Fundamental Indexation : Revolutionary or Just Another Quant Value Strategy?

This paper compares and contrasts market capitalisation weighted indices with non-price weighted indices. Market capitalisation weighted indices are criticised because of being influenced by market sentiment. However, they are appropriate broad market benchmarks since they best represent the market as they reflect the average dollar invested. On the other hand, non-price weighted indices, such as fundamental indexation, although immune to market sentiment are inferior as benchmarks. Effectively fundamental indexation and its associated derivatives are just quant value strategies rather than benchmarks. As such, these strategies should be evaluated as active quant strategies