Fundamental Indexation

@article{Arnott2005FundamentalI,
  title={Fundamental Indexation},
  author={Robert D. Arnott and Jason C. Hsu and P. Moore},
  journal={Financial Analysts Journal},
  year={2005},
  volume={61},
  pages={83 - 99}
}
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… 

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