This repository contains the code used for the paper Why Do Equally Weighted Portfolios Beat Value-Weighted Ones? by Swade et al. (2023). Please cite this paper if you are using the code:
@article{swade2023,
title={Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?},
author={Swade, Alexander and Nolte, Sandra and Shackleton, Mark B and Lohre, Harald},
journal={Journal of Portfolio Management},
year={2023},
volume={49},
number={5},
pages={167--187},
}
The repository is structured as follows:
- configs contains a yaml file with configurations for the base setup of the paper. Store config files in a separate folder following your current working directory '.../cwd/configs/'.
- equalweighting contains three separate files for data loading, the calculation process, and data visualization.
- data contains the used data by WRDS, Bloomberg, K. French and other sources. Please note, I do not have the right to share any data, but a detailed overview of the used time series is given in the paper.
- main.py calls the different steps of the calculations and saves results afterward.
See further research papers on related topics at SSRN.