Demystifying Equal Weighting

categories: Investing (Investment Management), Performance Analysis, Portfolio Construction and Optimization, MSCI Strategy Indexes, Equities, BENDER Jennifer, Research Paper, Indexes

Equal weighted indices are among the earliest alternative weighting schemes to market cap weighting. We demonstrate their significant outperformance over the last decade relative to their cap weighted counterparts - outperformance achieved with attractive risk-to-return ratios. We discuss various rationales for equal weighting including greater exposure to smaller cap stocks, reduced concentration versus traditional indexing, and a disciplined rebalancing process.


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Demystifying_Equal_Weighting.pdf