RAFI® replication: Easier done than said?

Paskalis Glabadanidis, Ivan Obaydin, Ralf Zurbruegg

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)210-225
    Number of pages16
    JournalJournal of Asset Management
    Volume13
    Issue number3
    DOIs
    Publication statusPublished - Jun 2012

    Keywords

    • fundamental indexes
    • mean-variance spanning
    • portfolio diversification

    Fingerprint Dive into the research topics of 'RAFI® replication: Easier done than said?'. Together they form a unique fingerprint.

    Cite this