Some time ago, I wrote a post about equal-weighted portfolios and why they work in terms of factor exposure. I also featured in a podcast on David Stevenson’s excellent blog, The Adventurous Investor. If you haven’t subscribed, yet, do so now. You will not regret it.
Where would the capitalization weighted portfolio stand in there?
Thanks for the post!
Does the average outperformance account for the costs of monthly rebalancing here?