1887

n South African Actuarial Journal - Considering the use of an equal-weighted index as a benchmark for South African equity investors

Volume 19 Number 1
  • ISSN : 1680-2179
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Abstract

We analyse and discuss the use of an equal-weighted index as an alternative to the market capitalisation weighted (cap-weighted) index as a benchmark for active equity portfolios in the South African equity market. Our findings indicate that equal-weighted portfolios are, in general, more efficient than capweighted portfolios and that random active portfolios tend to display significantly improved risk-return characteristics when using an equal-weighted index as a benchmark. We find our results are robust to transaction costs involved with rebalancing.

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/content/journal/10520/EJC-1add5e9853
2019-12-01
2020-09-27

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