Fundamental indexation in Europe
نویسندگان
چکیده
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 riskadjusted 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
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