Assume for the moment that you had the bad luck to invest a lump sum in the stock market at the absolute worst possible time, the March 2000 top.

Would you, by now, have recovered all of your bear market losses and then some, and, thus, be sitting with a profit? Or, would you still be in the red?

You’d think that answering these questions would be relatively straightforward, at least for the average investor. But, you would be wrong.

The various stock market benchmarks paint widely contrasting pictures. Some today are well behind their March 2000 levels. Others are well ahead.

Take your pick.

On the one hand, consider how much red ink you would still be swimming in if you favor large-cap growth stocks -- the kind represented by the Russell 1000 Growth Index. If you had invested $100,000 in such stocks at the March 2000 top, your portfolio would be worth $56,180 today, according to data from Frank Russell Company -- a cumulative loss of nearly 44 percent. (I calculated these returns from March 24, 2000, the day the [$SPX] S&P 500 hit its all time high, through July13, 2005.)

On the other hand, if you had invested in small-cap value stocks, as represented by the Russell 2000 Value Index, the 2000 - 2002 bear market would be little more than a distant memory. Your portfolio that was worth $100,000 on March 24, 2000 would now be worth $221,539 -- for a cumulative gain of more than 121 percent.

To be sure, these two indices represent the extremes. But, as is evident in the accompanying table, different market sectors and investing styles have had dramatically different experiences over the last five-and-a-third years.

Choosing the proper index is of more-than-just-passing interest. Because many investors judge their advisors by comparing them to a benchmark, it is possible that the same advisor can appear to be a genius in some investors’ minds and a dolt in others.

Consider, for example, the 114 newsletters for which the Hulbert Financial Digest has performance data extending back to the March 2000 peak. No fewer than 99 of them have outperformed the Russell Large Cap Growth Index. Yet, only three have outperformed the Russell 2000 Value Index.

So, depending on what they are being compared to, it can be made to look as though 87 percent of the newsletters have added value, or only 3 percent.

What index should you choose to analyze your portfolio? I wish there were an easy answer. To be sure, you could pick one of the Russell indices if your portfolio invests more or less exclusively in one of the market sectors and styles represented by that index. But, this won’t work if your portfolio is more eclectic, which is the case for most investors.

There are some sophisticated econometric analyses you can employ that, in effect, compare your portfolio to a customized benchmark that includes the same kinds of stocks in your portfolio. But, unless you have an econometrician at your beck and call, this is not a practical option for most of us.

At a minimum, therefore, or at least until there is a better solution, I suspect we should be more tentative about concluding that this or that advisor has “beaten the market.”

Mark Hulbert is editor of the Hulbert Financial Digest, a service of Marketwatch that, for nearly 24 years, has tracked the performance of investment advisory newsletters. A section of the Marketwatch website called "Hulbert Interactive" (marketwatch.com/hulbertinteractive) allows users to conduct extensive research on the HFD database.

Mark can be contacted via email at mhulbert@marketwatch.com