Portfolio Selection: The Power of Equal Weight

Philip Ernst, James Thompson and Yinsen Miao

Papers from arXiv.org

Abstract: We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian rule, a non-proprietary rule designed for the investor who wishes to do his/her own investing on a laptop with the purchase of only 20 stocks. Rather surprisingly, over the 1958-2016 horizon, the cumulative returns of MaxMedian beat those of the equally weighted S\&P 500 portfolio by a factor of 1.15.

Date: 2016-02, Revised 2017-08
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Models and Reality: A Festschrift for James R. Thompson , pp. 225-236 (2017)

Downloads: (external link)
http://arxiv.org/pdf/1602.00782 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1602.00782

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().