I have started a PhD in Finance last year on novel equity indexation methodologies sponsored by the prestigious ESRC (Economic and Social Research Council) at the ICMA Centre, Henley Business School, UK. The following is the abstract of the first part of the larger research project, which can be easily transformed into a financial product.

The entire passive investment industry suffers from a performance drag as it assigns companies’ weights depending on their market capitalisation, thereby placing larger bets on overvalued companies and smaller bets on undervalued ones. Here I propose two novel indexation methodologies that overcome the ex-ante inefficiency by allocating portfolio constituents’ weights based on a variety of readily available accounting metrics such as Sales, EBITA and Dividends. These innovative indices, rebalanced annually, outperformed the FTSE 100 by 3% on an annual basis over the last 25 years, whilst encountering analogous or lower volatility compared to the UK benchmark. Predictably, the resulting Sharpe ratios increased more than twofold. The superior performance is shown to be robust to turnover and transaction costs, bull and bear markets and independent on initial or ending investment dates. Lastly, CAPM, FF3 and Carhart alphas are found to be positive and statistically significant. This project thus demonstrates that the proposed indices provide a robust path for enhanced performance to all passive investors.

If you are interested in a possible partnership on the development of an ETF or similar product based on my strategy please contact me.