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RA Conversations

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Insights from Senior Leadership

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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.

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

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

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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.

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

Web Web

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 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 Hobbled By Benchmarks
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.

RA Working Papers on SSRN

Bernstein Fabozzi/Jacobs Levy Award Winner

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

 

Graham and Dodd Award Winner

What Is Quality?

May 10, 2019

 

Factor Momentum

February 5, 2019

In the News

CNBC Video: Magnitude of the Decline in Markets Surprising - Rob Arnott

March 10, 2020

 

Barron's: 100 Women Leading the U.S. Finance Industry Confidently Into the Future

March 9, 2020

 

Bloomberg: The Death of Value Has Been (Slightly) Exaggerated

February 7, 2020

 

401(k) Fridays Podcast: 2020's Perspective: The Death of... Investment Diversification?

January 31, 2020

 

ETF Stream: Looking Under the ESG Ratings Hood

January 21, 2020

 

Apple and Microsoft Are Dazzling Investors. That Won't Last.

January 10, 2020

 

Barron's: Pimco Adds an ETF to Its ESG-Focused Offerings

December 19, 2019

 

Meb Faber Podcast: Here We Are With Emerging Markets Again Trading At A Shiller PE Multiple Less Than Half Of The US Stock Market - Chris Brightman

December 18, 2019

 

Money Life with Chuck Jaffe: Wall Street Giant Rob Arnott

December 17, 2019

 

The Sydney Morning Herald: You Can 'Do Good' without Chasing Lofty ESG Prices

December 8, 2019

 

The Felder Report: Podcast: Rob Arnott on Engineering a Better Index

December 4, 2019

 

Barron's: Smart-Beta Funds Are Wildly Popular. Their Returns Might Not Live Up to the Hype.

December 4, 2019

 

Bloomberg Television: What'd You Miss

November 20, 2019

 

Bloomberg News: The Worse Value Stocks Perform, the More Rob Arnott Likes Them

November 20, 2019

 

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

August 21, 2019

 

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

July 29, 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

 

Bloomberg News Podcast: Rob Arnott - Maverick Risk

June 07, 2019

 

Investment & Pensions Europe: Strategically Speaking: Research Affiliates

May 01, 2019