An Empirical Examination of Non-Market Capitalisation Weighted Indices in Australia

  • Dempsey, Michael, (Primary Chief Investigator (PCI))
  • Faff, Robert, (Chief Investigator (CI))
  • Lajbcygier, Paul (Chief Investigator (CI))
  • Shi, Terry, (Chief Investigator (CI))
  • Veeraraghavan, Madhu, (Chief Investigator (CI))
  • Irlicht, Laurence (Partner Investigator (PI))
  • de Bever, Leo (Partner Investigator (PI))

    Project: Research

    Project Description

    Hundreds of billions of dollars are invested using capitalisation weighted indices in Australia. A novel approach, fundamental indexation, challenges the long held academic view that such indexation is optimal. Our study investigates the claim that superior risk-adjusted returns are possible with fundamental indexation. It would be the first, outside the US, to test this claim. If superior performance, which is robust across various time periods and business cycles, is attainable then this may have profound implications for the Australian funds management industry. Re-investment of thousands of billions of dollars to Fundamental Indexation may be justified, leading to better retirement outcomes for millions of people in Australia.'
    StatusFinished
    Effective start/end date31/12/0831/12/13

    Funding

    • Australian Research Council (ARC): AUD88,119.00
    • Australian Research Council (ARC): AUD76,881.00
    • Victorian Funds Management Corporation: AUD75,300.00
    • Australian Research Council (ARC)
    • Australian Research Council (ARC)