PORTFOLIO COMPARISON / ONE VARIABLE

Equal-Weight vs Market-Cap-Weight Portfolio Backtest

Compare weighting rules while keeping the investable equity universe and non-equity allocation fixed.

THE QUESTION

Does equal weighting add a stable portfolio advantage after concentration, turnover, and rebalancing are included?

BASE PORTFOLIOMarket-cap-weighted equity sleeve
CONTROLLED CHANGEEqual-weighted equity sleeve
ONLY CHANGED VARIABLEEquity weighting rule

The base rules, data treatment, and calculation assumptions remain visible throughout the comparison. Review the controlled portfolio backtesting used to interpret this result.

WHAT TO COMPARE

Read the trade-off as a system.

  1. 01Return difference
  2. 02Concentration
  3. 03Turnover
  4. 04Drawdown

WHEN TO LOOK

Locate where the difference appeared.

Broad ralliesMega-cap leadershipSmall-cap strengthMarket stress

A useful comparison shows whether an advantage was broad or created by one unusually favorable period. For a direct test of this risk, compare the same rules across multiple portfolio start dates.

OBSERVED RESULT / REAL MARKET DATA

What the comparison actually produced.

The market-cap-weighted portfolio ended $4,102 higher and had a 3.11-point shallower drawdown. This window strongly rewarded mega-cap leadership; the result measures that historical regime, not an unconditional superiority of cap weighting.

WINDOWAug 2016–Jul 2026
CAPITAL$10,000 initial investment
CALCULATIONBoth portfolios hold 40% BND. The 60% equity sleeve uses SPY for market-cap weighting or RSP for equal weighting; annual rebalancing.
Weighting ruleEnding valueAnnualized returnMaximum drawdown
Market-cap weighted$25,2549.71%−20.97%
Equal weighted$21,1527.78%−24.08%

TEST ANOTHER ALLOCATION OR RULE

Change one variable in AI Backtest.

Build your own portfolio comparison →