Lillian J. Wu

Research Affiliates, LLC

Research Associate

620 Newport Center Dr

Suite 900

Newport Beach, CA 92660

United States

  • Research Affiliates, LLC

SCHOLARLY PAPERS

11

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2

CROSSREF CITATIONS

5

Scholarly Papers (11)

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1.

The Winners Curse: Too Big to Succeed?

Journal of Indexes, October 29, 2012
Number of pages: 18 Posted: 20 Jun 2012 Last Revised: 29 Dec 2016
Robert D. Arnott and Lillian J. Wu
Research Affiliates, LLC and Research Affiliates, LLC
Downloads 1,802 (18,854)
Citation 3

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2.

The Avoidable Costs of Index Rebalancing

Number of pages: 48 Posted: 06 May 2022 Last Revised: 08 Mar 2023
Robert D. Arnott, Chris Brightman, Vitali Kalesnik and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates Global Advisors and Research Affiliates, LLC
Downloads 1,357 (28,902)

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Indexation, Portfolio Construction, Passive Investing, Transaction Costs, Optimal Trading.

3.

Can Momentum Investing Be Saved?

Number of pages: 27 Posted: 16 Jan 2018
Robert D. Arnott, Vitali Kalesnik, Engin Kose and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates Global Advisors, affiliation not provided to SSRN and Research Affiliates, LLC
Downloads 1,141 (37,134)
Citation 4

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momentum, asset allocation, mutual funds, momentum investing

4.

Big Market Delusion: Electric Vehicles

Number of pages: 10 Posted: 22 Mar 2021
Robert D. Arnott, Bradford Cornell and Lillian J. Wu
Research Affiliates, LLC, Anderson Graduate School of Management, UCLA and Research Affiliates, LLC
Downloads 807 (60,313)

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Market Efficiency, Big Market Delusion, Asset Pricing

5.

The Incredible Shrinking Factor Return

Number of pages: 30 Posted: 22 Sep 2017
Robert D. Arnott, Vitali Kalesnik and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates Global Advisors and Research Affiliates, LLC
Downloads 506 (109,217)
Citation 5

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factor return, factor tilts, smart beta

6.

Mitigating the Hidden Risks of Factor Investing

The Journal of Portfolio Management Quantitative Special Issue 2023, jpm.2022.1.454; DOI: https://doi.org/10.3905/jpm.2022.1.454
Posted: 27 Dec 2022
Robert D. Arnott, Vitali Kalesnik and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates Global Advisors and Research Affiliates, LLC

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Factor investing, risk management, optimization techniques, volatility management, turnover, risk-adjusted performance

7.

Where’s the Beef?

The Journal of Investing 30th Anniversary Special Issue 2022, 31 (4) 27-39; DOI: https://doi.org/10.3905/joi.2022.31.4.027
Posted: 16 Feb 2022 Last Revised: 17 Sep 2022
Robert D. Arnott, Amie Ko and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates and Research Affiliates, LLC

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performance chasing, data mining, investor expectations gap, smart beta, valuation, noise trading, implementation shortfall

8.

The Folly of Hiring Winners and Firing Losers

Journalof Portfolio Management, Vol. 45, No. 1, 2018
Posted: 16 Jan 2018 Last Revised: 30 Sep 2022
Robert D. Arnott, Vitali Kalesnik and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates Global Advisors and Research Affiliates, LLC

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managers, performance chasing, asset allocation, smart beta

9.

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
Jason C. Hsu, Jason C. Hsu, Jonathan Treussard, Vivek Viswanathan and Lillian J. Wu
Research AffiliatesRayliant Global Advisors, Treussard Capital Management LLC, Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

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Investment Management, Retirement, Target Date Funds

10.

The Myth of Dynastic Wealth: The Rich Get Poorer

Cato Journal, Vol. 35, No. 3, 2015
Posted: 01 May 2015 Last Revised: 29 Dec 2016
Robert D. Arnott, William J. Bernstein and Lillian J. Wu
Research Affiliates, LLC, Frontier Advisors and Research Affiliates, LLC

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Thomas Piketty, wealth, dynastic wealth

11.

The Glidepath Illusion...And Potential Solutions

Journal of Retirement, vol. 1, no. 2, Fall 2013, pp. 13-28.
Posted: 18 Sep 2013 Last Revised: 30 Dec 2016
Robert D. Arnott, Katrina F. Sherrerd and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates LLC and Research Affiliates, LLC

Abstract:

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Target Date Fund, Glidepath, Retirement Investing, Asset Allocation, Alternative Assets