Using Firm Fundamentals to Build Better Stock Indexes
November 14, 2023 - Equity Premium, Fundamental Valuation
Do conventional market capitalization-weighted stock indexes suffer from a long-term buy-high/sell-low performance drag when adding and deleting stocks? In their October 2023 paper entitled “Reimagining Index Funds”, Robert Arnott, Chris Brightman, Xi Liu and Que Nguyen construct alternative indexes that select stocks based on fundamental measures of underlying firm size and then weight them by… Keep Reading