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Because the equal weight S&P has outperformed the cap weight S&P over all time periods that are sufficiently long. Not recently, mind you, but even now, if you go back X* years, the equal weight index outperforms. This means that, in general, it has been better to sell the winners and buy more of the losers, however much this might differ from our intuition.
Does the equal weight S&P500 also outperform if you don't sell the ones that are removed from the S&P500 each year? There's also some "survivors bias" here and I suspect that letting winners run while the failures fall off naturally might possibly overcome equal weight while dropping the failures from your list. I wonder if anyone has run those numbers?
