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The Incredible Shrinking Factor Return
by Rob Arnott, Vitali Kalesnik, Lillian Wu of Research Affiliates, 4/13/17

In 2016, Research Affiliates published a series of articles challenging the “smart beta” revolution. We pointed out that, while there is merit in many factor tilt and smart beta strategies, performance chasing in these strategies—buying the popular outperforming strategies whose relative valuations are at extremely high levels—can be just as dangerous as performance chasing in other realms of asset management.

Quest for the Holy Grail: The Fair Value of the Equity Market
by Michele Mazzoleni Omid Shakernia Michael Aked of Research Affiliates, 3/24/17

Macroeconomic volatility is a useful tool for contrarian investors who are seeking fair value in an equity market characterized by continually rising valuations.

Forecasting Factor and Smart Beta Returns (Hint: History Is Worse than Useless)
by Rob Arnott, Noah Beck, Vitali Kalesnik of Research Affiliates, 2/16/17

In a series of articles we published in 2016, we show that relative valuations predict subsequent returns for both factors and smart beta strategies in exactly the same way price matters in stock selection and asset allocation.

A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing
by Chris Brightman, Vitali Kalesnik, Feifei Li of Research Affiliates, 1/31/17
  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.

How Not to Get Fired with Smart Beta Investing
by John West, Vitali Kalesnik, Mark Clements of Research Affiliates, 1/20/17

It may not be my money, but it is my job. — Charles Ellis in Investment Policy: How to Win the Loser's Game

Systematic Global Macro
by Chris Brightman, Shane Shepherd of Research Affiliates, 12/21/16

A quarter-century before Brexit came “Black Wednesday.” On Wednesday evening, September 16, 1992, the British government announced its exit from the European Exchange Rate Mechanism, prompting a dramatic devaluation of the British pound. Renowned hedge fund manager George Soros’ legendary bet against the pound in 1992 and his $1 billion profit on Black Wednesday defines for many the swashbuckling style of a global macro trader.

The Emerging Markets Hat Trick: Time to Throw Your Hat In?
by Rob Arnott, Brandon Kunz of Research Affiliates, 12/15/16

In their latest piece, Rob Arnott and Brandon Kunz of Research Affiliates take a look at how the rare combination of exceptional valuation levels, depressed currencies, and powerful price and economic momentum should encourage long-term investors to “throw their hats” into the emerging markets rink.

Record Low Costs to Trade!
by Michael Aked Jim Masturzo of Research Affiliates, 11/5/16

Mean reversion is as applicable to trading costs as it is to valuation. Today’s costs to trade are at 56-year historical lows; they are due to rise soon. Now is the time to position your portfolio ahead of expected higher costs to trade and lower equity prices.

Take the 5% Challenge! (or The “Lloyd Christmas” Lesson)
by John West Jim Masturzo of Research Affiliates, 10/26/16

Now’s the time to get real. Now’s the time, in a world of paltry bond yields and meager dividends, to make an honest assessment of your portfolio’s long-term expected return.

Next Season's Meager Harvest in Commercial Real Estate
by Michael Aked, Jim Masturzo of Research Affiliates, 8/28/16
The dog days of summer are here. The garden is ripe with the tomatoes, cucumbers, and peppers we have dutifully tended. The summer season is truly a time of gastronomical delight, tempting us to try to extend the period of harvest. Should we leave the fruits longer on the vine? Should we plant more seeds? No.

A Barrel of Texas Tea: Half-Full or Half-Empty?
by Jim Masturzo of Research Affiliates, 7/29/16
Oil prices should remain low, likely in the $30–$40 a barrel range, through summer 2017. Investors seeking greater diversification and yield than offered by traditional asset classes should consider commodities, albeit those not heavily tilted toward oil.

Death of the Risk-Free Rate
by Chris Brightman of Research Affiliates, 7/14/16
Negative real interest rates invalidate the theory of a risk-free rate as the foundation of long-term investment returns and also pose a long-term inflation risk. Investors should diversify into higher-yielding inflation-hedging asset classes to improve the chances of meeting their return targets.

When a Storm Is in the Offing: Fundamental Growth in the U.S. Equity Market
by Michael Aked, Michele Mazzoleni, Omid Shakernia of Research Affiliates, 7/1/16
Forecasting the weather or stock prices is a mostly mundane matter, but the unforeseen can exact a heavy toll. For investors, economic data improve the precision of market forecasts.

The Dirty Little Secret of Passive Investing
by Michael Aked of Research Affiliates, 5/25/16
Passive investments have a dirty little secret: Their gross returns are materially depressed by implicit implementation costs. You don’t see these costs in performance attributions, unbundled management fees, or even standard trading cost analyses.

