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RAFI® replication: Easier done than said?

Author

Listed:
  • Paskalis Glabadanidis
  • Ivan Obaydin
  • Ralf Zurbruegg

    (University of Adelaide Business School)

Abstract

We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially pronounced during periods of average stock market volatility. We also find that investors can construct a do-it-yourself buy-and-hold replicating portfolio that frequently outperforms the Research Affiliates Fundamental Index®(RAFI®), exchange traded fund out-of-sample.

Suggested Citation

  • Paskalis Glabadanidis & Ivan Obaydin & Ralf Zurbruegg, 2012. "RAFI® replication: Easier done than said?," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 210-225, June.
    • Handle: RePEc:pal:assmgt:v:13:y:2012:i:3:d:10.1057_jam.2012.7
    DOI: 10.1057/jam.2012.7
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    References listed on IDEAS

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