Presentations (2872)
INTRODUCTION Smart beta strategies are increasingly recognized as a key element in investors’ portfolios. Nearly $360 billion is already invested in U.S. exchange-traded products tracking what Morningstar calls “strategic beta” indices,1 and industry observers expect to see continuing growth in assets under management. In this environment, many investors want to...
FUNDAMENTALS February 2015 Woe Betide the Value Investor Jason Hsu, Ph.D., and Vivek Viswanathan Jason Hsu, Ph.D. “ Value is the undisputed champion of investment anomalies. “ KEY POINTS 1. Over the period from 1991 to 2013, the average return that investors in value mutual funds actually earned was 131 bps per annum lower than the funds’ reported...
FUNDAMENTALS January 2015 There’s Diversity in Value Brent Leadbetter, CFA, and John West, CFA John West, CFA “ Market inefficiencies have existed as long as there have been markets. “ KEY POINTS 1. The excess returns captured by a value style index and a fundamentally weighted strategy have low cross correlations across 11 of the world’s largest...
SIMPLYSTATED April 2015 Calling the Turns: Why Market Timing Is So Hard by Philip Lawton, Ph.D., CFA The stock market is cyclical, and any investor who market may have mispriced it. Similarly, by comparing could call the turns—buying when prices are lowest the market’s current cap-weighted price/earnings to and selling when they are highest—would make a the...
VIEWPOINT Blame, Accountability, and Performance WHEN A FIRM’S CULTURE PLAYS THE BLAME GAME, PERFORMANCE LOSES By Jim Ware, CFA, and Jason Hsu result is a paper called “Does a Culture of Blame Predict Poor Performance for Asset Managers?” The paper (available at papers.ssrn.com) describes our profollows: Blame is toxic to an investment correlated with four success...
FUNDAMENTALS January 2015 Yesterday’s Gone: Year-End Capital Markets Commentary and Expectations Chris Brightman, CFA, and James Masturzo, CFA Chris Brightman, CFA “ It is tempting to extrapolate past returns. “ KEY POINTS 1. 2. 3. 4. U.S. stocks and bonds have produced high returns over the very long term and, despite the slow economic recovery,...
SIMPLYSTATED January 2015 GDP Growth: Cutting Through the Noise by James Masturzo, CFA, and Michele Mazzoleni, Ph.D. Sports fans know that a team’s performance depends on more than luck. From game to game every team experiences ups and downs, accompanied by intense speculation about trades and strong opinions about the coaches’ resourcefulness or the players’...
FUNDAMENTALS May 2015 The Danger in “Debalancing” John West, CFA, Brandon Kunz, and Amie Ko, CFA John West, CFA “ Debalancing can be conscious or unconscious. “ KEY POINTS 1. Debalancing—buying winners and selling losers—can unintentionally shift risk profiles away from portfolio targets. 2. Unconscious debalancing, such...
THE JOURNAL OF SUMMER 2015 VOLUME 6 NUMBER 1 | www.IIJII.com The Voices of Influence | iijournals.com ETFs, ETPs & Indexing A Framework for Assessing Factors and Implementing Smart Beta Strategies JASON HSU, VITALI KALESNIK, AND VIVEK VISWANATHAN JASON HSU is the co-founder and vice chairman of Research Affiliates in Newport Beach, CA. hsu@rallc.com VITALI K ALESNIK is the...
FUNDAMENTALS ™ June 2015 The Whole Story: Factors + Asset Classes Every year we invite some of the investment industry’s most creative thinkers to speak “ KEY POINTS 1. 2. 3. 4. Collectively, academics and practitioners run so many backtests that a t-statistic of 2 is no longer sufficient to validate a factor strategy. Factors with positive premiums that...
FUNDAMENTALS ™ October 2015 Investing versus Flipping “ Chris Brightman, CFA As a long-term investor, we experience “ short-term price volatility as opportunity, and high prices as risk. KEY POINTS 1. High stock prices, just like high house prices, are harbingers of low returns. 2. Investing in price-depressed residential rental property in Atlanta is...
FUNDAMENTALS ™ November 2015 Reeling In Small-Cap Alpha Vitali Kalesnik, Ph.D., and Noah Beck Vitali Kalesnik, Ph.D. “ Small size alone does not guarantee outperformance. “ KEY POINTS 1. 2. 3. Stocks of small companies have higher incidences of price volatility and mispricing, increasing opportunities for investors to earn excess...
FUNDAMENTALS ™ November 2015 Chasing Performance with ETFs Chris Brightman, CFA, Feifei Li, Ph.D., FRM, and Xi Liu, CFA Chris Brightman, CFA “ What’s hot may change abruptly, but “ investors’ penchant for what’s hot is steady. KEY POINTS 1. It is well established that many investors tend to purchase...
The Impact of Constraints on Minimum Variance Portfolios Tzee-Man Chow Vice President, Product Research chow@rallc.com Engin Kose, Ph.D. Vice President, Equity Research kose@rallc.com Feifei Li, Ph.D., FRM Partner and Head of Investment Management li@rallc.com Research Affiliates, LLC 620 Newport Center Drive, Suite 900 Newport Beach, CA 92660 Abstract: Minimum variance strategies are a proven...
FUNDAMENTALS ™ January 2016 Forecasting Returns: Simple Is Not Simplistic “It is far better to foresee even without certainty than not to foresee at all.” —Henri Poincaré 1 Jim Masturzo, CFA “ The issue is not just how ‘good’ a model is, but also how it “ compares to available alternatives. KEY...
