In Defence of Capitalisation Weights: Evidence from the FTSE 100 and S&P 500 Indices
用个股层面分解协方差矩阵的方法，分析富时100指数，发现极端负面冲击时大市值成分股协方差更低，降低市值加权指数波动，且市值加权指数风险调整收益优于等权重指数。
Abstract A simple method for decomposing the variance covariance matrix of portfolio returns at the level of individual stocks is applied to the FTSE 100 Index. During extreme negative shocks, the largest index constituents exhibit lower than average covariance, thereby reducing the volatility of the capitalisation‐weighted index. The risk‐adjusted returns of the capitalisation‐weighted FTSE 100 Index exceed those of an equally‐weighted version of the same index and the outperformance is robust to the method of risk adjustment applied. The equally‐weighted index also exhibits greater systematic (market) risk than the capitalisation‐weighted version .