Fundamental indexation in Europe

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We examine the benefits of fundamental indexation using European data. Our findings suggest that by re-weighting a capitalisation-weighted market index by certain fundamental values, it is possible to produce consistently higher returns and higher risk-adjusted returns. Some of these fundamental portfolios produce consistent and significant benefits compared to the capitalisation-weighted portfolio. Thus, our results are in line with Arnott et al. (2005) from the US markets.Journal of Asset Management (2008) 8, 401–405. doi:10.1057/palgrave.jam.2250090

Document Type: Research Article


Publication date: February 1, 2008

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