It is widely noted that market capitalisation weighted portfolios are inefficient and underperform an equal weighted portfolio over the long-term. However, at least since 2016, an equal weighted portfolio of stocks in the S&P500 has significantly underperformed the market capitalisation weighted portfolio. In this paper, we analyse this underperformance using stochastic portfolio theory. We show that the equal weighted portfolio does appear to outperform the market capitalisation weighted portfolio over the long-term but with periods of significant short-term underperformance. In addition, we find that concentration in the market capitalisation weighted portfolio has increased in recent years and has contributed to the recent underperformance together with a significantly lower level of diversification benefits. Furthermore, we highlight an approach to improve the performance of a portfolio by dynamically selecting a market cap or an equal weighting using a rudimentary linear regression model.

人们普遍注意到，市值加权的投资组合效率低下，并且长期表现不及同等加权的投资组合。然而，至少自 2016 年以来，标准普尔 500 指数股票的等权重投资组合的表现明显落后于市值加权投资组合。在本文中，我们使用随机投资组合理论来分析这种表现不佳的情况。我们表明，等权重投资组合的长期表现似乎确实优于市值加权投资组合，但在短期内表现明显不佳。此外，我们发现市值加权投资组合的集中度近年来有所增加，并导致近期表现不佳以及多元化收益水平显着降低。此外，