Why are the values of Concentration Ratio (conratio) and Herfindahl-Hirschman Index (hhi) the same for the equal-weighted and value-weighted indexes in CRSP/Ziman Real Estate Data Series?
Concentration ratio (conratio) and Herfindahl Hirschman Index (hhi) are not dependent on the weighting of the stocks in a portfolio. They are dependent on the market cap of the different REITS that are eligible for the portfolio. The EW and VW indexes are created from the same universe of stocks, so the conratio and hhi values are the same.
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Why are the values of Concentration Ratio (conratio) and Herfindahl-Hirschman Index (hhi) the same for the equal-weighted and value-weighted indexes in CRSP/Ziman Real Estate Data Series?
Concentration ratio (conratio) and Herfindahl Hirschman Index (hhi) are not dependent on the weighting of the stocks in a portfolio. They are dependent on the market cap of the different REITS that are eligible for the portfolio. The EW and VW indexes are created from the same universe of stocks, so the conratio and hhi values are the same.