DATA UPDATED AS OF 3/31/20
The Covid Crash has disrupted equity markets the world over. Our updated Smart Beta Interactive tool shows the impact of these dislocations.
Value investing has underperformed growth investing for the last 13.3 years. The drawdown is the longest and deepest since 1963 and is explained by value becoming unusually cheap relative to growth. As of March 31, 2020, the relative valuation of the HML value factor fell to the 100th percentile of the historical distribution. With this article, the authors update an earlier January 2020 version with data through 1Q 2020.
The Fed’s $5 trillion bazooka, helicopter drops of cash, and a tripling of deficits over the next two years imply a future bout of high and volatile inflation unless fiscal policy nimbly pivots to help prevent the toxic side effect of a spike in inflation. Is that expectation realistic?
Uncertainty and heightened volatility continue to dominate global markets. In this one-hour webinar, Rob Arnott, James Masturzo, and Brandon Kunz share Research Affiliates’ updated forecasts for capital markets in light of the COVID-19 pandemic and provide actionable insights for investors.
The macroeconomy, credit conditions, capital markets, and politics are all flashing warning signs that the capital markets may be near an inflection point. COVID-19 may be the tipping point that triggers the what’s-this-worth question many investors ask all at once. Under market pressure, what is your portfolio really worth?
CEO transitions are a great time to focus on refining the enduring formula of a firm’s success. Katrina Sherrerd's formula has three equally important elements: mission, culture, and team. The result are win-win-win outcomes—that is, a win for our end investors, a win for our distribution partners, and a win for ourselves.
Over the last 15 years, factor returns have not delivered on investors’ expectations. Are factors broken or far riskier than investors believe? Investors could dismiss the approach based on recent poor performance, but perhaps a better path would be to gain an understanding of three risks associated with factor investing. Doing so can help investors form more realistic return expectations.
We believe a solid understanding of the specific underlying return drivers of ARP strategies can improve investors’ odds of maximizing the long-run investment opportunity of ARP investing.
Machine learning provides the investment industry with a new set of tools. However, investors need to be cautious. Machine learning is being hyped and sometimes misapplied.
Vitali Kalesnik discusses factor investing and how the ETF landscape has changed the way we talk about markets, value, and growth.
October 18, 2018
Winner of the 2018 Bernstein Fabozzi/Jacobs Levy Award for Best Article
Valuation, always an effective tool for long-term investors, can also be useful for assessing short-term market prospects. The authors demonstrate that conditioning CAPE on current inflation and real yields substantially improves its accuracy in forecasting returns for periods from one month to one year.
Published in the Journal of Portfolio Management by Rob Arnott, Tzee Chow, and Denis Chaves.
Recognizing that the management of taxable portfolios has advanced in the past 25 years, the authors of the present paper update a seminal 1993 study in which Robert H. Jeffrey and Robert D. Arnott introduced the concept of a normally negative “tax alpha” and formulated tactics to reduce its detrimental impact on investment results.
Winner of the 2016 Graham & Dodd Scroll Award Of Excellence Paper
Not every factor profits investors when implemented through a passive strategy. Size and quality show weak robustness, and liquidity-demanding factors, such as illiquidity and momentum, are associated with high trading costs.
Published in the Financial Analysts Journal by Jason Hsu, Vitali Kalesnik, Noah Beck, and Helge Kostka.
All of the well-established factors to which investors gain exposure in low-cost smart beta funds are expected to deliver a premium in the long run, but none is guaranteed to outperform at all times. Seeking diversification, many investors have turned to strategies that exploit multiple factors. Published in the Journal of Index Investing.
Many investment organizations benchmark their funds’ performance against the classic 60/40 mix of domestic stocks and bonds, but this posture limits their ability to earn superior risk-adjusted returns. The authors argue that investors can fully realize the well-established benefits of asset-class diversification only if they are seriously willing to revisit their policy portfolios, investment guidelines, and benchmarks.
Bernstein Fabozzi/Jacobs Levy Award Winner
April 11, 2019
November 24, 2018
Graham and Dodd Award Winner
May 10, 2019
February 5, 2019
April 23, 2020
April 16, 2020
April 15, 2020
April 8, 2020
April 8, 2020
April 1, 2020
March 30, 2020
March 25, 2020
March 20, 2020
March 10, 2020
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December 17, 2019
December 4, 2019
November 20, 2019
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July 15, 2019
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June 07, 2019