Jason C. Hsu

Rayliant Global Advisors

CEO & CIO

Hong Kong

Research Affiliates, LLC

Chief Investment Officer

620 Newport Center Dr

Suite 900

Newport Beach, CA 92660

United States

http://www.jasonhsu.org

University of California, Los Angeles - Anderson School of Business

Adjunct Professor

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

View CV
SCHOLARLY PAPERS

42

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17,038

CITATIONS
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Top 4,072

in Total Papers Citations

132

Scholarly Papers (42)

1.
Downloads 4,351 ( 1,360)
Citation 46

Fundamental Indexation

Financial Analysts Journal, Vol. 61, No. 2, March/April 2005, pp. 83-99.
Number of pages: 35 Posted: 15 Oct 2004 Last Revised: 30 Dec 2016
Robert D. Arnott, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Rayliant Global Advisors and Pacific Investment Consultants, LLC
Downloads 4,351 (1,335)
Citation 46

Abstract:

Indexation, Fundamental Indexing, Non-cap based indexing, Mean-Variance Efficiency, Portfolio Construction, Value Premium, Return Predicability

Fundamental Indexation

Financial Analysts Journal, Vol. 61, No. 2, pp. 83-99, March/April 2005
Posted: 05 May 2005
Robert D. Arnott, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Rayliant Global Advisors and Pacific Investment Consultants, LLC

Abstract:

Investment Theory, Portfolio Theory, Portfolio Management, Equity Strategies, Performance Measurement and Evaluation, Performance Measurement, Equity Investments, Fundamental Analysis and Valuation Models

2.

Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

Journal of Investing, Vol. 20, No. 1, pp. 108-118, Spring 2011
Posted: 27 Aug 2011 Last Revised: 28 Dec 2016
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

risk parity, heuristic

3.

Efficient Algorithms for Computing Risk Parity Portfolio Weights

Journal of Investing, vol. 21, no. 3, Fall 2012, pp. 150-163.
Posted: 26 Jul 2012 Last Revised: 30 Dec 2016
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

risk parity, asset allocation, portfolio management

4.
Downloads 1,848 ( 6,043)
Citation 9

A Survey of Alternative Equity Index Strategies

Financial Analysts Journal, Vol. 67, No. 5, September/October 2011
Number of pages: 31 Posted: 24 Oct 2010 Last Revised: 28 Dec 2016
Rayliant Global Advisors, Research Affiliates, LLC, Research Affiliates LLC and Cornell University
Downloads 1,848 (5,909)
Citation 9

Abstract:

alternative, equity

A Survey of Alternative Equity Index Strategies

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates LLC and Cornell University

Abstract:

Portfolio Management, Equity Portfolio Management Strategies, Passive Management, Portfolio Construction and Revision, Implementation Issues, Equity Investments, Equity Markets, Characteristics, Institutions, and Benchmarks, Security Market Indices and Benchmarks

5.
Downloads 1,720 ( 6,879)
Citation 23

Cap-Weighted Portfolios are Sub-Optimal Portfolios

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Number of pages: 22 Posted: 11 Jan 2005 Last Revised: 04 Jan 2017
Jason C. Hsu
Rayliant Global Advisors
Downloads 1,720 (6,733)
Citation 23

Abstract:

Fundamental Indexing, Non-cap based indexing, Portfolio construction, market inefficiency, excess price volatility

Cap-Weighted Portfolios are Sub-Optimal Portfolios

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Posted: 03 Oct 2006 Last Revised: 15 Jun 2010
Jason C. Hsu
Rayliant Global Advisors

Abstract:

Cap-weighting, alternative weighting schemes, index portfolio strategies

6.

The Risk in Risk Parity: A Factor-based Analysis of Asset-based Risk Parity

Journal of Investing, Vol. 21, No. 3, Fall 2012, pp. 102-110
Posted: 25 Oct 2012 Last Revised: 28 Dec 2016
Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

risk parity, asset allocation, risk factor parity

7.

Can Noise Create Size and Value Effects?

AFA 2008 New Orleans Meetings Paper
Number of pages: 32 Posted: 10 Oct 2006 Last Revised: 26 Oct 2011
Research Affiliates, LLC, Rayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,376 (9,383)
Citation 10

Abstract:

noise, size effect, value effect

8.

Bond Pricing with Default Risk

Number of pages: 57 Posted: 01 Nov 2004
Rayliant Global Advisors, Vega Asset Management LLC and New University of Lisbon - Nova School of Business and Economics
Downloads 974 (15,366)
Citation 25

Abstract:

Bond pricing, default risk, term structure of yield spread

9.

A Study of Low Volatility Portfolio Construction Methods

Journal of Portfolio Management, Vol. 40, No. 4, 2014
Posted: 25 Jul 2013 Last Revised: 28 Dec 2016
Tzee-man Chow, Jason C. Hsu, Li-Lan Kuo and Feifei Li
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

low volatility, smart beta, minimum variance

10.

Shadow Banks and the Financial Crisis of 2007-2008

In 'THE BANKING CRISIS HANDBOOK', Chapter 3, pp. 39-56, Greg Gregoriou, ed., CRC Press, 2009
Posted: 20 Mar 2010 Last Revised: 29 Dec 2016
Jason C. Hsu and Max Moroz
Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

Shadow Banking, Financial Crisis, Subprime Crisis

11.

What Drives Equity Market Non-Participation?

North American Journal of Economics and Finance, January 2012, vol. 23, no 1, 86-114
Number of pages: 54 Posted: 01 Dec 2003 Last Revised: 09 Jan 2017
Jason C. Hsu
Rayliant Global Advisors
Downloads 731 (26,049)
Citation 3

Abstract:

Equity Market Non-participation, Portfolio Choice, Endogenous Wealth Heterogeneity

12.

Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

Journal of Portfolio Management, Vol. 42, No. 2, 2016
Posted: 06 Feb 2015 Last Revised: 28 Dec 2016
Jason C. Hsu, Brett W. Myers and Ryan J. Whitby
Rayliant Global Advisors, Texas Tech, Rawls College of Business and Utah State University - Huntsman School of Business

Abstract:

value premium, mutual fund performance, behavioral finance, IRR, factor investing

13.

Valuation-Indifferent Weighting for Bonds

Journal of Portfolio Management, Vol. 36, No. 3, pp. 117-130, Spring 2010
Posted: 04 Sep 2008 Last Revised: 30 Dec 2016
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

Fundamental Index, Valuation-Indifferent Index, Bond Index

14.

Merger Arbitrage Profitability in China

International Conference on Management Science and Engineering, Press of Harbin Institute of Technology, 1995
Number of pages: 6 Posted: 11 Jun 2007
School of Economics and Management of Beijing Jiaotong University, Rayliant Global Advisors, Beijing Jiaotong University - School of Economics and Management and Beijing Jiaotong University - School of Economics and Management
Downloads 700 (25,252)
Citation 2

Abstract:

Merger Arbitrage, Risk Arbitrage, Insider Trading, Pre-Bid Price Appreciation, Merger and Acquisition, Standard Event Study Methodology

15.

What Drives the Value Premium? Risk versus Mispricing: Evidence from International Markets

Journal of Investment Management, vol. 11, no. 4, 2013 (Fourth Quarter).
Posted: 08 Oct 2011 Last Revised: 07 Feb 2017
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates LLC and Research Affiliates, LLC

Abstract:

value strategy, value premium, value factor, value investing

Performance Attribution: Measuring Dynamic Allocation Skill

Financial Analysts Journal, Vol. 66, No. 6, 2010
Number of pages: 21 Posted: 27 Mar 2010 Last Revised: 11 Aug 2013
Jason C. Hsu, Vitali Kalesnik and Brett W. Myers
Rayliant Global Advisors, Research Affiliates LLC and Texas Tech, Rawls College of Business
Downloads 560 (36,923)
Citation 3

Abstract:

Performance Attribution, Mutual Funds, Brinson Attribution

Performance Attribution: Measuring Dynamic Allocation Skill

Financial Analysts Journal, Vol. 66, No. 6, 2010
Posted: 11 Dec 2010
Jason C. Hsu, Vitali Kalesnik and Brett W. Myers
Rayliant Global Advisors, Research Affiliates LLC and Texas Tech, Rawls College of Business

Abstract:

Performance Measurement and Evaluation, Peer Group Comparisons, Tactical Asset Allocation, Performance, Performance Attribution, Measuring Manager Skill

17.

