Nomura Securities Co Ltd, Tokyo Global Quantitative Research Global fundamental indices Do they outperform market-cap weighted indices on a global basis? Summary Date In this report, we present the new concept of fundamental indexing developed by Robert 28 October 2005 D. Arnott et al (2005). Fundamental indexing assigns index weightings to stocks based This report is a translation of an article on the use of fundamentals that are not tied to share prices, rather than using the appearing in the Japanese-language commonly accepted method of assigning index weightings based on market Security Analysts Journal October 2005 capitalization. Mr Arnott claims that historical analysis of US stocks shows that Vol. 43 No. 10. fundamental indices have outperformed market-cap weighted indices consistently over Analysts time. In this report, we examine the performance of fundamental indices on a global H. Tamura basis using indices we formulated based on the methods of Mr. Arnott and his +81-3-3274-1079 colleagues. Our analysis shows that fundamental indices have outperformed market-cap
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[email protected] Cumulative performances of global indices Financial & Economic Research Center (End-87/12 = 1) Nomura Securities, Tokyo 5.0 FI Global MSCI Wor ld Nomura research sites: 4.0 www.nomura.com/research Bloomberg: NMR 3.0 2.0 FTSE World Cap Global 1.0 Please read the important 0.0 disclosures on the back page of this report. 88/1 89/1 90/1 91/1 92/1 93/1 94/1 95/1 96/1 97/1 98/1 99/1 00/1 01/1 02/1 03/1 04/1 05/1 Note: Cumulative performance of each index is based on a value of one from the starting date of end-December 1987.