Why has the equal weight portfolio underperformed and what can we do about it?
分析了标普500等权重组合自2016年以来跑输市值加权组合的原因，发现市场集中度上升和分散化收益下降是主因，并提出用简单线性回归动态选择权重来改善表现。
It is widely noted that market capitalisation weighted portfolios are inefficient and underperform an equal weighted portfolio over the long-term. However, at least since 2016, an equal weighted portfolio of stocks in the S&P500 has significantly underperformed the market capitalisation weighted portfolio. In this paper, we analyse this underperformance using stochastic portfolio theory. We show that the equal weighted portfolio does appear to outperform the market capitalisation weighted portfolio over the long-term but with periods of significant short-term underperformance. In addition, we find that concentration in the market capitalisation weighted portfolio has increased in recent years and has contributed to the recent underperformance together with a significantly lower level of diversification benefits. Furthermore, we highlight an approach to improve the performance of a portfolio by dynamically selecting a market cap or an equal weighting using a rudimentary linear regression model.