Portfolio Selection: The Power of Equal Weight
Portfolio Management
2017-08-08 v3
Abstract
We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian rule, a non-proprietary rule designed for the investor who wishes to do his/her own investing on a laptop with the purchase of only 20 stocks. Rather surprisingly, over the 1958-2016 horizon, the cumulative returns of MaxMedian beat those of the equally weighted S\&P 500 portfolio by a factor of 1.15.
Keywords
Cite
@article{arxiv.1602.00782,
title = {Portfolio Selection: The Power of Equal Weight},
author = {Philip Ernst and James Thompson and Yinsen Miao},
journal= {arXiv preprint arXiv:1602.00782},
year = {2017}
}
Comments
11 pages, 5 figures