Research Affiliates - Buy High and Sell Low with Index Funds

Buy High and Sell Low with Index Funds!

Traditional index funds match market performance and have negligible trading costs with low tracking error—or do they? Not actually—they routinely buy after high price appreciation and sell after high price depreciation. They also have significant trading costs from adding and deleting stocks. We show how index providers can construct better-performing indices that are less prone to performance chasing and have lower turnover.

Alternative Risk Premia: Valuable Benefits for Traditional Portfolios

An alternative risk premia strategy that relies on robust factors within a liquid, transparent, and disciplined framework has the potential to improve the long-term return prospects of traditional portfolios and to reduce their downside risk.

Chris Brightman and Feifei Li

Chris Brightman and Feifei Li explain how investors can make better-informed decisions and build portfolios that deliver better outcomes.

Rob Arnott on Short-Termism in the Stock Market

(Bloomberg TV, August 17, 2018)

Rob Arnott on Turkey and Emerging Markets

(Bloomberg TV, August 17, 2018)

Where Is the Global Economy Going? Evidence shows that the yield-curve slope and equity returns provide signals of similar direction in the economy, allowing investors to nowcast with relative confidence. Today, those signals indicate that several developed markets—in particular, Japan, Germany, and the United States—are ominously close to entering a correction phase.
TDF Hero
Are Our TDFs Massively Underweight Inflation-Fighting Assets? Allocations to inflation-fighting assets in target-date funds are simply too low in relation to the benefit these asset classes offer investors who are planning for retirement.
Food for Thought Picture
Food for Thought: Integrating vs. Mixing Although a naïve comparison appears to favor the integrating approach to multi-factor strategy construction, after taking into account both quantitative and qualitative considerations, many investors—those seeking transparency, diversification, minimal governance oversight, and low fees—may find mixing is a more sensible choice.
Pundits Predicting Panic Graphic
Pundits Predicting Panic in Emerging Markets A rational analysis of the emerging markets affirms our belief that now is the time to buy, not sell. The panic being peddled by pundits today is simply not justified.
Yes. It's a Bubble. So What? The relentless rise in the US stock market since its low in 2009 has been dramatic. US stock market valuations now exceed all historical valuation levels, except for those hit at the peak of the dot-com craze. This raises an obvious question for investors: Today, in early 2018, and has been the case over the last year, is the US stock market in another bubble? Yes. The more important question then becomes: How should investors react?
Unlocking the Performance Potential in ESG Investing By combining a tilt toward companies that display financial discipline and that embrace corporate diversity with the return engine of a fundamentally weighted portfolio, we believe investors in environmental, social, and governance (ESG)–related strategies have the opportunity to earn superior long-term risk-adjusted returns.
CAPE Fear: Why CAPE Naysayers Are Wrong Beware the consequences of assuming that elevated CAPE ratios are here to stay, but if they are the “new normal,” low future returns are likely to be the “new normal” as well.
Rob Arnott on Bloomberg TV (January 11, 2018)