Does fundamental indexation lead to better risk-adjusted returns? New evidence from Australian Securities Exchange

摘要

We investigate the claims of superiority of fundamental indexation strategy over capitalisation-weighted indexation using data for Australian Securities Exchange listed stocks. While our results are in line with the outperformance observed in other geographical markets, we find that the excess returns from fundamental indexation in Australian market are much higher. On a rolling 5-year basis, the fundamental index always outperforms the capitalisation-weighted index. Our results suggest that superior performance of fundamental indexation could not be entirely attributed to value, size or momentum effects. The outperformance persists even after adjusting for slightly higher transaction costs related to turnover.