Where's the Beef? "Lies, Damned Lies, and Statistics"
by Rob Arnott, Lillian Wu of Research Affiliates, 5/5/16
The inflation rate has a direct bearing on our prosperity. Official government measurements show very low inflation, despite underlying inflation being higher than overall inflation. This raises the question—what is inflation measuring?

Echoes of 1999: The Tech Bubble and the "Asian Flu"
by Rob Arnott of Research Affiliates, 4/23/16
Four market conditions now parallel the extremes last experienced in December 1998, setting up 1999 as the first year in a decade of outperformance by inflation-fighting and diversifying assets. Now is the time to rotate into these unloved asset classes.

Negative Rates Are Dangerous to Your Wealth
by Chris Brightman of Research Affiliates, 4/14/16
Recently enacted NIRP in several major developed economies means not only lower current yields but also lower expected returns—and thus lower accumulated wealth—for investors investing in these markets.

U.S. Inflation: The Expectations Game
by Michele Mazzoleni of Research Affiliates, 3/24/16
The Fed’s inflation model relies heavily on consumer and market-based expectations, both notoriously poor predictors. We propose an alternative bottom-up approach that analyzes the components of CPI, and arrive at a forecast very close to the Fed’s target rate.

Greetings from the Cold
by Charles Aram, Jonathan Treussard of Research Affiliates, 3/4/16
The value-oriented investor, still in the throes of a long harsh winter, should be heartened in the knowledge that summer will inevitably arrive on the predictable warm breeze of mean-reverting valuations.

How Can "Smart Beta" Go Horribly Wrong?
by Rob Arnott, Noah Beck, Vitali Kalesnik, John West of Research Affiliates, 2/19/16
If investors don’t wise up soon that rising valuations are responsible for most of the “alpha” produced by smart beta, the inevitable mean reversion to historical valuation norms threatens to unleash a smart beta crash.

The Moneyball of Quality Investing
by Vitali Kalesnik, Engin Kose of Research Affiliates, 2/12/16
Quality, unlike value, is not a separate factor. But value investing conditioned upon well-chosen quality indicators is a powerful investment strategy.

Peak Profits
by Chris Brightman, Jonathan Treussard, Mark Clements of Research Affiliates, 1/28/16
After recovering from the commodity-induced profits recession, aggregate market EPS should advance in the decades ahead much more slowly than the unsustainably rapid rate of the past 25 years.

The Confounding Bias for Investment Complexity
by Jason Hsu, John West of Research Affiliates, 1/21/16
Complexity can dampen investor understanding, leading to poor investment decision making and ultimately derailing long-term financial goals—yet the bias toward investment complexity persists, reinforced by explanations that are behavioral in nature.

Forecasting Returns: Simple Is Not Simplistic
by Jim Masturzo of Research Affiliates, 1/8/16
The value of a forecasting model is that it improves on the alternative models available and classifies the forecaster’s knowledge of asset classes into an economically intuitive framework for building portfolios. A yield-based model is simple, but it checks both boxes.

Intelligent Design Sustainable Income
by Chris Brightman, Vitali Kalesnik, and Engin Kose of Research Affiliates, 12/11/15
The AND principle means building in desirable features without the trade-offs that conventional thinking considers inevitable. Case in point: an equity income index holding liquid, quality stocks with high dividend yields. (1) The AND principle holds that creative product design can surmount some trade-offs that conventional thinking considers unavoidable.Simple investment strategies are easier to govern than complex ones and may be less likely to result in catastrophic outcomes. A simple new design demondemonstrates that income-oriented indices need not trade off yield for capacity & quality.

From Brutish to a Brouhaha: Shifting Winds and the Demographic Payback
by Michael Aked of Research Affiliates, 12/4/15
Continued pension reform inaction combined with a falling worker-to-retiree support ratio is leading to an inevitable economic and social clash between employees, employers, and their governments.

Chasing Performance with ETFs
by Chris Brightman, Feifei Li, Xi Liu of Research Affiliates, 11/25/15
ETF providers respond to investors’ preference for strong recent performance by launching new funds with hot strategies. Our research reveals a striking pattern of post-launch performance.

If Factor Returns Are Predictable, Why Is There an Investor Return Gap?
by Jason Hsu of Research Affiliates, 11/20/15
In the latest piece from Research Affiliates, vice-chairman and co-founder Jason Hsu looks at how substantial evidence supports cyclicality in factor returns, making them predictable. Evidence also exists that indicates investors aren't fully benefiting from this insight due to behavioral biases. But contrarian investors practicing countercyclical timing can benefit.

