No idea but usually the cap weighted portfolio has lower returns and more volatile returns than an equal-weighted portfolio. Typically, the cap weighted portfolio has similar risk and return as a mean-variance optimised portfolio.
Yes, they do. Plus, they give the momentum strategy an extra penalty for high turnover, assuming that value and quality strategies capture 90% of pre-transaction cost performance while momentum strategies capture 50% of pre-transaction cost performance.
Where would the capitalization weighted portfolio stand in there?
No idea but usually the cap weighted portfolio has lower returns and more volatile returns than an equal-weighted portfolio. Typically, the cap weighted portfolio has similar risk and return as a mean-variance optimised portfolio.
Thanks for the post!
Does the average outperformance account for the costs of monthly rebalancing here?
Yes, they do. Plus, they give the momentum strategy an extra penalty for high turnover, assuming that value and quality strategies capture 90% of pre-transaction cost performance while momentum strategies capture 50% of pre-transaction cost performance.