Taljaard, Byran HugoMare, Eben2020-09-292020-09-292019Taljaard, B.H. & Maré, E. 2019, 'Considering the use of an equal-weighted index as a benchmark for South African equity investors', South African Actuarial Journal, vol. 19, no. 1, pp. 53-70.1680-217910.4314/saaj.v19i1.3http://hdl.handle.net/2263/76265We analyse and discuss the use of an equal-weighted index as an alternative to the market capitalisation weighted (cap-weighted) index as a benchmark for active equity portfolios in the South African equity market. Our findings indicate that equal-weighted portfolios are, in general, more efficient than capweighted portfolios and that random active portfolios tend to display significantly improved risk-return characteristics when using an equal-weighted index as a benchmark. We find our results are robust to transaction costs involved with rebalancing.en© Actuarial Society of South Africa. This article is distributed under the Creative Commons Attribution 3.0 License.BenchmarkRiskCapitalisation weightEqual weightEfficiencyRebalancingCostsReturnsArticle