Introducing Research Affiliates Smart Beta Interactive Go beyond historical returns by using relative valuations, expected returns, and implementation characteristics in evaluating factors and smart beta strategies.
PUBLICATION
Forecasting Factor and Smart Beta Returns Understanding the role relative valuations play in factor investing and smart beta strategies is important. Putting that knowledge into practice in the real world of asset management is critical. We show how valuations can be applied in forecasting factor and smart beta returns.


MULTI-FACTOR
RAFI Multi-Factor RAFI Multi-Factor is a smart beta equity strategy that offers diversified factor exposures through allocations to value, low volatility, quality, momentum, and size.


A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing You can outperform the market with substantially lower relative risk by diversifying across simple smart beta strategies based on a half dozen robust factors. Dynamically rebalancing these factor-based smart betas significantly improves returns.
Take the 5% Challenge! (or The “Lloyd Christmas” Lesson) Most retirement calculators and pension plans target a return after inflation of 5%. Mainstream asset classes producing rock-bottom yields will be hard pressed to deliver. It’s time to get real. Take the 5% Challenge. Use our portfolio builder—and our expected returns—to calculate the probability of your portfolio earning a 5% real return.
SMART BETA
How Not to Get Fired with Smart Beta Investing Lengthening the evaluation horizon, combining robust strategies, codifying investment beliefs, and improving communication can strengthen—and prolong—the principal–agent relationship.
Charting the Journey in Smart Beta Historical factor returns—net of changes in valuation levels—are much lower than recent performance suggests. In fact, many of the most popular new factors (some 458 at last count) have succeeded solely because they have become more expensive. This trend matters to investors because rising valuation levels inflate past performance, reduce potential future performance, and amplify the risk of mean reversion to historical valuations.
Rethinking Conventional Wisdom: Why NOT a Value Bias? Not all long-term sources of excess return are treated equally in portfolios, frustrating investors’ ability to meet their financial goals. Asset owners and their agents need to act now to address the primary sources of this disconnect: cognitive bias and principal–agent conflict.


ASSET ALLOCATION
Record Low Costs to Trade! Historical factor returns—net of changes in valuation levels—are much lower than recent performance suggests. In fact, many of the most popular new factors (some 458 at last count) have succeeded solely because they have become more expensive. This trend matters to investors because rising valuation levels inflate past performance, reduce potential future performance, and amplify the risk of mean reversion to historical valuations.
Next Season’s Meager Harvest in Commercial Real Estate US commercial property investors reaped high real returns over the last five years, but the climate is changing. Property prices are high, yields are low, and future expected returns portend a scantier harvest over the coming decade.
ACTIVE STRATEGIES
Systematic Global Macro The alternative factor premia of carry, momentum, and value may be combined to produce an attractive and diversifying source of investment return relative to the low yields and low returns of mainstream stocks and bonds.

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Fundamentals of the Fundamental Index The Fundamental Index™ strategy—now boasting a 10-year track record of actual results—has transformed equity investing in the United States and around the world. See and hear how it works and why it might be a sensible choice for your portfolio.

ASSET ALLOCATION


OUR STRATEGIES
RAFI Strategies
RAFI Strategies RAFI strategies aim to generate excess returns versus the market benchmark through a systematic, contrarian rebalancing approach.
All Asset
All Asset All Asset strategies are global tactical asset allocation (GTAA) solutions that aim to deliver attractive real returns, equity diversification, and inflation protection via tactical long-only exposures.
RAE Strategies
RAE™ RAE systematic active equity strategies seek to generate superior risk-adjusted returns.
Global Macro
Global Macro The Global Macro strategy aims to deliver uncorrelated absolute returns through leveraged long–short exposures to liquid derivatives contracts.


Visual Insights

Not all “popular” factor strategies are a robust source of return.

RA-Visual_Insights-001-Robust_Factor_Strategies_Returns


Speaking Engagements
April 27: Morningstar Investment Conference, Chicago Speakers: John West and Mike Aked
May 10: Barclays Quant Conference, Boston Speaker: Feifei Li
May 23: UBS Quant Conference, New York Speaker: Rob Arnott
June 8: Inside ETFs Smart Beta Conference, New York Speaker: Rob Arnott
June 26: IMN Global Indexing & ETFs Conference, Dana Point, CA Speaker: Rob Arnott