Strategy #0000000145 · Value investing
Fundamental indexation
Enter fundamental scale, market cap and return for three constituents plus rebalance cost.
Fundamental weighting uses scale measures such as sales, book value, cash flow or dividends instead of market prices. It tends to tilt toward value and smaller firms relative to cap-weighted benchmarks and rebalances periodically; factor exposure, sector tilts, costs and the weighting effect should be distinguished. This tool directly uses entered fundamentals, market caps and returns for three stocks.
Omits composite fundamentals, index reconstitution rules, taxes, slippage and historical backtests.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How do fundamental-scale and market-cap weights differ in active return and rebalance cost for the same stocks?
Fundamental weighting uses scale measures such as sales, book value, cash flow or dividends instead of market prices. It tends to tilt toward value and smaller firms relative to cap-weighted benchmarks and rebalances periodically; factor exposure, sector tilts, costs and the weighting effect should be distinguished. This tool directly uses entered fundamentals, market caps and returns for three stocks.
Enter fundamental scale, market cap and return for three constituents plus rebalance cost.
Omits composite fundamentals, index reconstitution rules, taxes, slippage and historical backtests.
- Input assumptionsEnter fundamental scale, market cap and return for three constituents plus rebalance cost.
- Model outputOmits composite fundamentals, index reconstitution rules, taxes, slippage and historical backtests.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
w_i^{fund}=F_i/\sum_jF_j,\quad R_{active}=\sum_i(w_i^{fund}-w_i^{cap})r_i-C
A single fundamental measure is used for illustration; constituents, weights and returns are manually entered.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
w_i^{fund}=F_i/\sum_jF_j,\quad R_{active}=\sum_i(w_i^{fund}-w_i^{cap})r_i-C
Practical context · published observations
Fundamental indexation: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
Omits composite fundamentals, index reconstitution rules, taxes, slippage and historical backtests. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, contract terms and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Fundamental weighting uses scale measures such as sales, book value, cash flow or dividends instead of market prices. It tends to tilt toward value and smaller firms relative to cap-weighted benchmarks and rebalances periodically; factor exposure, sector tilts, costs and the weighting effect should be distinguished. This tool directly uses entered fundamentals, market caps and returns for three stocks. | Omits composite fundamentals, index reconstitution rules, taxes, slippage and historical backtests. |
| Conservative version | Higher cost/loss | Stress higher costs, larger losses or lower liquidity. | May lower scenario returns. |
| Validation version | Data review | Test model inputs with consistent contracts and timestamps. | Needs licensed, representative data. |
Omits composite fundamentals, index reconstitution rules, taxes, slippage and historical backtests.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.