Abstract

http://ssrn.com/abstract=713865
 
 

Citations



 


 



Fundamental Indexation


Robert D. Arnott


Research Affiliates, LLC

Jason C. Hsu


Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business

Philip Moore


Pacific Investment Consultants, LLC


Financial Analysts Journal, Vol. 61, No. 2, pp. 83-99, March/April 2005

Abstract:     
A trillion-dollar industry is based on investing in or benchmarking to capitalization-weighted indexes, even though the finance literature rejects the mean-variance efficiency of such indexes. This study investigates whether stock market indexes based on an array of cap-indifferent measures of company size are more mean-variance efficient than those based on market cap. These Fundamental indexes were found to deliver consistent, significant benefits relative to standard cap-weighted indexes. The true importance of the difference may have been best noted by Benjamin Graham: In the short run, the market is a voting machine, but in the long run, it is a weighing machine.

Keywords: Investment Theory, Portfolio Theory, Portfolio Management, Equity Strategies, Performance Measurement and Evaluation, Performance Measurement, Equity Investments, Fundamental Analysis and Valuation Models

Accepted Paper Series


Not Available For Download

Date posted: May 5, 2005  

Suggested Citation

Arnott, Robert D. and Hsu, Jason C. and Moore, Philip, Fundamental Indexation. Financial Analysts Journal, Vol. 61, No. 2, pp. 83-99, March/April 2005. Available at SSRN: http://ssrn.com/abstract=713865

Contact Information

Robert D. Arnott (Contact Author)
Research Affiliates, LLC ( email )
620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8701 (Phone)
949-325-8901 (Fax)
HOME PAGE: http://researchaffiliates.com/index.htm
Jason C. Hsu
Research Affiliates, LLC ( email )
620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States
HOME PAGE: http://www.jasonhsu.org
University of California, Los Angeles - Anderson School of Business
110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
Philip Moore
Pacific Investment Consultants, LLC ( email )
8909 Rubio Av
Los Angeles, CA 91343
United States
818-205-4384 (Phone)
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