long-term basis.
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