RT Journal Article
SR Electronic
T1 International Equity Indices
JF The Journal of Investing
FD Institutional Investor Journals
SP 103
OP 118
DO 10.3905/joi.2007.686417
VO 16
IS 2
A1 Olfa Hamza
A1 Mohamed Kortas
A1 Jean-François L'Her
A1 Mathieu Roberge
YR 2007
UL https://pm-research.com/content/16/2/103.abstract
AB We provide evidence that for the developed markets that were part of the MSCI EAFE index over the 1970–2004 period, an equally-weighted index outperforms market-cap and GDP-weighted indices. Two important characteristics distinguish the equally-weighted index from its counterparts: lower concentration and more frequent rebalancing. We simulate international equity portfolios along these two dimensions. Lower concentrated portfolios almost systematically dominate more concentrated portfolios. Though rebalancing dominates no rebalancing, the relation between international portfolios rebalanced according to different frequencies is more tenuous.TOPICS: Mutual funds/passive investing/indexing, developed markets, equity portfolio management