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Overview

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.