Reeling In Small-Cap Alpha
by Vitali Kalesnik, Noah Beck of Research Affiliates, 11/9/15
Small size alone does not guarantee excess return, but implementing an outperforming strategy, such as value or momentum, in the universe of small company stocks increases alpha-producing opportunities.

Black Ice: Low-Volatility Investing in Theory and Practice
by Feifei Li, Engin Kose of Research Affiliates, 10/22/15
Equity investors have endured two extreme market downturns since the turn of the century. The broad U.S. market, represented by the S&P 500 Index, fell by 44% in the aftermath of the dot-com bubble and 51% in the great recession. These devastating experiences reawakened institutional and individual investors to the downside of market volatility and, for a while, prompted great interest in low-volatility investing.

How NOT to Wipe Out with Momentum
by Chris Brightman, Vitali Kalesnik, Engin Kose of Research Affiliates, 10/16/15
Momentum investors are like the surfers we watch from beaches along the Pacific coast. Both must catch a wave. Both attempt to ride it as it breaks. But the ability to glide away smoothly before being caught inside the inevitable crash(ing wave) that follows is what determines success.

Investing versus Flipping
by Chris Brightman of Research Affiliates, 10/9/15
Newport Beach may be known as home to PIMCO (and, of course, Research Affiliates). Locally, however, the business of Newport Beach is real estate finance. Many of my local friends have made a bundle in recent years flipping houses in Orange County (the OC). I have also purchased some houses over recent years, but as an investment rather than as a flip. In this article, I explain the difference between investing and speculating by sharing my personal experience investing in residential real estate.

Are Buybacks an Oasis or a Mirage?
by Chris Brightman, Vitali Kalesnik, Mark Clements of Research Affiliates, 10/2/15
Over the last few years, buybacks have swept through the U.S. equity market like a Saharan sirocco. But have stockholders benefited? A tally of the new issuance during the period answers the question.

How NOT to Wipe Out with Momentum
by Chris Brightman, Vitali Kalesnik, Engin Kose of Research Affiliates, 9/25/15
Enabled by modern technology, investors can now enhance a pure value strategy by using momentum to improve timing, measuring quality to avoid value traps, and diversifying active bets into less efficiently priced small stocks.

The China Syndrome: Lessons from the A-Shares Bubble
by Jason Hsu of Research Affiliates, 9/18/15
The rapid rise and sharp decline of the A-shares market represents a massive redistribution of wealth, especially painful to uninformed investors who bought hot stocks near the peak. What should the Chinese government do now?

Are You a "Ben Graham Defensive Investor"?
by Charles Aram of Research Affiliates, 8/28/15
Benjamin Graham’s well-reasoned, rules-based approach to security analysis remains, after more than 80 years, a cornerstone for building a strong, long-term investment program to meet investors’ financial goals.

Is a Stronger U.S. Dollar Really Bad News? Three Myths about Emerging Markets
by Michele Mazzoleni of Research Affiliates, 8/21/15
A strengthening U.S. dollar threatens emerging market economies—owes its plausibility to three myths. Let’s examine them.

The Danger in "Debalancing"
by John West, Brandon Kunz, Amie Ko of Research Affiliates, 7/31/15
Eat a balanced diet. Drilled into our brains since preschool, this advice falls squarely in the “duh, everybody knows that” camp. But it’s not just kids who need reminding. Parents and grandparents, as role models and dietary enforcers, do too. Common sense alone tells us this universally applicable dictum is the right way to eat. Different foods have different nutritional and caloric values. If we eat a wide variety of food groups, or as a five-year-old child is taught, “Eat a rainbow,” good nutrition is likely to take care of itself.

Are Stocks Overvalued? A Survey of Equity Valuation Models
by Chris Brightman of Research Affiliates, 7/22/15
In the latest piece from Research Affiliates, Chris Brightman, Chief Investment Officer, revisits the most commonly used equity valuation tools, comparing their respective strengths and weaknesses—and no metric is without its shortcomings. He explains Research Affiliates' approach to valuation, combining both absolute value and relative value. No matter the measurement, U.S. equity prices are high and long-term expected returns are low.

