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Анализ фундаментальной индексации как эффективный подход к активному инвестированию // Analysis of Fundamental Indexation as an Efficient Approach to Active Investing

Author

Listed:
  • M. Volkov

    (Financial University)

  • М. Волков

    (Финансовый университет)

Abstract

For many years researchers have been arguing on whether active investing is superior to passive investing by giving theoretical and empirical rationale underlying their beliefs. A desire to over-perform passive investing by utilising fundamentally-justified methodology has led to the development of numerous active and semi-active strategies, such as Fundamental indexation established in 2005 by Arnott et. al. In their research, the authors suggested constructing investment portfolios by assigning the weights of each asset concerning the values of its fundamental indicators. This approach has met heavily critique for the lack of theoretical rationale, by not being able to connect the values of selected fundamental indicators to the future performance of the portfolio. In this research, the thesis of passive investing superiority has been challenged by constructing an active investing strategy based on Fundamental Index described by Arnott et al. (2005) - Modified Fundamental Index and testing it on the UK stock exchange companies. The resulted portfolio showed superior performance compared to the cap-weighted index while also having lower risks and higher diversification. Also, I suggested some ideas for further research concerning MFI. На протяжении многих лет исследователи спорят о том, является ли активное инвестирование лучше пассивного, давая теоретическое и эмпирическое обоснование, лежащее в основе их убеждений. Стремление переоценивать пассивное инвестирование, используя фундаментально обоснованную методологию, привело к разработке многочисленных активных и полуактивных стратегий, таких как фундаментальная индексация, основанная в 2005 г. Робертом Арноттом, Я. Хсу и Ф. Муром. В своем исследовании авторы предложили строить инвестиционные портфели путем присвоения весов каждому активу относительно значений его фундаментальных показателей. Этот подход был подвергнут серьезной критике за отсутствие теоретического обоснования, поскольку он не позволял увязать значения отдельных фундаментальных показателей с будущими показателями портфеля.Тезис о превосходстве пассивного инвестирования автор статьи оспаривает с помощью построения активной инвестиционной стратегии на основе фундаментального индекса, описанного в Arnott et al. (2005), - Модифицированный Фундаментальный Индекс (МФИ) - и протестированного на данных компаний, которые котируются на Британских фондовых биржах. Портфель показал более высокие показатели по сравнению с взвешенным по капиталу индексом при более низких рисках и более высокой диверсификации. Кроме того, автор предложил некоторые идеи для дальнейших исследований, касающихся МФИ.

Suggested Citation

  • M. Volkov & М. Волков, 2018. "Анализ фундаментальной индексации как эффективный подход к активному инвестированию // Analysis of Fundamental Indexation as an Efficient Approach to Active Investing," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(4), pages 41-51.
    • Handle: RePEc:scn:00rbes:y:2018:i:4:p:41-51
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    References listed on IDEAS

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