The Test Bench › index_rule
Does S&P 500, equal-weighted (RSP) actually work?
MARGINALReal but small -- not worth what it costs to run.
The claim
S&P 500, equal-weighted is the index to own — What people actually buy
What we did
Tested against Cap-weight S&P 500, buy & hold, 2004-2026, buy & hold, adjusted total-return.
The result
Result: 10.2 %/yr buy & hold (2004-2026)
+10.2%/yr, Sharpe 0.59, worst drawdown -60% (2008 -40%, 2022 -12%)
Verdict
The popular 'equal-weight beats cap-weight' claim did NOT hold here: Sharpe 0.59 vs the cap-weighted S&P's 0.64, and the WORST drawdown of the bunch (-60%). Its small/value tilt was a drag through the mega-cap era. Sensible idea, didn't pay this cycle.
What the test did and did not do
- survivorship-free universe
- net of real costs
- tested out of sample
- point-in-time data
- checked for look-ahead
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.