Vitali Kalesnik

Research Affiliates Global Advisors

Partner, Head of Research - Europe

16 Berkeley Street

London, W1J 8DZ

United Kingdom

http://https://www.researchaffiliates.com/en_us/home.html

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SCHOLARLY PAPERS

33

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69

Scholarly Papers (33)

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1.

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 8,000 (880)
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

2.

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 6,849 (1,176)
Citation 6

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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

3.

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, Research Affiliates, LLC, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 4,005 (2,976)
Citation 20

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

4.

What Is Quality?

Financial Analysts Journal, vol. 75, no. 2 (Second Quarter 2019): 44–61
Number of pages: 46 Posted: 19 May 2017 Last Revised: 10 May 2019
Jason C. Hsu, Vitali Kalesnik and Engin Kose
Rayliant Global Advisors, Research Affiliates Global Advisors and affiliation not provided to SSRN
Downloads 2,448 (6,860)
Citation 1

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factor investing, multifactor, smart beta, quality factor, quality investing

5.

A Survey of Alternative Equity Index Strategies

Downloads 2,008 ( 9,450)
Citation 8

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
Jason C. Hsu, Tzee-man Chow, Vitali Kalesnik and Bryce Little
Rayliant Global Advisors, Research Affiliates, LLC, Research Affiliates Global Advisors and Citadel LLC
Downloads 2,008 (9,270)
Citation 8

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alternative, equity

A Survey of Alternative Equity Index Strategies

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Tzee-man Chow, Jason C. Hsu, Vitali Kalesnik and Bryce Little
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates Global Advisors and Citadel LLC

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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

6.

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 1,114 (23,636)
Citation 1

Abstract:

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alternative indexing, beta selection

7.

Green Data or Greenwashing? Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?

Number of pages: 52 Posted: 07 Jan 2021
Vitali Kalesnik, Marco Wilkens and Jonas Zink
Research Affiliates Global Advisors, University of Augsburg and University of Augsburg
Downloads 1,076 (24,860)

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Carbon data, carbon databases, climate-related information, climate-related risks and opportunities, environmental impact of investments, carbon emissions, carbon intensities

8.

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 1,019 (26,897)
Citation 27

Abstract:

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smart beta, factor returns

9.

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 896 (32,330)
Citation 2

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momentum, asset allocation, mutual funds, momentum investing

10.

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 708 (44,574)
Citation 14

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smart beta, active timing, factor tilts

11.

Performance Attribution: Measuring Dynamic Allocation Skill

Downloads 704 ( 45,000)
Citation 5

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 Global Advisors and Texas Tech, Rawls College of Business
Downloads 704 (44,361)
Citation 5

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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 Global Advisors and Texas Tech, Rawls College of Business

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

12.

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 Global Advisors and University of Maryland - Robert H. Smith School of Business
Downloads 594 (56,126)

Abstract:

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Performance, Evaluation

13.

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 433 (82,744)

Abstract:

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

14.

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 Capital Group Companies, Research Affiliates Global Advisors and Citadel LLC
Downloads 420 (85,749)

Abstract:

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commodities, futures, expectations hypothesis, term structure

15.

Informed Traders, Long-Dated Options, and the Cross Section of Stock Returns

Number of pages: 55 Posted: 29 Sep 2017
Mark Clements, Vitali Kalesnik and Juhani T. Linnainmaa
Research Affiliates, LLC, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 392 (93,112)

Abstract:

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Option Prices, Cross-Section, Equity Returns, Options

16.

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 378 (96,882)
Citation 4

Abstract:

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factor return, factor tilts, smart beta

17.

Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?

Tuck School of Business Working Paper No. 3783925
Number of pages: 26 Posted: 19 Mar 2021
Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani T. Linnainmaa
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates Global Advisors, Research Affiliates, LLC and Dartmouth College - Tuck School of Business
Downloads 320 (116,607)

Abstract:

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Factor Portfolios, Risk Factors, Characteristics, Covariances

18.

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, Research Affiliates, LLC and Research Affiliates Global Advisors
Downloads 243 (154,868)
Citation 4

Abstract:

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smart beta, factor tilts

19.

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 195 (190,661)
Citation 8

Abstract:

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

20.

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

Number of pages: 35 Posted: 29 Feb 2016
Jason C. Hsu, Vitali Kalesnik, Brett W. Myers and Ryan Whitby
Rayliant Global Advisors, Research Affiliates Global Advisors, Texas Tech, Rawls College of Business and Utah State University - Huntsman School of Business
Downloads 188 (196,994)

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

21.

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 143 (248,297)
Citation 1

Abstract:

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Politics Stock Returns

22.

The Optimal Auditing Timing in the Repeated Principal Agent Model

Number of pages: 41 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates Global Advisors
Downloads 121 (282,048)

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Repeated Games, Principal Agent, Continuous Time, Optimal Information Acquisition

23.

Continuous Time Partnerships with Discrete Events

Number of pages: 47 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates Global Advisors
Downloads 63 (420,670)

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Repeated games, Jump Process, Continuous time

24.

Computing Optimal Insurance Contract in Closed System

Number of pages: 13 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates Global Advisors
Downloads 43 (497,879)

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Repeated Games, Computation Techniques

25.

The Folly of Hiring Winners and Firing Losers

Journalof Portfolio Management, Vol. 45, No. 1, 2018
Posted: 16 Jan 2018 Last Revised: 30 Nov 2018
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

26.

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

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27.

A Framework for Assessing Factors and Implementing Smart Beta Strategies

Journal of Index Investing, vol. 6, no. 1, Summer 2015
Posted: 08 Feb 2017
Jason C. Hsu, Vitali Kalesnik and Vivek Viswanathan
Rayliant Global Advisors, Research Affiliates Global Advisors and Rayliant Global Advisors

Abstract:

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28.

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 Joseph (Yoseop) Shim
The Capital Group Companies, Rayliant Global Advisors, Research Affiliates Global Advisors and Research Affiliates, LLC

Abstract:

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

29.

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 Joseph (Yoseop) Shim
The Capital Group Companies, Rayliant Global Advisors, Research Affiliates Global Advisors and Research Affiliates, LLC

Abstract:

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value strategy, value premium, value factor, value investing

30.

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 Global Advisors and Cambria Investment Management

Abstract:

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Value Investing, Small Cap, Risk Models, Style Indexes

31.

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 Global Advisors

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Value at Risk, Parameter Uncertainty

32.

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
Jason C. Hsu, Shane D. Shepherd and Vitali Kalesnik
Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates Global Advisors

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Risk Modeling, Parameter Uncertainty

33.

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 Global Advisors

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