Improving our understanding of the equal weighted portfolio

Abstract

English: This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio into four main parts; the change in the concentration of the cap weighted portfolio, the excess return generated by a diversification benefit, the difference in dividend rates, and a term called the leakage effect. In general equal weighted portfolios do outperform their cap weighted portfolio counterparts, although with varying degrees across different countries. In South Africa, for example, high levels of leakage over the past ten years and increasing concentration have led to poor relative performance of the equal weighted portfolio. In other countries such as the United Kingdom and Japan, equal weighted portfolios have done very well, with high levels of diversification benefits and low levels of leakage. Two models are presented in an attempt to reduce the relative drawdowns of the equal weighted portfolio and to blend the two weights (equal and cap) in an optimal manner. These models appear to do well in markets where the equal weighted portfolio has poor performance and large relative drawdowns.

Sepedi: Thesese ye e sekaseka phethagatšo ya photefolio ya boima bjo bo lekanago ka go šomiša mokgwa go tšwa teoring ya pothefolio ya setokhastiki. Tlhako ye e dumelela karoganyo ya go šoma fao go lekanyeditšwego ga photefolio ya boima bjo bo lekanago ka dikarolo tše nne tše kgolo; phetogo ya teteana ga photefolio ya boima bjo lekanyeditšwego, poelo ye e fetišago yeo e tšweleditšwego ke mohola wa go fapantšha, phapano ya ditekanyo tša dikabo, le lereo leo le bitšwago khuetšo ya go dutla. Ka go diphotefolio tša boima bjo bo lekanago tša kakaretšo di šoma go feta balekane ba tšona ba diphotefolio tše di nago le boima bja go lekanetšwa, le ge e le gore di fapana ka dikelo tše di fapanego go ralala le dinaga tše di fapanego. Ka Afrika Borwa, go fa mohlala, maemo a godimo a go dutla mo mengwageng ye lesome ye e fetilego le go oketšega ga teteano di lebišitše go tshepedišo ye mpe ya go lekana ya potefolio ya boima bjo bo lekanago. Dinageng tše dingwe tša go swana le United Kingdom le Japane, diphotefolio tša boima bjo bo lekanago di dirile gabotse kudu, ka maemo a godimo a mehola ya go fapafapana le maemo a fase a go dutla. Mehlala ye mebedi e tšweletšwa ka maitekelo a go fokotša tekano ya kgogelofase ya photefolio ya boima bjo bo lekanago le go kopanya boima bjo bobedi (go lekana lele peelo) ka mokgwa wo o loketšego. Mehlala ye e bonala e dira gabotse mebarakeng yeo potefolio ye e nago le boima bjo bo lekanago e nago le tshepedišo ye mpe le tekanyo ye kgolo ya phokotšego.

Afrikaans: Hierdie proefskrif ontleed die prestasie van die gebalanseerde portefeulje deur gebruik te maak van 'n benadering uit stogastiese portefeuljeteorie. Hierdie raamwerk maak voorsiening vir die ontbinding van die relatiewe prestasie van die gebalanseerde portefeulje in vier hoofdele: die verandering in die konsentrasie van die kapitalisasiegeweegde portefeulje, die oortollige opbrengs wat gegenereer word deur 'n diversifikasievoordeel, die verskil in dividendkoerse, en 'n term genaamd die lekkasie-effek. Oor die algemeen presteer gebalanseerde portefeuljes beter as hul gekapitaliseerde portefeulje-eweknieë, hoewel met wisselende grade oor verskillende lande. In Suid-Afrika, byvoorbeeld, het hoë vlakke van lekkasie oor die afgelope tien jaar en toenemende konsentrasie gelei tot swak relatiewe prestasie van die gebalanseerde portefeulje. In ander lande soos die Verenigde Koninkryk en Japan het gebalanseerde portefeuljes baie goed gevaar, met hoë vlakke van diversifikasievoordele en lae vlakke van lekkasie. Twee modelle word aangebied in 'n poging om die relatiewe afnames van die gebalanseerde portefeulje te verminder en die twee gewigte (gebalanseerd en gekapitaliseerd) op 'n optimale manier te meng. Hierdie modelle blyk goed te vaar in markte waar die gebalanseerde portefeulje swak prestasie en groot relatiewe afnames toon.

IsiZulu: Lolu cwaningo luhlaziya ukusebenza kwephothifoliyo enesisindo esilinganayo isebenzisa isu elivela kwinjulalwazi ye-stochastic kuphothifoliyo. Lolu hlaka luvumela ukuhlukaniswa kokusebenza okuhlobene kwephothifoliyo enesisindo esilinganayo ibe izingxenye ezine eziyinhloko; ushintsho ekugxileni kuphothifoliyo enesisindo eyinhloko, imbuyiselo eyeqile ekhiqizwa inzuzo yokuhlukahlukaniswa, umehluko kuzilinganiso zezabelo, kanye negama elibizwa ngokuthi umphumela wokuvuza. Ngokuvamile amaphothifoliyo anesisindo esilinganayo enza kangcono kunozakwabo bephothifoliyo enesisindo esinhloko, nanoma enamazinga ahlukahlukene ngokuphambanisa amazwe ahlukene. ENingizimu Afrika, ngokwesibonelo amazinga okuvuza kule minyaka eyishumi edlule aphezulu futhi ukwanda kokugxilisa ingqondo kuye kwaholela ekusebenzeni kabi okulinganiselwe kwephothifoliyo enesisindo esilinganayo. Kwamanye amazwe anjenge-United Kingdom ne-Japani, amaphothifoliyo anesisindo esilinganayo enze kahle kakhulu, ngamazinga aphezulu ezinzuzo zokuhlukahlukana kanye namazinga aphansi okuvuza. Imifanekiso emibili eyethulwe ngomzamo wokunciphisa ukucekelwa phansi okusimeme kwephothifoliyo enesisindo esilinganayo kanye nokuhlanganisa izisindo ezimbili (ezilinganayo neziyinhloko) ngendlela enhle kakhulu. Le mifanekiso ibonakala yenza kahle ezimakethe lapho iphothifoliyo enesisindo esilinganayo inokusebenza okungalungile kanye nokudonselwa phansi okusimeme okukhulu .