Review of Financial Economics, Vol. 3, No. 19, pp. 117-127, 2010
36 Pages Posted: 22 Mar 2009 Last revised: 13 Oct 2011
Date Written: May 25, 2011
Using an international sample from 1982 to 2008, we investigate the performance of global and 50 country-specific (28 developed and 22 emerging) fundamentally weighted portfolios compared to capitalization-weighted portfolios. First, we establish that superior performance of domestic portfolios diminishes considerably when applying a bootstrap procedure for robust performance testing. Second, after controlling for data snooping biases and the value premium, we find evidence of outperforming global fundamental indexes, but no compelling evidence of outperforming country-specific indexes.
Keywords: Fundamental Indexing, Value Premium, Performance Evaluation
JEL Classification: G11, G14, G15
Suggested Citation: Suggested Citation
Walkshäusl, Christian and Lobe, Sebastian, Fundamental Indexing Around the World (May 25, 2011). Review of Financial Economics, Vol. 3, No. 19, pp. 117-127, 2010. Available at SSRN: https://ssrn.com/abstract=1364450