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dc.contributor.author | Taljaard, Byran Hugo![]() |
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dc.contributor.author | Mare, Eben![]() |
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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 |