Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/76471
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Type: | Journal article |
Title: | RAFI replication: easier done than said? |
Author: | Glabadanidis, P. Obaydin, I. Zurbrugg, R. |
Citation: | The Journal of Asset Management, 2012; 13(3):210-225 |
Publisher: | Palgrave Macmillan Ltd. |
Issue Date: | 2012 |
ISSN: | 1470-8272 1479-179X |
Statement of Responsibility: | Paskalis Glabadanidis, Ivan Obaydin, Ralf Zurbruegg |
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. |
Keywords: | fundamental indexes portfolio diversification mean-variance spanning |
Description: | This is a post-peer-review, pre-copyedit version of an article published in The Journal of Asset Management. The definitive publisher-authenticated version Glabadanidis, Paskalis Teodoros; Obaydin, Ivan; Zurbruegg, Ralf, RAFI replication: easier done than said?, The Journal of Asset Management, 2012; 13(3):210-225 is available online at: dx.doi.org/10.1057/jam.2012.7 |
Rights: | © 2012 Macmillan Publishers Ltd. |
DOI: | 10.1057/jam.2012.7 |
Published version: | http://dx.doi.org/10.1057/jam.2012.7 |
Appears in Collections: | Aurora harvest 4 Business School publications |
Files in This Item:
File | Description | Size | Format | |
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hdl_76471.pdf | Accepted version | 392.61 kB | Adobe PDF | View/Open |
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