Journal Article

In: Business and Management

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CFA Institute

Fundamental Indexation Author(s): Robert D. Arnott, Jason Hsu and Philip Moore Source: Financial Analysts Journal, Vol. 61, No. 2 (Mar. - Apr., 2005), pp. 83-99 Published by: CFA Institute Stable URL: http://www.jstor.org/stable/4480658 . Accessed: 24/02/2014 01:32
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FinancialAnalysts Journal Volume 61 . Number 2 ?2005, CFAInstitute

X

Fundamental

Indexation

Robert D. Arnott,Jason Hsu, and PhilipMoore
to A trillion-dollar industryis basedon investingin or benchmarking capitalization-weighted the This literature indexes, eventhough thefinance rejects mean-variance efficiency suchindexes. of measures whether stockmarket indexesbasedon an arrayof cap-indifferent study investigates of than based market These on "Fundamental" size mean-variance company aremore efficient those cap. indexeswerefound to deliverconsistent,significantbenefitsrelativeto standard cap-weighted The Graham: the In indexes. trueimportance thedifference havebeenbestnotedbyBenjamin of may but shortrun,themarket a votingmachine, in thelongrun,it is a weighing is machine.

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