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You searched for subject:(fundamental indexation). Showing records 1 – 3 of 3 total matches.

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University of the Western Cape

1. Engel, Joswil Scott. Application of fundamental indexation for South African equities .

Degree: 2014, University of the Western Cape

The primary objectives of this research are to determine whether indices constructed from fundamental attributes of ALSI constituents outperform indices weighted by market capitalisations; and whether the performance of fundamental indices could be explained by size and value risk factors. The examination period is 1st January 2000 to 31st December 2009. The JSE ALSI constituent’s fundamental attributes; book values, dividends, earnings and sales together with their market values are extracted from DataStream International. Indices are subsequently constructed according to share’s market values and the four aforementioned fundamental attributes as well as a composite metric. The composite metric is a combination of all four fundamental attributes. Fundamental indices are found to be more mean-variance efficient than cap-weighted indices, whilst displaying moderate value bias and minor size bias. Fundamental indices exhibit lower risk-adjusted returns when rebalanced less frequently, except for sales-weighted indices which justly capture undervalued shares that mean revert throughout the year. Fundamental indexation is therefore, adjudged to be superior to cap-weighted methods and only relatively affected by value effect Advisors/Committee Members: Hsieh, Heng-Hsing (advisor).

Subjects/Keywords: Fundamental indexation; Efficient market hypothesis (EMH); Asset pricing; Investor overreaction; Value effect; Size effect; Asset allocation; Rebalancing

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Engel, J. S. (2014). Application of fundamental indexation for South African equities . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/3906

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Engel, Joswil Scott. “Application of fundamental indexation for South African equities .” 2014. Thesis, University of the Western Cape. Accessed January 22, 2020. http://hdl.handle.net/11394/3906.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Engel, Joswil Scott. “Application of fundamental indexation for South African equities .” 2014. Web. 22 Jan 2020.

Vancouver:

Engel JS. Application of fundamental indexation for South African equities . [Internet] [Thesis]. University of the Western Cape; 2014. [cited 2020 Jan 22]. Available from: http://hdl.handle.net/11394/3906.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Engel JS. Application of fundamental indexation for South African equities . [Thesis]. University of the Western Cape; 2014. Available from: http://hdl.handle.net/11394/3906

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Blitz, David. Benchmarking Benchmarks.

Degree: 2011, Erasmus Research Institute of Management

textabstractBenchmarking benchmarks is a bundle of six studies that are inspired by the prevalence of benchmarking in academic finance research as well as in investment practice. Three studies examine if current benchmark asset pricing models adequately describe the cross-section of stock returns. We present a momentum strategy based on residual stock returns that vastly improves upon traditional momentum strategies, evidence that low-volatility stocks earn abnormally high risk-adjusted returns and a critical discussion of the recently proposed “fundamental indexation” approach. Two studies examine whether active asset allocation can add value over a benchmark strategic asset allocation (SAA) portfolio. We empirically find that value and momentum effects do not only exist within, but also across asset classes, and we present a practical framework for dynamic strategic asset allocation based on the business cycle. The final study examines whether benchmark index returns can actually be obtained in reality. We find that passive funds listed in Europe lag their benchmarks by a statistically and economically significant amount of 50-150 basis points per annum, as a result of expenses and dividend taxes. Based on the overall results we hypothesize that the phenomenon of benchmarking itself may lie at the root of some of our key findings and that the challenge is to adapt benchmarks in such a way that desired behavior is better encouraged.

Subjects/Keywords: ETF; GTAA; active investing; alpha; asset allocation; asset pricing; benchmark; beta; fundamental indexation; momentum; passive investing; value; volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Blitz, D. (2011). Benchmarking Benchmarks. (Doctoral Dissertation). Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/22624

Chicago Manual of Style (16th Edition):

Blitz, David. “Benchmarking Benchmarks.” 2011. Doctoral Dissertation, Erasmus Research Institute of Management. Accessed January 22, 2020. http://hdl.handle.net/1765/22624.

MLA Handbook (7th Edition):

Blitz, David. “Benchmarking Benchmarks.” 2011. Web. 22 Jan 2020.

Vancouver:

Blitz D. Benchmarking Benchmarks. [Internet] [Doctoral dissertation]. Erasmus Research Institute of Management; 2011. [cited 2020 Jan 22]. Available from: http://hdl.handle.net/1765/22624.

Council of Science Editors:

Blitz D. Benchmarking Benchmarks. [Doctoral Dissertation]. Erasmus Research Institute of Management; 2011. Available from: http://hdl.handle.net/1765/22624

3. Eliassen, Oliver. Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies.

Degree: Economics, 2017, Uppsala University

In recent decades, many investors have abandoned hopes of achieving above market returns through active management, and consigned themselves to passive investing in the form of market capitalization based portfolios. Using Swedish stock exchange data from 2002-2016, this thesis investigates if there is a way to harmonize the strengths of active management, yielding potential above market returns, and passive index investing, implying lower fees and transparency. Based on observations from 275 companies, analysed through market model regressions, the results suggest that fundamentally invested value and quality portfolios create an alpha of 1-2 percent quarterly relative the market capitalization benchmark portfolio. Moreover, the results constitute basis for performing real investments, as they take into consideration the transaction costs implied by portfolio turnover. Furthermore, the findings of greater risk-adjusted returns through fundamentally weighted portfolios stand in opposition to the efficient market hypothesis. 

Subjects/Keywords: Alpha; Abnormal Returns; Smart Beta; Fundamental Indexation; Market Model; Value Investing; Swedish Stock Exchange; Economics; Nationalekonomi

…both technical as well as fundamental analysis2 techniques ineffective when seeking greater… …placement reasons rather reasons related to the fundamental value. 2.2 Market Capitalization… …eventually been concluded; macroeconomic, statistical and fundamental (Connor, 1995). The… …fundamental factors, capturing stock 4 Expected returns of an asset is a function of various… …empirical testing, that portfolios constructed based on a few specific fundamental factors could… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Eliassen, O. (2017). Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325919

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Eliassen, Oliver. “Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies.” 2017. Thesis, Uppsala University. Accessed January 22, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325919.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Eliassen, Oliver. “Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies.” 2017. Web. 22 Jan 2020.

Vancouver:

Eliassen O. Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies. [Internet] [Thesis]. Uppsala University; 2017. [cited 2020 Jan 22]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325919.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Eliassen O. Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies. [Thesis]. Uppsala University; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325919

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.