如果等额加权投资组合这么好，为什么它在南非不起作用?

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2021-01-02 DOI:10.1080/10293523.2020.1870863

B. Taljaard, E. Maré

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引用次数: 2

摘要

摘要本文考虑了南非前40名股票的等权重投资组合最近相对于市值加权投资组合的表现不佳。它强调了市值权重在前40名中日益集中的影响，目前该权重处于极端水平。此外，通过更高的平均相关性，多样化的收益水平较低，降低了再平衡的积极影响。最后，近年来指数成分股的成交量高于平均水平，这进一步拖累了业绩。这些影响的结合对等权重投资组合的相对表现产生了负面影响。提出了一个以这些因素为输入的基本线性模型，该模型强调了监测这些驱动因素以提高等权重投资组合的相对性能的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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If the equal weighted portfolio is so great, why isn’t it working in South Africa?

ABSTRACT This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration of market capitalisation weights in the Top 40, which is currently at extreme levels. Furthermore, lower levels in the benefits of diversification, through higher average correlations, has reduced the positive impact of rebalancing. Finally, the turnover in index constituents has been higher than average in recent years and this has caused a further drag on performance. The combination of these effects has had a negative impact on the equal weighted portfolio’s relative performance. A rudimentary linear model, with these factors as inputs, that highlights the importance of monitoring these drivers to improve the equal weighted portfolio’s relative performance is presented.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.