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http://ssrn.com/abstract=1691213
 
 

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Equal Weight Indexing - Seven Years Later


Srikant Dash


Standard & Poor's

Liyu Zeng


Standard & Poor's

July 31, 2010


Abstract:     
Equal weighting is factor indifferent. It randomizes factor mispricing and is thus an attractive option for proponents of the theory that the market is inefficient and, at times, misprices factors. In January 2003, the S&P 500 Equal Weight Index (EWI) was introduced, pioneering the subsequent development of non-capitalization weighted indices catering to those investors questioning market efficiency. Criticism of equal weighted indices has centered on increased turnover and capacity constraints relative to market capitalization weighted indices. While true in abstract theory, neither is a serious hurdle in practice.

Number of Pages in PDF File: 22

Keywords: S&P 500 Equal Weight Index, equal weighting, S&P 500

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Date posted: October 14, 2010  

Suggested Citation

Dash, Srikant and Zeng, Liyu, Equal Weight Indexing - Seven Years Later (July 31, 2010). Available at SSRN: http://ssrn.com/abstract=1691213 or http://dx.doi.org/10.2139/ssrn.1691213

Contact Information

Srikant Dash (Contact Author)
Standard & Poor's ( email )
London EC2M 7NJ
United Kingdom
Liyu Zeng
Standard & Poor's ( email )
London EC2M 7NJ
United Kingdom
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