A portfolio formed from a given list of assets is defined as a numeraire portfolio for the list if (a) it is self-financing, (b) its value is always positive, and (c) zero is always the best conditional forecast of the numeraire-dominated rate of return of every asset on the list. The numeraire portfolio exists if and only if there are no profit opportunities from trading assets on the list. For a sample list of heterogeneous assets (NYSE size-quintile portfolios, corporate bonds, and short-term bills), numeraire-dominated returns are similar to market-model forecast errors and, as abnormal return measures, clearly dominate market-adjusted returns.