Minimum variance and equally-weighted portfolios have recently prompted great interest
both from academic researchers and market practitioners, as their construction does not rely …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

In this paper, we critically examine the novel concept of fundamental indexation. We argue
that fundamental indexation is by definition nothing more than an elegant value strategy …

This paper examines the benefits of international diversification for US investors, while
accounting for market development, corporate governance, market cap effects, and …

A capitalization-weighted index is the most common way to gain access to broad equity
market performance. These portfolios are generally concentrated in a few stocks and …

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 …

This paper analyses a set of characteristics‐based indices that, it has been argued,
outperform market cap‐weighted indices. We analyse the performance of an exhaustive list …

We investigate the claims of superiority of fundamental indexation strategy over
capitalisation‐weighted indexation using data for A ustralian S ecurities E xchange listed …

We show that the performance of a fundamental index with annual rebalancing, as proposed
by Arnott, Hsu and Moore (2005), can be highly sensitive to the subjective choice of when to …

This study evaluates the sector risk of the Qatar Stock Exchange (QSE), a recently upgraded
emerging stock market, using value-at-risk models for the 7 January 2007–18 October 2015 …