key takeaways
When rebalanced at the same frequency, the portfolio invested in the equally weighted index generally performs the best, but it is also subject to higher volatility when there are shocks to the economy. Across all rebalancing frequencies, the equally weighted portfolio continues to perform the best, while the values for the market cap weighted and one stock in each index are fairly similar. |
The portfolio invested in the equally weighted index performs best when rebalanced daily; however, the rebalance frequency does not affect the performance of the portfolio in the market cap weighted index or the one in each index.
After normalizing portfolio values at the final start date, all portfolios, regardless of start date, have the same performance over time. This result occurs for both the equally weighted index and the market cap weighted index.
future work
The calculated portfolio values do not include transaction costs. Next steps for this project include determining how these costs affect net returns and investigating trading strategies for investors.