Robert D. Arnott

Research Affiliates, LLC

Chairman & CEO

620 Newport Center Dr

Ste 900

Newport Beach, CA 92660

United States

http://www.researchaffiliates.com

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SCHOLARLY PAPERS

46

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148

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169

Scholarly Papers (46)

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1.

Does Dividend Policy Foretell Earnings Growth?

Number of pages: 34 Posted: 07 Jan 2002
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC
Downloads 11,170 (770)
Citation 3

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2.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Robert D. Arnott, Campbell R. Harvey and Harry Markowitz
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 9,741 (978)
Citation 16

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Machine Learning, Data Science, Data Mining, Backtesting, Overfitting, Interpretable Classification, Interpretable Policy Design, Trading, Strategies, Anomalies, Selection Bias, Research Protocol

3.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 04 Feb 2021
Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani T. Linnainmaa
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 9,174 (1,070)
Citation 11

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Value investing, value factor, growth investing, value spread, revaluation, migration, profitability, HML, 3-factor model, iHML, intangibles, book value, intrinsic value, financial accounting, behavioral finance, crowding, data mining, structural change, drawdown

4.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani T. Linnainmaa
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 8,302 (1,280)
Citation 14

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Overfitting, Backtesting, Crowding, Data Mining, Multiple Testing, Downside Risk, Tail Behavior, Non-Normalities, Trading Costs, Bootstrapping, Resampling, Factor Zoo, Factor Investing, Value Investing, Momentum, Size, Accounting Factors, Investment, Low Beta, Accruals, Factor Portfolios, Behavioral

5.

What Risk Premium is 'Normal'?

Downloads 7,606 ( 1,495)

What Risk Premium is 'Normal'?

Financial Analysts Journal, Vol. 58, No. 2, March/April 2002, pp. 64-85.
Number of pages: 40 Posted: 15 Jan 2002 Last Revised: 30 Dec 2016
Robert D. Arnott and Peter L. Bernstein
Research Affiliates, LLC and Peter L. Bernstein, Inc.
Downloads 7,606 (1,486)
Citation 39

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What Risk Premium is 'Normal'?

Posted: 30 Apr 2002
Robert D. Arnott and Peter L. Bernstein
Research Affiliates, LLC and Peter L. Bernstein, Inc.

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6.

Factor Momentum

Number of pages: 48 Posted: 12 Nov 2020 Last Revised: 22 Mar 2021
Robert D. Arnott, Mark Clements, Vitali Kalesnik and Juhani T. Linnainmaa
Research Affiliates, LLC, Los Angeles Capital Management, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 6,731 (1,832)
Citation 24

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Factor momentum, factor investing, industry momentum, principal component factors

7.

Fundamental Indexation

Downloads 5,629 ( 2,470)
Citation 22

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, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors and Pacific Investment Consultants, LLC
Downloads 5,629 (2,431)
Citation 22

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

Fundamental Indexation

Posted: 05 May 2005
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors and Pacific Investment Consultants, LLC

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

8.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
P. Brett Hammond, Martin L. Leibowitz, Laurence B. Siegel, Roger G. Ibbotson, Clifford S. Asness, Elroy Dimson, Paul Marsh, Mike Staunton, Richard C. Grinold, Kenneth F. Kroner, Robert D. Arnott, Antti Ilmanen, Peng Cheng, Andrew Ang, Zhang Xiaoyan, Jeremy J. Siegel and Rajnish Mehra
Pension Research Council, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, BlackRock, Inc - San Francisco, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 3,303 (6,159)
Citation 12

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ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

9.

Demographic Changes, Financial Markets, and the Economy

Downloads 1,883 (15,001)
Citation 2

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 Capital Group Companies
Downloads 1,883 (14,759)
Citation 2

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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 Capital Group Companies

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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

10.

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
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,687 (17,799)
Citation 18

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noise, size effect, value effect

11.

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 1,575 (19,733)
Citation 3

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12.

How Can 'Smart Beta' Go Horribly Wrong?

