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Journal of Finance and Investment Analysis
Following the criticism surrounding capitalization-weighting, both academic and practitioner communities have developed alternative approaches to portfolio construction. We analyze one of these approaches, fundamentals-based weighting, which identifies the weights of portfolio constituents on the basis of their market multiples and accounting ratios. Our analysis is carried out on four fundamentals-weighted portfolios (FW) based on four different weighting variants, the capitalization-weighteddoi:10.47260/jfia/1023 fatcat:3yl6u4yl5vhqhpgxpev3wylvwy