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A Comparison Of Fundamentally Weighted Indices: Oveview And Performance Analysis

This paper analyses a set of characteristics-based indices that have recently been launched on the US market and have been said to outperform standard market cap-weighted indices over particular ba ...

Author(s) :

Noel Amenc, Felix Goltz, Veronique Le Sourd

Summary :

This paper analyses a set of characteristics-based indices that have recently been launched on the US market and have been said to outperform standard market cap-weighted indices over particular backtest samples. The EDHEC authors, Noël Amenc, Felix Goltz and Véronique Le Sourd, analyse the performance of an exhaustive list of such indices and show that the outperformance over value-weighted indices may be negative over long time periods and that characteristics-based indices do not significantly outperform simple equal-weighted indices. Furthermore, an analysis of both the style exposures and the sector exposures of characteristics-based indices reveals a significant value tilt. When properly adjusting for this tilt, these indices do not show any abnormal performance. A revisited version of this paper was published in the March 2009 issue of European Financial Management. 

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Type : EDHEC Publication
Date : 03/03/2008
Keywords :

Indices