Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?
研究美国股市中等权重组合长期跑赢市值加权组合的原因，发现其受益于小盘股暴露、短期反转效应和一月季节性，同时受动量拖累，并讨论了如何在标普500中获取这些因子溢价。
Equal-weighted (EW) portfolios have outperformed their value-weighted (VW) counterparts over multiple decades in various investment universes. This article investigates the long-term evidence for the EW–VW return spread in a broad US equity universe across multiple factor models. Unsurprisingly, EW investing comes with a highly significant positive size factor exposure. Given its acyclic rebalancing character, EW investing is also found to benefit from short-term reversal effects while suffering from negative momentum exposure. The authors also document a pronounced seasonality effect in EW investing that would see outsized returns in January. They revisit these findings in the more investable universe of S&P 500 stocks and discuss how to best harvest the embedded factor premiums.