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Webinar

RAFI in a Growth-Dominated Global Market

In a 45-minute webinar, Rob Arnott and Ari Polychronopoulos discuss the performance of RAFI and value in the context of the longest bull market for growth stocks in history.

Article

Bubble, Bubble, Toil and Trouble

Looking back over the last 15 months, the authors assess their success at identifying asset bubbles and anti-bubbles in April 2018. The scorecard is in their favor. More importantly, however, they review how their definitions of a bubble and an anti-bubble continue to provide useful insights for where investors can find value in today’s global markets.

Publications

Dismiss MMT at Your Peril

Modern Monetary Theory (MMT) informs today’s progressive policy agenda, even though many prominent economists consider it flawed, nonsense, or just plain wrong. Chris Brightman expects mainstream stocks and bonds to fare poorly in the high and volatile inflation and interest rate environment that would likely accompany adoption of MMT.

RA Conversations

RA Conversations

The Inverted Yield Curve and Stock Returns

Cam Harvey explains the link between the yield curve inversion and future stock returns as well as why value offers investors a potential hedge against downside risk after a yield curve inversion. 

Research Affiliates

RA Conversations

Narrative Economics — Part 1

Nobel Laureate Robert Shiller, interviewed by Rob Arnott, expounds on the importance of narratives in driving economic events.

See more RA Conversations

Understanding Factor Investing Webinar Series

Webinar Replay

What Matters in Multi-Factor Investing?

In this webinar, we propose a framework that emphasizes the following elements:

  1. Exposure to robust factors
  2. Implementation costs
  3. Management costs
  4. Transparency
Latest From Senior Leadership

Rob Arnott on Bloomberg

Rob Arnott explains why Research Affiliates expects US equities to return only 1% above inflation over the next decade—but emerging markets offer more promising long-term returns.
February 5, 2019

winning formula graphic
The Winning Formula: Mission + Culture + Team

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.

Chris Brightman on CNBC

Hear Chris Brightman, Research Affiliates’ CIO, discuss his 10-year outlook for real equity returns. While he foresees the price of the S&P higher than where it is today, he expects US equity returns to be in the low single digits.
January 9, 2019

Alice’s Adventures in Factorland

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.



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Alternative Risk Premia:
Crisis or Opportunity?

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.

 

Further Reading 
Alternative Risk Premia: Valuable Benefits for Traditional Portfolios

Backtesting Machine Learning keyart (email)
Backtesting Protocol in the Era of Machine Learning

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.

Feifei Li at the Morningstar Investment Conference

Feifei Li discusses RAFI Multi-Factor, a strategy that offers diversified exposures to robust equity factors.
June 12, 2018

Vitali Kalesnik on
Bloomberg TV

Vitali Kalesnik discusses factor investing and how the ETF landscape has changed the way we talk about markets, value, and growth.
October 18, 2018

Recently Published Journal Papers

Winner of the 2018 Bernstein Fabozzi/Jacobs Levy Award for Best Article

King of the Mountain-The Shiller P/E and Macroeconomic Conditions

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.

Is Your Alpha Graphic
Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective

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

Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs

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.

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Smart Beta Multifactor Construction Methodology: Mixing versus Integrating

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.

Hobbled by Benchmarks

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.

Interactive Tools

ASSET ALLOCATION

Navigate long-term forecasts for over 130 assets and model portfolios.

 

SMART BETA INTERACTIVE

Explore expected returns and valuations for smart beta and factor strategies.

Research Affiliates, LLC - Rafi Indicies
RA Working Papers on SSRN

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

April 11, 2019

 

A Backtesting Protocol in the Era of Machine Learning

November 24, 2018

 

What Is Quality?

May 10, 2019

 

Factor Momentum

February 5, 2019

In the News

Barron's: Rob Arnott - Cryptocurrencies Look Like a Bubble, and How Investors Can Brace for Lower Returns

August 26, 2019

 

Morningstar: Rob Arnott - Podcast on Morningstar's "The Long View"

August 21, 2019

 

Sydney Morning Herald: Rob Arnott and Mike Aked - Key actions for investors to help cushion any equity market shocks

July 31, 2019

 

Meb Faber Research: Rob Arnott - The Best Investment Writing Volume 3: Yes. It’s a Bubble. So What?

July 29, 2019

 

Bloomberg TV: Rob Arnott - Bubbles Are Forming

July 17, 2019

 

CFA Institute Enterprising Investor: Defining an Ideal Culture: A Values-Based Framework

July 15, 2019

 

Financial Times: Katrina Sherrerd - Welcome the Godmother of Smart Beta and Diversity

June 30, 2019

 

30 Index Interviews: Rob Arnott of Research Affiliates

June 26, 2019

 

Bloomberg Radio Podcast: Chris Brightman - Masters in Business

June 19, 2019

 

Investment Week: Money Losing Investments — Guaranteed!

June 19, 2019

 

Business Insider: Even the world's top firms pay Rob Arnott for advice. Here's why he thinks an area of the market once left for dead is set for a roaring comeback.

June 13, 2019

 

Bloomberg News Podcast: Rob Arnott - Maverick Risk

June 07, 2019

 

Bloomberg TV: Rob Arnott on "What'd You Miss?"

June 07, 2019

 

Investment & Pensions Europe: Strategically Speaking: Research Affiliates

May 01, 2019

 

Barron's: Fake Stock 'Factors' Can Cost Investors Lots of Money

April 19, 2019

 

CFA Institute Enterprising Investor: How Culture Improves Outcomes: Cognitive Diversity

April 16, 2019

 

Citywire Professional Buyer: Rob Arnott: This pioneer of quant investing is concerned that the community he helped foster is losing its way

February 25, 2019