The Whole Story: Factors + Asset Classes
by Jason Hsu of Research Affiliates, 7/1/15
Every year we invite some of the investment industry’s most creative thinkers to speak about their work at the Research Affiliates’ Advisory Panel conference. Along with Nobel laureates Vernon Smith and Harry Markowitz, the speakers at our 14th annual meeting included Campbell Harvey, Richard Roll, Andrew Karolyi, Bradford Cornell, Andrew Ang, Charles Gave, Tim Jenkinson, and our very own Rob Arnott. The richness of the speakers’ presentations beggars any attempt to summarize them; I’ll limit myself to the points I found most intriguing and illuminating.

Greek Drama: Act 2
by Chris Brightman, Shane Shepherd of Research Affiliates, 6/22/15
The old saying, “You can’t squeeze blood from a stone,” vividly describes the futility of trying to extract more resources from something than it has to give. The expectations the Greeks have for renegotiating their debts requires them to do exactly this, squeeze blood from a stone. Only by increasing tax collections can Greece reverse the painful reduction in government spending, services, and employment known as austerity.

The Market for “Lemons": A Lesson for Dividend Investors
by Chris Brightman, Vitali Kalesnik, Engin Kose of Research Affiliates, 6/16/15
Central banks the world over are buying high-quality bonds, thereby removing them from the market and forcing savers to find alternative strategies to meet their income needs. In this environment of financial repression and near-zero interest rates, dividend-yield (or equity income) investing has become increasingly popular. Investors are understandably reallocating their portfolios from lower yielding bonds to higher yielding equities. But in selecting equities with a high dividend yield, investors should be aware of the risk of concentrating their portfolios in low-quality companies.

The Market for 'Lemons': A Lesson for Dividend Investors
by Chris Brightman, Vitali Kalesnik, Engin Kose of Research Affiliates, 6/11/15
Central banks the world over are buying high-quality bonds, thereby removing them from the market and forcing savers to find alternative strategies to meet their income needs. In this environment of financial repression and near-zero interest rates, dividend-yield (or equity income) investing has become increasingly popular. Investors are understandably reallocating their portfolios from lower yielding bonds to higher yielding equities. But in selecting equities with a high dividend yield, investors should be aware of the risk of concentrating their portfolios in low-quality companies.

Slow Growth: A Tale of Two Theories
by Shane Shepherd of Research Affiliates, 5/21/15
Global demand is dragging. Savings far exceeds investment. The combination is a surefire recipe for long-term low to negative growth in the developed markets—and core U.S. asset returns of 1% or lower over the next decade.

Gimme Shelter: The U.S. Dollar Trade and Its Risks
by Michele Mazzoleni of Research Affiliates, 4/22/15
By selling foreign currencies to take advantage of the dollar’s appreciation, U.S. investors are increasing their exposure to the risk of an economic slowdown at home.

Not-So-Great Expectations: Why Real Interest Rates Won’t Soar
by Shane Shepherd of Research Affiliates, 4/14/15
In a recent piece from Research Affiliates, Shane Shepherd, Senior Vice President, Head of Macro Research, looks at the consensus on interest rates: they are set to fly. But if, as Research Affiliates expects, savings accelerate and real GDP grows slowly, then interest rates won’t rise very much anytime soon.

Woe Betide the Value Investor
by Jason Hsu, Vivek Viswanathan of Research Affiliates, 3/27/15
The excess return earned by the average investor in value mutual funds was meaningfully negative over a 23-year period when the funds themselves outperformed the market. Why don’t all value investors benefit from the value premium?

Greek Drama
by Chris Brightman of Research Affiliates, 2/4/15
Alexis Tsipras, the new prime minister of Greece, was elected because he and the Greeks who voted for him oppose the austerity imposed by Greece’s creditors. Apparently, markets were shocked by this turn of events: Greek bond yields spiked and bank stock prices plunged as euros began flowing out of the country. But should this scene have been a surprise?

What's Up? Quantitative Easing and Inflation
by Chris Brightman of Research Affiliates, 2/4/15
The Fed has ceased its program of quantitative easing (QE) and may soon begin to raise interest rates. Japan has embarked on an even more aggressive program of QE. The European Central Bank (ECB) has just begun QE. In a related development, the Swiss National Bank (SNB) recently stopped pegging the Swiss franc to the euro. Many investors are asking, “What does all this monetary turmoil mean?”

There's Diversity in Value
by Brent Leadbetter and John West of Research Affiliates, 2/4/15
A portfolio comprising long positions in individual fundamentally weighted country indices and short positions in cap-weighted country indices might prove to be the Boris Diaw of a diversified portfolio. Investors would be unlikely to meet their return targets by concentrating all their assets in such a strategy. However, given its high Sharpe ratio and low correlation with widely used asset classes, it seems a suitable addition to a robust asset mix.
Results 151–200 of 284 found.