1. Introduction We provide an analytical proof explaining why an equally weighted (EW) portfolio has higher return and volatility than a value weighted portfolio (VW) with the same component stocks. Unlike traditional explanations, we assert that the differences exist even in an efficient market ...
Equallyweightedportfoliosvsvalueweightedportfolios:Reasonsfor differingbetas YuntaekPae a,∗ ,NavidSabbaghi b a LewisUniversity,OneUniversityParkway,Romeoville,IL60561,USA b StuartSchoolofBusiness,IllinoisInstituteofTechnology,565WestAdams,Chicago,IL60661,USA articleinfo Articlehistory: Received27January2014 Rec...
We prove that constituent companies' capital structure and tax shield cause the difference in systematic risk between an equally weighted portfolio and a value weighted portfolio in an efficient market where the CAPM holds. The difference in systematic risk has positive association with component ...
sequence with mixed long-term dependencies (expected h = 0.000); emerald circles represent the local compression rate defined as the number of bits that PPM needs to compress the last 1000 symbols divided by 1000; the solid line represents a locally weighted scatterplot smoother (“lowess”...
We also used the community-weighted trait means (CWM onwards) to measure changes in the functional composition of spider assemblages driven by land-use types45. To calculate the CWM values for each category, categorical traits were treated as independent binary variables46. We ran Generalized ...
A Kaplan–Meier survival analysis and Peto-Peto weighted log-rank test were also performed to determine whether information source (social vs individual) influenced the likelihood of meeting criterion. The survival object included whether the subject met criterion or not as the event, number of sessi...
equally weighted portfoliosstrategic asset allocationReal Estate Investment Trusts (REITs)return predictabilityparameter uncertaintyOut-of-sample experiments cast doubt on the ability of portfolio optimising strategies to outperform equally weighted portfolios, when investors have a 1-month time horizon. This ...
New Bernstein Large-Cap Growth Model vs. Old Bernstein Large-Cap Growth Model: Performance Relative to Equally Weighted Large-Cap Growth Universe (1962 Through 2005).A chart that lists the performance of new Bernstein Large-Capitalization (Cap) Growth Model against the old model relative to ...
A chart that lists the performance of new Growth Dynamics Super Factor against the old super factor relative to equally weighted Large-Capitalization Growth Universe from 1962-2005 is presented.EBSCO_bspBernstein Quantitative Handbook
1/5 split of the material collected in one of the three trap cylinders without gel per depth was filtered on a pre-combusted and pre-weighted GF/F filter. Swimmers were removed from the split manually using a microscope before filtration. After filtration, the filters were dried for 24 ...