If the equal weighted portfolio is so great, why isn’t it working in South Africa?

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dc.contributor.author Taljaard, Byran Hugo
dc.contributor.author Mare, Eben
dc.date.accessioned 2022-05-19T05:45:26Z
dc.date.available 2022-05-19T05:45:26Z
dc.date.issued 2021
dc.description.abstract This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration of market capitalisation weights in the Top 40, which is currently at extreme levels. Furthermore, lower levels in the benefits of diversification, through higher average correlations, has reduced the positive impact of rebalancing. Finally, the turnover in index constituents has been higher than average in recent years and this has caused a further drag on performance. The combination of these effects has had a negative impact on the equal weighted portfolio’s relative performance. A rudimentary linear model, with these factors as inputs, that highlights the importance of monitoring these drivers to improve the equal weighted portfolio’s relative performance is presented. en_US
dc.description.department Insurance and Actuarial Science en_US
dc.description.department Mathematics and Applied Mathematics en_US
dc.description.librarian hj2022 en_US
dc.description.uri http://www.tandfonline.com/loi/riaj20 en_US
dc.identifier.citation Taljaard, B.H. & Maré, E. 2021, 'If the equal weighted portfolio is so great, why isn’t it working in South Africa?', Investment Analysts Journal, vol. 50, no. 1, pp. 32-49, doi : 10.1080/10293523.2020.1870863. en_US
dc.identifier.issn 1029-3523 (print)
dc.identifier.issn 2077-0227 (online)
dc.identifier.other 10.1080/10293523.2020.1870863
dc.identifier.uri https://repository.up.ac.za/handle/2263/85573
dc.language.iso en en_US
dc.publisher NISC Pty (Ltd) and Informa Limited (trading as Taylor and Francis Group) en_US
dc.rights © 2021 Investment Analysts Society of South Africa. This is an electronic version of an article published in Investment Analysts Journal, vol. 50, no. 1, pp. 32-49, 2021. doi : 10.1080/10293523.2020.1870863. Investment Analysts Journal is available online at : http://www.tandfonline.com/loi/riaj20 [12 months embargo] en_US
dc.subject Equal weight portfolio en_US
dc.subject Equities en_US
dc.subject Stochastic portfolio theory en_US
dc.subject Portfolio optimisation en_US
dc.subject Diversification en_US
dc.subject Leakage en_US
dc.title If the equal weighted portfolio is so great, why isn’t it working in South Africa? en_US
dc.type Postprint Article en_US


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