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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
Statement of
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:
Rights: © 2012 Macmillan Publishers Ltd.
RMID: 0020119435
DOI: 10.1057/jam.2012.7
Appears in Collections:Business School publications

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