Fundamental indexing based on accounting valuation has drawn significant interest from academics and practitioners in recent times as an alternative to capitalisation weighted indexing based on market valuation. This paper investigates... more
Fundamental indexing based on accounting valuation has drawn significant interest from academics and practitioners in recent times as an alternative to capitalisation weighted indexing based on market valuation. This paper investigates the claims of superiority of fundamental indexation strategy by using data for Australian Securities Exchange (ASX) listed stocks between 1985 and 2010. Not only do our results strongly support the outperformance claims observed in other geographical markets, we find that the excess returns from fundamental indexation in Australian market are actually much higher. The fundamental indexation strategy does underperform during strong bull markets although this effect diminishes with longer time horizons. Contrary to many previous studies, our results show that superior performance of fundamental indexation could not be attributed to value or size premium. Overall, the findings indicate that fundamental indexation could offer potential outperformance of t...
As the economic malaise lingers on and mainstream active managers increasingly fail to deliver on “over-performance” expectations, institutional asset owners are switching to passive in droves. World Pension Council (WPC) experts estimate... more
As the economic malaise lingers on and mainstream active managers increasingly fail to deliver on “over-performance” expectations, institutional asset owners are switching to passive in droves. World Pension Council (WPC) experts estimate that the relative share of passive investments could double in the next five years, reaching up to 40% of pension and insurance assets by 2020.
Pension funds are collectively losing out on billions of dollars every year because of artificially low interest rates while the governments lower the debt servicing bills, resulting in a transfer of wealth from the future income of pensioners to enrich the Treasury department and a handful of financiers. . .
