We empirically show the power of the equally weighted S&P 500 portfolio over Sharpe's market capitalization weighted S&P 500 portfolio. We proceed to consider the MaxMedian rule, a nonproprietary rule which was designed for the investor who wishes to do his/her own investing on a laptop with the purchase of only 20 stocks. Shockingly, the rule beats equal weight by a factor of 1.24 and posts annual returns that exceed even those once allegedly promised by Bernie Madoff.
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