Denis B. Chaves

The Vanguard Group, Inc.

100 Vanguard Blvd

Malvern, PA 19355

United States

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 10,975

SSRN RANKINGS

Top 10,975

in Total Papers Downloads

3,395

CITATIONS
Rank 36,201

SSRN RANKINGS

Top 36,201

in Total Papers Citations

5

Scholarly Papers (12)

1.

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
Denis B. Chaves, Jason C. Hsu, Feifei Li and Omid Shakernia
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

risk parity, heuristic

2.

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
Denis B. Chaves, Jason C. Hsu, Feifei Li and Omid Shakernia
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

risk parity, asset allocation, portfolio management

Demographic Changes, Financial Markets, and the Economy

Financial Analysts Journal, Vol. 68, No. 1, January/February 2012
Number of pages: 28 Posted: 17 Apr 2011 Last Revised: 28 Dec 2016
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Vanguard Group, Inc.
Downloads 1,540 (8,113)
Citation 5

Abstract:

demography, demographics

Demographic Changes, Financial Markets, and the Economy

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Vanguard Group, Inc.

Abstract:

Economics, Economic Growth and Development, Equity Investments, Equity Market Valuation and Return Analysis, Analysis of World Security Markets, Fixed Income, Macroeconomic Effects on Fixed-Income Yields, Portfolio Management, Economic Analysis and Capital Market Expectations

4.

Eureka! A Momentum Strategy that Also Works in Japan

Number of pages: 32 Posted: 09 Jan 2012 Last Revised: 13 Jan 2012
Denis B. Chaves
The Vanguard Group, Inc.
Downloads 706 (17,061)

Abstract:

Momentum

5.

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
Denis B. Chaves, Jason C. Hsu, Vitali Kalesnik and Yoseop Shim
The Vanguard Group, Inc., Rayliant Global Advisors, Research Affiliates LLC and Research Affiliates, LLC

Abstract:

value strategy, value premium, value factor, value investing

6.

What Explains the Variance of Prices and Returns?: Time-series Vs. Cross-section

Number of pages: 49 Posted: 19 Nov 2009 Last Revised: 23 Nov 2009
Denis B. Chaves
The Vanguard Group, Inc.
Downloads 417 (46,073)

Abstract:

variance decomposition, expected return, discount rate news, cash flow news, predictability, present value

7.

The Information in the Term Structure of Commodity Futures

Number of pages: 22 Posted: 10 Jan 2012
Denis B. Chaves, Vitali Kalesnik and Bryce Little
The Vanguard Group, Inc., Research Affiliates LLC and Cornell University
Downloads 260 (83,980)

Abstract:

commodities, futures, expectations hypothesis, term structure

8.

King of the Mountain: Shiller P/E and Macroeconomic Conditions

Number of pages: 24 Posted: 07 Aug 2015
Robert D. Arnott, Denis B. Chaves and Tzee-man Chow
Research Affiliates, LLC, The Vanguard Group, Inc. and Research Affiliates, LLC
Downloads 32 (190,137)

Abstract:

inflation,real interest rates,shiller P/E

9.

A New 'New Normal' in Demography and Economic Growth

Journal of Indexes, September/October 2013
Posted: 08 Feb 2017
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Vanguard Group, Inc.

Abstract:

10.

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Journal of Commodity Markets, vol. 3, no. 1, September 2016, pp. 39-53
Posted: 02 Sep 2016 Last Revised: 30 Dec 2016
Denis B. Chaves and Vivek Viswanathan
The Vanguard Group, Inc. and Rayliant Global Advisors

Abstract:

Commodity Futures; Basis; Momentum; Mean-Reversion; Trend-Following; Trading Strategies

11.

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

Journal Of Investment Management (JOIM), Fourth Quarter 2013
Posted: 15 Nov 2014
Denis B. Chaves, Jason C. Hsu, Vitali Kalesnik and Yoseop Shim
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

12.

Rebalancing and the Value Effect

Journal of Portfolio Management, Vol. 38, No. 4, 2012
Posted: 10 Jan 2012 Last Revised: 29 Dec 2016
Denis B. Chaves and Robert D. Arnott
The Vanguard Group, Inc. and Research Affiliates, LLC

Abstract:

value, growth, rebalancing