RT Journal Article SR Electronic T1 Decomposing Fundamental Indexation JF The Journal of Index Investing FD Institutional Investor Journals SP 10 OP 19 DO 10.3905/jii.2015.6.3.010 VO 6 IS 3 A1 Gregg S. Fisher A1 Ronnie Shah A1 Sheridan Titman YR 2015 UL https://pm-research.com/content/6/3/10.abstract AB This article compares fundamental index strategies with strategies that start with the market index and then tilt towards high fundamental-to-price ratio stocks. The authors find that the tilt strategies have similar return, volatility, and turnover as the corresponding fundamental index but have higher information ratios and lower tracking error. Using the same methodology, they also show that a modified index strategy that incorporates multiple distinct quantitative factors generates much higher information ratios with similar turnover.TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia