Research Affiliates encourages a culture of research and publication.  Members of our firm have published articles on a wide range of issues relevant to institutional portfolios and have generated a welcome dialogue in the public arena. Topics range from our newest research and investment strategies to our unique perspective on market analysis and the economy.

The following is a sampling of publications pertaining to our work written by both our members and others outside the firm.

Topics:

• Fundamental Index® Methodology
• Asset Allocation
• Asset Class Studies
  • CDOs
  • Currency
  • Equity
  • Fixed Income
  • Real Estate
  • TIPS
• Risk Management, Evaluation, & Attribution
• Market Ineffeciencies & Behavorial Finance
• Other
• Research Affiliates Advisors & Affiliates
  

Fundamental Index® Methodology

• Fundamental Indexation
  Robert D. Arnott, Jason Hsu, and Philip Moore. (Mar/Apr 2005). Financial Analysts Journal.
• Disentangling Size and Value
  Robert D. Arnott. (Sep/Oct 2005). Financial Analysts Journal.
• Global Fundamental Indices: Do They Outperform Market-Cap Weighted Indices on a Global Basis?
  H. Tamura and Y. Shimizu. (Oct 28, 2005). Nomura Global Quantitative Research.
• New Frontiers In Index Investing: An Examination of Fundamental Indexation
  Jason C. Hsu and Carmen Campollo. (Jan/Feb 2006). Journal of Indexes.
• Fundamental Indexes: Current and Future Applications
  Robert D. Arnott and John M. West. (Fall 2006). A Guide to Exchange Traded Funds and Indexing Innovations—Fifth Anniversary Issue.
• Cap-Weighted Portfolios are Sub-Optimal Portfolios
  Jason C. Hsu. (Third Quarter 2006). Journal of Investment Management.
• An Overwrought Orthodoxy
  Robert D. Arnott. (Dec 2006). Institutional Investor.
• Accounting-Based Index ETFs and Inefficient Markets
  Jason C. Hsu, Feifei Li, Brett W. Myers, and Julia Zhu. (Fall 2007). Exchange-Traded Funds.
• Noise, CAPM and the Size and Value Effects
  Robert D. Arnott and Jason C. Hsu. (First Quarter 2008). Journal of Investment Management.
• Using Fundamental Index® Strategies to Increase Return, Reduce Risk, and Improve Portfolio Efficiency
  Robert D. Arnott, Bryce Little, and Shane D. Shepherd. (Sep 2008). Research Affiliates Working Paper.
• The Fundamental Debate
  Paul Kaplan vs. Robert Arnott with Larry Siegel moderating. (Jan/Feb 2009). Journal of Indexes.
• Beyond Cap Weight: The Empirical Evidence for a Diversified Beta
  Rob Arnott, Vitali Kalesnik, Paul Moghtader, and Craig Scholl. (Jan/Feb 2010). Journal of Indexes.

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Asset Allocation

• Systematic Asset Allocation
  Robert D. Arnott and James N. von Germeten. (Nov/Dec 1983). Financial Analysts Journal.
• The Pension Sponsor's View of Asset Allocation
  Robert D. Arnott. (Sep/Oct 1985). Financial Analysts Journal.
• Monitoring and Rebalancing the Portfolio
  Robert M. Lovell, Jr., and Robert D. Arnott. (1989). Investment Management Reflections.
• A Disciplined Approach to Global Asset Allocation
  Robert D. Arnott and Roy D. Henriksson. (Mar/Apr 1989). Financial Analysts Journal.
• Demographics and Capital Market Returns
  Robert D. Arnott and Anne Casscells. (Mar/Apr 2003). Financial Analysts Journal.
• The Policy Portfolio Problem
  Robert D. Arnott. (Jul/Aug 2004). Financial Analysts Journal.
• The Rationale for Global Tactical Asset Allocation
  John West and Robert D. Arnott. (Nov/Dec 2009). Investments & Wealth Monitor.
• Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios
  Denis Chaves, Jason Hsu, Feifei Li, and Omid Shakernia. (Spring 2011). Journal of Investing
• Demographic Changes, Financial Markets, and the Economy
  Robert D. Arnott and Denis B. Chaves. (Jan/Feb 2012). Financial Analysts Journal.
  

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Asset Class Studies

CDOs

• Valuing Toxic Assets: An Analysis of CDO Equity
  Francis A. Longstaff and Brett Myers (Mar 2009). Working Paper.

Currency

• Tactical Currency Allocation
  Robert D. Arnott and Tan K. Pham (Sep/Oct 1993). Financial Analysts Journal.

Equity

• The Business Cycle and Security Selection
  Robert D. Arnott and William A. Copeland. (Mar/Apr 1985). Financial Analysts Journal.
• A Total Differential Approach to Equity Duration
  Martin L. Leibowitz, Eric H. Sorensen, Robert D. Arnott, and H. Nicholas Hanson. (Sep/Oct 1989). Financial Analysts Journal.
• What Risk Premium is “Normal”?
  Robert D. Arnott and Peter L. Bernstein. (Mar/Apr 2002). Financial Analysts Journal.
• Surprise! Higher Dividends = Higher Earnings Growth
  Robert D. Arnott and Clifford S. Asness. (Jan/Feb 2003). Financial Analysts Journal.
• Dividends and the Three Dwarfs
  Robert D. Arnott. (Mar/Apr 2003). Financial Analysts Journal.
• The Meaning of a Slender Risk Premium
  Robert D. Arnott. (Mar/Apr 2004). Financial Analysts Journal.
• A Synthesis on Stock Momentum
  Bing Han and Jason Hsu. (Dec 2004). Working Paper.
• Dollar Cost Averaging
  Michael J. Brennan, Feifei Li, and Walter N. Torous. (2005). Review of Finance.
• Executive Compensation and Investor Clientele
  Feifei Li and Avanidhar Subrahmanyam (Summer 2009). Corporate Ownership & Control.
• Clairvoyant Value and the Value Effect
  Robert D. Arnott, Feifei Li, and Katrina F. Sherrerd. (Spring 2009). Journal of Portfolio Management.
• Clairvoyant Value II: The Growth/Value Cycle
  Robert D. Arnott, Feifei Li, and Katrina F. Sherrerd. (Summer 2009). Journal of Portfolio Management.
• Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation
  Jason Hsu and Feifei Li. (2009). In Stock Market Volatility (ed. Greg N. Gregoriou): Taylor & Francis Group.
• Predicting the Excess Return and the Volatility of the Excess Return of Value Stocks Over Growth Stocks
  Vivek Viswanathan (August 2009). Research Affiliates Working Paper.
• The Development of the ETF Market in China
  Jason Hsu, Feifei Li, Zhigang Ma, Hongyu Song, and Yaping Pang. (2009). Eighth Annual Guide to Exchange Traded Funds and Indexing Innovations.
• Can Noise Create the Size and Value Effects?
  Robert Arnott, Jason Hsu, Jun Liu, and Harry Markowitz. (October 2011). Research Affiliates Working Paper.
• An Examination of Traditional Style Indices
  Jason Hsu, Vitali Kalesnik, and Himanshu Surti. (Fall 2010). Journal of Index Investing.
• Selection Bias
  Robert Arnott and Li-Lan Kuo. (Sep/Oct 2011). Journal of Indexes.
• A Survey of Alternative Equity Index Strategies
  Tzee-man Chow, Jason Hsu, Vitali Kalesnik, and Bryce Little. (Sep/Oct 2011). Financial Analysts Journal. EDHEC letter; RA rebuttal

Fixed Income

• A Structural Model of Default Risk
  Jason Hsu, Jesús Saá-Requejo, and Pedro Santa-Clara. (Winter 2010). Journal of Fixed Income.
• Bonds: Why Bother?
  Robert D. Arnott. (May/June 2009). Journal of Indexes.
• Valuation-Indifferent Weighting for Bonds
  Robert D. Arnott, Jason C. Hsu, Feifei Li, and Shane D. Shepherd. (Spring 2010). Journal of Portfolio Management.
• Debt Be Not Proud
  Rob Arnott. (November/December 2010). Journal of Indexes.
• Fundamental Index® Fixed-Income Performance: It's All in the Price
  Shane D. Shepherd. (Spring 2011). Journal of Index Investing.

Real Estate

• Does Valuation-Indifferent Indexing Work for the Real Estate Market?
  Jason Hsu, Feifei Li, and Vitali Kalesnik. (Fall 2010). Journal of Investing.

TIPS

• The Mystery of Tips
  Robert D. Arnott. (Sep/Oct 2003). Financial Analysts Journal.

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Risk Management, Evaluation, & Attribution

• Cluster Analysis and Stock Price Comovement
  Robert D. Arnott. (Nov/Dec 1980). Financial Analysts Journal.
• Cluster Analysis and Manager Selection
  Jeffery V. Bailey and Robert D. Arnott. (Nov/Dec 1986). Financial Analysts Journal.
• The Cost of Portfolio Insurance: Tradeoffs and Choices
  Robert D. Arnott. (Nov/Dec 1987). Financial Analysts Journal.
• Pension Funds: Resisting the Mounting Pressure for a Shift to Conservatism
  Robert D. Arnott and Robert M. Lovell, Jr.. (Nov/Dec 1988). Financial Analysts Journal.
• Managing Investments for the Long Term
  Robert D. Arnott. (Jul/Aug 2003). Financial Analysts Journal.
• What Risk Matters? A Call for Papers!
  Robert D. Arnott. (Sep/Oct 2003). Financial Analysts Journal.
• Is Our Industry Intellectually Lazy?
  Robert D. Arnott. (Jan/Feb 2004). Financial Analysts Journal.
• Risk-Managing the Uncertainty in VaR Model Parameters
  Jason C. Hsu and Vitali Kalesnik. (2009). In The VAR Implementation Handbook (ed. Greg N. Gregoriou): McGraw-Hill Finance & Investing.
• Performance Attribution: Measuring Dynamic Allocation Skill
  Jason C. Hsu, Vitali Kalesnik, and Brett W. Myers. (Nov/Dec 2010). Financial Analysts Journal.

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Market Inefficiencies & Behavorial Finance

• Prospect Theory and Its Applications in Finance
  Bing Han and Jason Hsu. (Dec 2004). Working Paper.
• What Cost Noise?
  Robert D. Arnott. (Mar/Apr 2005). Financial Analysts Journal.

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Other

• The Measurement and Control of Trading Costs
  Robert D. Arnott and Wayne H. Wagner. (Nov/Dec 1990). Financial Analysts Journal.
• Dividends and Dividend Taxation
  Robert D. Arnott. (Jan/Feb 2003). Financial Analysts Journal.
• Who's Minding the Store?
  Robert D. Arnott. (Nov/Dec 2003). Financial Analysts Journal.
• Ethics and Unintended Consequences
  Robert D. Arnott. (May/Jun 2004). Financial Analysts Journal.
• The Age of Investment Strategy Indices
  Investment Strategy Indices Roundtable. (Jun 2007). Global Pensions.
• Built to Last
  Kathleen M. McBride. (Jan 2008). Investment Advisor.
• Time to Get Back to the Fundamentals
  Jonathan Davis. (Jan 27, 2008). Financial Times.
• Shadow Banks and the Financial Crisis of 2007-2008
  Jason Hsu and Max Moroz. (2009). Research Affiliates Working Paper.

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Research Affiliates Advisors & Affiliates

• Why Market-Valuation-Indifferent Indexing Works
  Jack Treynor. (Sep/Oct 2005). Financial Analysts Journal.
• Investors Do Not Get Paid for Bearing Risk
  Harry Markowitz (Sep 2007)
• Can Stocks Help Mend the Asset and Liability Mismatch?
  Boualem Djehiche and Jonas Rinné. (2010). Scandinavian Actuarial Journal.

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