Number of pages: 21 Posted: 22 Sep 2017
Robert D. Arnott, Noah Beck, Vitali Kalesnik and John West
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates Global Advisors and Research Affiliates
Downloads 1,492 (21,461)
Citation 27

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smart beta, factor returns

13.

Beyond Cap-Weight: The Search for Efficient Beta

Journal of Indexes, January-February 2010
Number of pages: 25 Posted: 04 Nov 2009 Last Revised: 02 Nov 2010
Robert D. Arnott, Vitali Kalesnik, Paul Moghtader and Craig Scholl
Research Affiliates, LLC, Research Affiliates Global Advisors, affiliation not provided to SSRN and Lazard Asset Management
Downloads 1,190 (30,041)
Citation 1

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alternative indexing, beta selection

14.

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 1,095 (33,782)

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

15.

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 1,063 (35,208)
Citation 3

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momentum, asset allocation, mutual funds, momentum investing

16.

Timing 'Smart Beta' Strategies? Of Course! Buy Low, Sell High!

Number of pages: 33 Posted: 22 Sep 2017
Robert D. Arnott, Noah Beck and Vitali Kalesnik
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates Global Advisors
Downloads 986 (39,155)
Citation 14

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smart beta, active timing, factor tilts

17.

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 641 (70,006)

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Market Efficiency, Big Market Delusion, Asset Pricing

18.

The Equity Premium Revisited

Number of pages: 11 Posted: 30 Jul 2010 Last Revised: 29 Dec 2016
Bradford Cornell, Robert D. Arnott and Max Moroz
Anderson Graduate School of Management, UCLA, Research Affiliates, LLC and Research Affiliates, LLC
Downloads 617 (73,586)
Citation 2

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Equity Premium

19.

Smart Rebalancing

Number of pages: 26 Posted: 11 Mar 2023
Robert D. Arnott, Feifei Li and Juhani T. Linnainmaa
Research Affiliates, LLC, Research Affiliates, LLC and Dartmouth College - Tuck School of Business
Downloads 577 (79,827)

Abstract:

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Smart Beta, Rebalancing, Factor Investing

20.

Forecasting Factor and Smart Beta Returns (Hint: History Is Worse than Useless)

Number of pages: 28 Posted: 22 Sep 2017
Robert D. Arnott, Noah Beck and Vitali Kalesnik
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates Global Advisors
Downloads 572 (80,668)

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smart beta, factors, factor tilts, valuation, alpha forecasting

21.

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 469 (102,917)
Citation 5

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factor return, factor tilts, smart beta

22.

History Lessons: How 'Transitory' Is Inflation?

Number of pages: 10 Posted: 28 Dec 2022
Robert D. Arnott and Omid Shakernia
Research Affiliates, LLC and Research Affiliates, LLC
Downloads 294 (173,210)

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asset allocation, inflation, monetary policy, Federal Reserve, Fed Funds rate

23.

Why Factor Tilts are Not Smart 'Smart Beta'

Number of pages: 18 Posted: 22 Sep 2017
Robert D. Arnott, Mark Clements and Vitali Kalesnik
Research Affiliates, LLC, Los Angeles Capital Management and Research Affiliates Global Advisors
Downloads 290 (175,758)
Citation 4

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smart beta, factor tilts

24.

To Win with 'Smart Beta' Ask If the Price is Right

Number of pages: 28 Posted: 22 Sep 2017
Robert D. Arnott, Noah Beck and Vitali Kalesnik
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates Global Advisors
Downloads 286 (178,343)
Citation 8

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smart beta, factors, factor investing, value factor, valuation

25.

Presidential Politics and Stock Returns

Number of pages: 13 Posted: 29 Apr 2017
Robert D. Arnott, Bradford Cornell and Vitali Kalesnik
Research Affiliates, LLC, Anderson Graduate School of Management, UCLA and Research Affiliates Global Advisors
Downloads 188 (266,523)
Citation 1

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Politics Stock Returns

26.

I Was Blind, But Now I See: Bubbles in Academe

Number of pages: 12 Posted: 22 Sep 2017
Jonathan Treussard and Robert D. Arnott
Treussard Capital Management LLC and Research Affiliates, LLC
Downloads 166 (296,863)

Abstract:

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bubbles, academic bubble

27.

Non-Covid Excess Deaths, 2020-21: Collateral Damage of Policy Choices?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 107, 2022
Number of pages: 19 Posted: 16 Aug 2022
Casey B. Mulligan and Robert D. Arnott
University of Chicago and Research Affiliates, LLC
Downloads 63 (573,013)
Citation 3

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28.

Whither Bonds, after the Demographic Dividend?

CFA Institute Conference Proceedings Quarterly, Vol. 32, No. 1, First Quarter 2015
Number of pages: 16 Posted: 08 Feb 2017
Robert D. Arnott
Research Affiliates, LLC
Downloads 45 (667,241)

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29.

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

30.

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

Abstract:

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

31.

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

32.

Rip Van Winkle Indexing

Journal of Portfolio Management, Vol. 41, No. 4, Summer 2015
Posted: 08 Feb 2017
Robert D. Arnott, Noah Beck and Vitali Kalesnik
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates Global Advisors

Abstract:

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33.

Clairvoyant Discount Rates

Journalof Portfolio Management, Vol. 40, No. 1, Fall 2013
Posted: 08 Feb 2017
Robert D. Arnott, Feifei Li and Geoffrey J. Warren
Research Affiliates, LLC, Research Affiliates, LLC and Independent

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34.

Labor Conditions and Future Capital Market Performance

Journal of Portfolio Management, Vol. 43, No. 1, Fall 2016
Posted: 08 Feb 2017
Robert D. Arnott, Feifei Li and Xi Liu
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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35.

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 Capital Group Companies

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36.

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

https://doi.org/10.3905/jpm.2017.44.1.055
Posted: 07 Aug 2015
Robert D. Arnott, Denis B. Chaves and Tzee-man Chow
Research Affiliates, LLC, The Capital Group Companies and Research Affiliates, LLC

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inflation,real interest rates,shiller P/E

37.

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

38.

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

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

39.

Rebalancing and the Value Effect

Journal of Portfolio Management, Vol. 38, No. 4, 2012
Posted: 10 Jan 2012 Last Revised: 26 Sep 2022
Denis B. Chaves and Robert D. Arnott
The Capital Group Companies and Research Affiliates, LLC

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value, growth, rebalancing

40.

Clairvoyant Value and the Growth/Value Cycle

Journal of Portfolio Management, Vol. 35, No. 4, 2009
Posted: 06 Aug 2009 Last Revised: 26 Sep 2022
Robert D. Arnott, Feifei Li and Katrina F. Sherrerd
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

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Clairvoyant Value, Value Effect, Growth/Value Cycle

41.

Clairvoyant Value and the Value Effect

Journal of Portfolio Management, Vol. 35, No. 3, 2009
Posted: 04 Sep 2008 Last Revised: 30 Dec 2016
Robert D. Arnott, Feifei Li and Katrina F. Sherrerd
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

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Clairvoyant Value, Value Effect

42.

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
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu, Feifei Li and Shane D. Shepherd
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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Fundamental Index, Valuation-Indifferent Index, Bond Index

43.

Noise, CAPM, and the Size and Value Effects

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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, Jason C. Hsu and Jason C. Hsu
Research Affiliates, LLC and Research AffiliatesRayliant Global Advisors

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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, Jason C. Hsu and Jason C. Hsu
Research Affiliates, LLC and Research AffiliatesRayliant Global Advisors

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

44.

Earnings Growth: The Two Percent Dilution

Posted: 26 Jan 2004
William J. Bernstein and Robert D. Arnott
Frontier Advisors and Research Affiliates, LLC

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Portfolio Management, asset allocation, Economics, macroeconomics, Investment Industry, future directions and sources of change

45.

Surprise! Higher Dividends = Higher Earnings Growth

Posted: 27 May 2003
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC

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Portfolio Management: asset allocation; Investment Theory: efficient market theory

46.

Surprise! Taa Can Work in Quiet Markets

Journal of Investing, Fall 1997
Posted: 27 Apr 1998
Robert D. Arnott and Todd Miller
Research Affiliates, LLC and First Quadrant, L.P.

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