Value Investing: Smart Beta vs. Style Indices

Journal of Indexes, Forthcoming
Number of pages: 7 Posted: 07 Aug 2014
Jason C. Hsu
Rayliant Global Advisors
Downloads 512 (13,070)

Abstract:

Value Index, Smart Beta, Value Strategies

18.

An Examination of Fundamental Indexation

New Frontiers in Index Investing: Journal of Indexes, Vol. 58, pp. 32-37, January/February 2006
Number of pages: 7 Posted: 01 Jan 2008 Last Revised: 03 Jan 2017
Jason C. Hsu and Carmen Campollo
Rayliant Global Advisors and FTSE Americas
Downloads 497 (43,702)
Citation 5

Abstract:

Fundamental Index, Indexing, Capitalization Weighting, Non-price-based Indexing

19.

Performance Evaluation of Active Managers: An Overview of Current Practice

Investments & Wealth Monitor, January/February 2011
Number of pages: 8 Posted: 27 Oct 2010 Last Revised: 22 Nov 2011
Jason C. Hsu, Vitali Kalesnik and Russ Wermers
Rayliant Global Advisors, Research Affiliates LLC and University of Maryland - Robert H. Smith School of Business
Downloads 451 (43,366)

Abstract:

Performance, Evaluation

20.

A Framework for Examining Asset Allocation Alpha

Journal of Index Investing, vol. 3, no. 4 (Spring 2013), pp. 64-72
Posted: 11 Jan 2013 Last Revised: 28 Dec 2016
Jason C. Hsu and Omid Shakernia
Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

asset allocation, alpha, portfolio performance

A Model of R&D Valuation and the Design of Research Incentives

Insurance: Mathematics and Economics, Vol. 43, No. 3, pp. 350-367, 2008
Number of pages: 67 Posted: 31 Dec 2007 Last Revised: 03 Jan 2017
Jason C. Hsu and Eduardo S. Schwartz
Rayliant Global Advisors and University of California, Los Angeles (UCLA) - Finance Area
Downloads 312 (75,770)
Citation 6

Abstract:

real option, incentive design, R&D valuation

A Model of R&D Valuation and the Design of Research Incentives

NBER Working Paper No. w10041
Number of pages: 65 Posted: 27 Oct 2003
Jason C. Hsu and Eduardo S. Schwartz
Rayliant Global Advisors and University of California, Los Angeles (UCLA) - Finance Area
Downloads 104 (209,811)
Citation 6

Abstract:

22.

An Examination of Traditional Style Indexes

Journal of Index Investing, vol. 1, no. 2, Fall 2010, pp. 14-23
Posted: 02 Aug 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Vitali Kalesnik and Himanshu Surti
Rayliant Global Advisors, Research Affiliates LLC and Research Affiliates LLC

Abstract:

Value Investing, Small Cap, Risk Models, Style Indexes

23.

Model Risk for Market Risk Modeling

In 'THE RISK MODELING RISK EVALUATION HANDBOOK: RETHINKING FINANCIAL RISK MANAGEMENT METHODOLOGIES IN THE GLOBAL CAPITAL MARKETS', G. Gregoriou, C. Hoppe, and C. Wehn, eds, McGraw-Hill, 2010
Posted: 26 Mar 2010 Last Revised: 29 Dec 2016
Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

Risk Modeling, Parameter Uncertainty

24.

A Structural Model of Default Risk

Journal of Fixed Income, Vol. 19, No. 3, pp. 77-94, Winter 2010
Posted: 20 Mar 2010 Last Revised: 28 Dec 2016
Rayliant Global Advisors, Vega Asset Management LLC and New University of Lisbon - Nova School of Business and Economics

Abstract:

Fixed Income, Default Risk, Corporate Bonds

25.

The Self-fulfilling Prophecy of Popular Asset Pricing Models

Journal of Investment Management, vol. 14, no. 1, 2016
Posted: 08 Aug 2014 Last Revised: 28 Dec 2016
Jason C. Hsu and Bradford Cornell
Rayliant Global Advisors and California Institute of Technology

Abstract:

asset pricing, expected returns, behavioral finance, discounted cash flows, utility functions

26.

Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation

In 'STOCK MARKET VOLATILITY', Chapter 10, pp. 195-208, Greg Gregoriou, ed., Chapman & Hall, 2009
Posted: 20 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu and Feifei Li
Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

Conditional Volatility, Risk Management, Portfolio Choice

27.

The Folly of Blame: Why Investors Should Care About Their Managers' Culture

Journal of Portfolio Management, Vol. 41, No. 3, 2015 (Spring), pp. 23-34
Posted: 19 May 2014 Last Revised: 28 Dec 2016
Jason C. Hsu, James Ware and Chuck Heisinger
Rayliant Global Advisors, Focus Consulting Group and Focus Consulting Group

Abstract:

culture, investments, blame, performance, asset management

28.

Does Valuation - Indifferent Indexing Work for the Real Estate Market?

Journal of Investing, Vol. 19, No. 3, pp. 72-79, Fall 2010
Posted: 01 Feb 2010 Last Revised: 28 Dec 2016
Feifei Li, Jason C. Hsu and Vitali Kalesnik
Research Affiliates, LLC, Rayliant Global Advisors and Research Affiliates LLC

Abstract:

Real Estate, REITs, Fundamental Indexing, Valuation-Indifferent Indexing, Alternative Indexing

29.

Risk-Managing the Uncertainty in VAR Parameters

In 'THE VAR IMPLEMENTATION HANDBOOK', Chapter 18, pp. 385-400, G. Gregoriou, ed., McGraw-Hill, 2009
Posted: 26 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu and Vitali Kalesnik
Rayliant Global Advisors and Research Affiliates LLC

Abstract:

Value at Risk, Parameter Uncertainty

30.

Two Determinants of Lifecycle Investment Success

Journal of Retirement, vol. 2, no. 4, 2015 (Spring), pp. 14-21.
Posted: 01 Jun 2015 Last Revised: 07 Feb 2017
Rayliant Global Advisors, Ziff Brothers Investments - Risk Management, Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

Investment Management, Retirement, Target Date Funds

31.

Selling Hope

Rotman International Journal of Pension Management, Vol. 5, No. 2, 2012
Number of pages: 2 Posted: 18 Sep 2012 Last Revised: 11 Aug 2013
Jason C. Hsu
Rayliant Global Advisors
Downloads 119 (172,444)

Abstract:

Active Management, Hedge Funds, Index Funds, Irrational Investor Behavior, Mutual Funds, Pension Fund

32.

Value Investing: Smart Beta Versus Style Indexes

Journal of Index Investing, vol. 5, no. 1, Summer 2014
Posted: 08 Feb 2017
Jason C. Hsu
Rayliant Global Advisors

Abstract:

33.

A Framework for Assessing Factors and Implementing Smart Beta Strategies

Journal of Index Investing, vol. 6, no. 1, Summer 2015
Posted: 08 Feb 2017
Rayliant Global Advisors, Research Affiliates LLC and Rayliant Global Advisors

Abstract:

34.

Investment Firm Culture: A New Take on Manager Selection and Social Responsibility

Practical Applications, vol. 3, no. 2, Fall 2015
Posted: 08 Feb 2017
Jason C. Hsu
Rayliant Global Advisors

Abstract:

35.

Low-Volatility Investing

Journal of Index Investing, vol. 4, no. 2, Fall 2013
Posted: 08 Feb 2017
Jason C. Hsu and Feifei Li
Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

36.

Dynamic Segment Timing and the Predictability of Actively Managed Mutual Fund Returns

Number of pages: 35 Posted: 29 Feb 2016
Rayliant Global Advisors, Research Affiliates LLC, Texas Tech, Rawls College of Business and Utah State University - Huntsman School of Business
Downloads 0 (220,438)

Abstract:

Mutual fund, mutual fund return predictability, mutual fund investment, active management

37.

The Harm in Selecting Funds that Have Recently Outperformed

Number of pages: 12 Posted: 13 Feb 2016 Last Revised: 28 Feb 2016
Bradford Cornell, Jason C. Hsu and David Nanigian
California Institute of Technology, Rayliant Global Advisors and California State University, Fullerton - Department of Finance
Downloads 0 (6,741)

Abstract:

Asset Management, Investment Consultants, Fund Performance, Mutual Fund Selection

38.

Skewness Preferences and Gambling Cultures

Number of pages: 29 Posted: 31 Jan 2016 Last Revised: 23 Mar 2016
Benjamin M. Blau, Jason C. Hsu and Ryan J. Whitby
Utah State University - Huntsman School of Business, Rayliant Global Advisors and Utah State University - Huntsman School of Business
Downloads 0 (290,053)

Abstract:

Lotteries, Gambling, Skewness, Stock Returns

39.

What Drives the Value Premium? Risk versus Mispricing: Evidence from International Markets

Journal Of Investment Management (JOIM), Fourth Quarter 2013
Posted: 15 Nov 2014
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates LLC and Research Affiliates, LLC

Abstract:

Value premium, mispricing, risk, value, growth, book-to-market ratio, beta, HML

Option-Writing Strategies in a Low-Volatility Framework

Journal of Investing, Vol. 24, No. 3, 2015 (Fall), pp. 116-128
Posted: 08 May 2014 Last Revised: 07 Feb 2017
Donald X. He, Jason C. Hsu and Neil Rue
Allianz Global Investors US LLC, Rayliant Global Advisors and Pension Consulting Alliance

Abstract:

Low volatility, covered call, preference for lottery, leverage constraints, skewness premium

Option-Writing Strategies in a Low-Volatility Framework

Journal of Investing, Vol. 24, No. 3, Fall 2015
Posted: 08 Feb 2017
Jason C. Hsu, Donald X. He and Neil Rue
Rayliant Global Advisors, Allianz Global Investors US LLC and Pension Consulting Alliance

Abstract:

When Sell-Side Analysts Meet High-Volatility Stocks: An Alternative Explanation for the Low-Volatility Puzzle

Journal of Investment Management, Vol. 11, No. 2, Second Quarter 2013, 28-46
Posted: 17 May 2012 Last Revised: 28 Dec 2016
Jason C. Hsu, Hideaki Kudoh and Toru Yamada
Rayliant Global Advisors, Nomura Asset Management Co., Ltd. (NAM) and Nomura Holdings, Inc. (NHI) - Nomura Asset Management Co., Ltd. (NAM)

Abstract:

When Sell-Side Analysts Meet High-Volatility Stocks: An Alternative Explanation for the Low-Volatility Puzzle

Journal Of Investment Management (JOIM), Second Quarter 2013
Posted: 15 Jun 2013
Jason C. Hsu, Hideaki Kudoh and Toru Yamada
Rayliant Global Advisors, Nomura Asset Management Co., Ltd. (NAM) and Nomura Holdings, Inc. (NHI) - Nomura Asset Management Co., Ltd. (NAM)

Abstract:

Analyst forecast bias, low volatility puzzle

Noise, CAPM, and the Size and Value Effects

Journal of Investment Management, vol. 6, no. 1, First Quarter 2008.
Posted: 05 Sep 2006 Last Revised: 30 Dec 2016
Robert D. Arnott and Jason C. Hsu
Research Affiliates, LLC and Rayliant Global Advisors

Abstract:

Mispricing, noise, CAPM, size effect, value effect, excess volatility puzzle, dividend predictability puzzle

Noise, CAPM and the Size and Value Effects

Journal of Investment Management, Vol. 6, No. 1, First Quarter 2008
Posted: 27 Mar 2008
Robert D. Arnott and Jason C. Hsu
Research Affiliates, LLC and Rayliant Global Advisors

Abstract:

Noise, value effect, size effect, CAPM, non-price-weighted portfolios

Other Papers (1)

Total Downloads: 1    Citations: 0
1.

Blame, Accountability, and Performance

CFA Institute Magazine, Vol. 25, No. 5, September/October 2014
Number of pages: 2 Posted: 08 Feb 2017
James Ware and Jason C. Hsu
Focus Consulting Group and Rayliant Global Advisors
Downloads 0

Abstract: