Evaluation of the Fundamental Index’sPerformance in the Spanish CapitalMarkets From a Passive Investor’sPerspective

• Autores: Felipe Ruiz, Guillermo Martínez, Rafael Ruiz Cano
• Localización: Industrial Engineering: Innovative Networks: 5th International Conference on Industrial Engineering and Industrial Management "CIO 2011", Cartagena, Spain, September 2011, Proceedings / Suresh P. Sethi (dir. congr.), Marija Bogataj (dir. congr.), Lorenzo Ros McDonnell (dir. congr.), 2012, ISBN 978-1-4471-2321-7, págs. 21-28
• Idioma: inglés
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• Resumen

  • A stock market index weighed by the market capitalization presents the drawback of overweighing overpriced stocks and underweighing underpriced stocks. Therefore, market capitalization-weighed indices should underperformother indices avoiding that bias, such as the ‘‘Fundamental Index’’ (FI). This article compares the relative performance of FI vs. IBEX-35 (main Spanish stock index), in the Spanish stock exchange, from the IBEX-350s inception in 1992, to the end of 2010. The results of the study show a relative overperformance of the FI over theIBEX-35 of more than 1.12% compound annual rate, during the 19 years covered by the study. This excess return, in favour of the FI, reaches 5.55% compound annual rate during the 7 years, within the study period, in which the IBEX-35 showed a negative return. However, during the 12 years in which the IBEX-35showed a positive return, the FI underperformed the IBEX-35 by 2.90% compoundannual rate.