Please, describe what the strategy here is, then go and simulate it. It will *at best* be flat.
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Depend on how your using "expected return". In the traditional sense it's zero. But if Geometric is "expected", then you just short it and expect to make money, which is why it's not normal for stocks to have zero arithmetic return.
For sure. The normal situation is definitely for arithmetic exp return to be positive, and geometric could be positive or negative depending on the stock (but if negative you expect to diversify it away).
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This is a key point of academic finance that strawman critics like to gloss over.
You don't expect to be rewarded for taking on risk that can be diversified away. -
Yeah, problem is that theory really doesn't have any proof.
End of conversation
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