An Examination of Fundamental Indexation

New Frontiers in Index Investing: Journal of Indexes, Vol. 58, pp. 32-37, January/February 2006

7 Pages Posted: 1 Jan 2008 Last revised: 3 Jan 2017

See all articles by Jason C. Hsu

Jason C. Hsu

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

Carmen Campollo

FTSE Americas

Date Written: November 2, 2010

Abstract

We review the Fundamental Indexation concept in this paper and examine its performances out-of-sample using 20 years of international data. We find Fundamental Indexes outperform reliably in all developed countries selected for our study. In addition, we examine the out-of-sample performance using mid cap and small cap stocks. Again, we find Fundamental Indexes outperform with consistency. We are led to conclude that Fundamental Indexation works and is not a result of mining the U.S. data for spurious relationships; the evidence is compelling and overwhelming that Fundamental Indexing an improvement over traditional cap-weighted index construction.

Keywords: Fundamental Index, Indexing, Capitalization Weighting, Non-price-based Indexing

Suggested Citation

Hsu, Jason C. and Campollo, Carmen, An Examination of Fundamental Indexation (November 2, 2010). New Frontiers in Index Investing: Journal of Indexes, Vol. 58, pp. 32-37, January/February 2006. Available at SSRN: https://ssrn.com/abstract=1079625

Jason C. Hsu (Contact Author)

Rayliant Global Advisors ( email )

Hong Kong

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

Carmen Campollo

FTSE Americas ( email )

1330 Avenue of the Americas
10th Floor
New York, NY 10019
United States

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