RAFI® replication: Easier done than said?

Paskalis Glabadanidis, Ivan Obaydin, Ralf Zurbruegg

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)


    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
    Issue number3
    Publication statusPublished - Jun 2012


    • fundamental indexes
    • mean-variance spanning
    • portfolio diversification


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