Paper from the House of Finance wins in SPIVA Awards Program

A team of researchers from the House of Finance and the Edhec Business School, London, has claimed the first prize (USD $50,000) in S&P Indices first annual SPIVA Awards program for their comprehensive study into why equal-weighted portfolios outperform value- and price-weighted portfolios. The paper, published by Yulia Plyakha and Grigory Vilkov, Frankfurt, and Raman Uppal, London, is a meticulous investigation into the outperformance of equal weighted portfolios.

Using a broad array of statistical techniques, the paper demonstrates that the relative outperformance of equal weighting is driven not just by higher exposure to well-known systematic value and size factors, but via the built-in alpha of equal weighting approaches. An equal weight portfolio must be rebalanced periodically, in effect buying the losers and selling the winners.

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