TY - JOUR T1 - Riding the 1/N Premium JF - The Journal of Investing SP - 94 LP - 109 DO - 10.3905/joi.2021.1.201 VL - 31 IS - 2 AU - Lars Kaiser AU - Georg Peter Y1 - 2022/01/31 UR - https://pm-research.com/content/31/2/94.abstract N2 - This article proposes a simple and effective rotation strategy. The strategy rotates between the value-weighted market portfolio (VW) and the equal-weighted counterpart (EW) based on an implicit market signal—the lagged one-month market return. The authors report a statistically significant relation between the lagged one-month market return and the future 1/N premium, which is the return difference between the EW and VW portfolios. Building on the predictive quality and exploiting the time-varying nature of the 1/N premium, they introduce a transparent and robust investment strategy that yields superior absolute and risk-adjusted returns. ER -