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Improving our understanding of the equal weighted portfolio
Thesis (PhD (Actuarial Science))--University of Pretoria, 2022.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2022
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| _version_ | 1867613628621914112 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2022 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Thesis (PhD (Actuarial Science))--University of Pretoria, 2022. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/84912 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:10.429Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/84912 Improving our understanding of the equal weighted portfolio Mare, Eben byran.taljaard@gmail.com Taljaard, Byran H. UCTD Stochastic portfolio theory Equity markets Diversification south african equities Global equity markets Equal weight Portfolio optimisation Attribution Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-17 Thesis (PhD (Actuarial Science))--University of Pretoria, 2022. This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio into four main parts; the change in the concentration of the cap weighted portfolio, the excess return generated by a diversification benefit, the difference in dividend rates, and a term called the leakage effect. In general equal weighted portfolios do outperform their cap weighted portfolio counterparts, although with varying degrees across different countries. In South Africa, for example, high levels of leakage over the past ten years and increasing concentration have led to poor relative performance of the equal weighted portfolio. In other countries such as the United Kingdom and Japan, equal weighted portfolios have done very well, with high levels of diversification benefits and low levels of leakage. Two models are presented in an attempt to reduce the relative drawdowns of the equal weighted portfolio and to blend the two weights (equal and cap) in an optimal manner. These models appear to do well in markets where the equal weighted portfolio has poor performance and large relative drawdowns. bs2025 Actuarial Science PhD (Actuarial Science) Unrestricted SDG-08: Decent work and economic growth SDG-09: Industry, innovation and infrastructure SDG-10: Reduced inequalities SDG-17: Partnerships for the goals 2022-04-26T12:22:21Z 2022-04-26T12:22:21Z 2022-10 2022 Thesis * https://repository.up.ac.za/handle/2263/84912 en © 2022 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Stochastic portfolio theory Equity markets Diversification south african equities Global equity markets Equal weight Portfolio optimisation Attribution Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-17 Improving our understanding of the equal weighted portfolio |
| title | Improving our understanding of the equal weighted portfolio |
| title_full | Improving our understanding of the equal weighted portfolio |
| title_fullStr | Improving our understanding of the equal weighted portfolio |
| title_full_unstemmed | Improving our understanding of the equal weighted portfolio |
| title_short | Improving our understanding of the equal weighted portfolio |
| title_sort | improving our understanding of the equal weighted portfolio |
| topic | UCTD Stochastic portfolio theory Equity markets Diversification south african equities Global equity markets Equal weight Portfolio optimisation Attribution Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-17 |
| url | https://repository.up.ac.za/handle/2263/84912 |