This paper presents a methodology for incorporating a regime-based approach to portfolio optimisation, specifically for fixed income portfolios. By segmenting the market into distinct periods or "regimes" characterised by different market conditions, such as high or low volatility, investors can...

It is widely noted that market capitalization weighted portfolios are inefficient and underperform an equal weighted portfolio over the long-term. However, at least since 2016, an equal weighted portfolio of stocks in the S&P500 has significantly underperformed the market capitalization weighted...

There is now an abundance of literature showing that the equal weighted portfolio outperforms the value weighted portfolio. However, this has led to claims that the act of rebalancing itself within an equal weight strategy is what leads to outperformance, whether or not individual security...