As a result, proxies for the market (such as the FTSE 100 in the UK, DAX in Germany or the S&P 500 in the US) are used in practice by investors.
Roll's critique states that these proxies cannot provide an accurate representation of the entire market.
The concept of a market portfolio plays an important role in many financial theories and models, including the capital asset pricing model where it is the only fund in which investors need to invest, to be supplemented only by a risk-free asset, depending upon each investor's attitude towards risk.
[6] The portfolio of the average investor contains important information for strategic asset allocation purposes.
This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark for the average investor.