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Fundamental indexing around the world


  • Walkshäusl, Christian
  • Lobe, Sebastian


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.

Suggested Citation

  • Walkshäusl, Christian & Lobe, Sebastian, 2010. "Fundamental indexing around the world," Review of Financial Economics, Elsevier, vol. 19(3), pages 117-127, August.
  • Handle: RePEc:eee:revfin:v:19:y:2010:i:3:p:117-127

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    References listed on IDEAS

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    Cited by:

    1. Lauren Stagnol, 2015. "Designing a corporate bond index on solvency criteria," EconomiX Working Papers 2015-39, University of Paris Nanterre, EconomiX.
    2. Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based portfolio choice with leverage constraints," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
    3. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
    4. repec:eee:finana:v:51:y:2017:i:c:p:1-15 is not listed on IDEAS
    5. repec:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.15 is not listed on IDEAS
    6. Ardia, David & Boudt, Kris & Wauters, Marjan, 2016. "The economic benefits of market timing the style allocation of characteristic-based portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 38-62.
    7. repec:rjr:romjef:v::y:2017:i:1:p:23-37 is not listed on IDEAS


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