| dc.description.abstract | Traditional capitalized-weighted index portfolios aim to capture the market
performance, and can be considered as a viable investment option for passive
investors. However, research suggest that cap-weighted indices are sub-optimal as
they overweight overpriced stocks and underweight underpriced stocks. This
Master Thesis examines whether the fundamental indexation strategy is superior
relative to cap-weighted indexation, covering 15 developed countries in Europe
between 1986-2016. The fundamental indices are equally weighted between four
non-price based metrics; Book Value, Net Income, Cash Flow and Dividends. The
study finds that fundamental indexation generates excess returns adjusted for
several risk factors, which is in accordance to comparable research papers. In
addition, the findings indicate that the fundamental indices perform better in bear
markets relative to the cap-weighted indices’ outperformance in bull markets. The
results are persistent through time, which substantiates that fundamental indexation
has the features of being a superior indexation method. | nb_NO |
