Vitali Kalesnik

Research Affiliates LLC

Vice President, Research

620 Newport Center Dr

Ste 900

Newport Beach, CA 92660

United States

http://researchaffiliates.com/index.htm

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 2,573

SSRN RANKINGS

Top 2,573

in Total Papers Downloads

13,252

CITATIONS
Rank 22,837

SSRN RANKINGS

Top 22,837

in Total Papers Citations

12

Scholarly Papers (30)

1.

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

Number of pages: 35 Posted: 17 Feb 2019
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and USC Marshall School of Business
Downloads 2,961 (3,546)

Abstract:

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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

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 LLC and Citadel LLC
Downloads 1,940 (7,105)
Citation 9

Abstract:

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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 LLC 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

3.

Factor Momentum

Number of pages: 66 Posted: 12 Feb 2018 Last Revised: 05 Feb 2019
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates LLC and USC Marshall School of Business
Downloads 1,717 (8,939)

Abstract:

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factor momentum, factor returns, industry momentum

4.

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
Research Affiliates, LLC, Research Affiliates LLC, affiliation not provided to SSRN and Lazard Asset Management
Downloads 1,051 (19,219)

Abstract:

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alternative indexing, beta selection

5.

What Is Quality?

Financial Analysts Journal, Forthcoming
Number of pages: 46 Posted: 19 May 2017 Last Revised: 30 Nov 2018
Jason C. Hsu, Vitali Kalesnik and Engin Kose
Rayliant Global Advisors, Research Affiliates LLC and affiliation not provided to SSRN
Downloads 817 (27,854)

Abstract:

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

6.

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 LLC, affiliation not provided to SSRN and Research Affiliates, LLC
Downloads 695 (34,677)

Abstract:

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momentum, asset allocation, mutual funds, momentum 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 642 (37,975)
Citation 3

Abstract:

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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 LLC 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

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 LLC and Research Affiliates
Downloads 609 (41,326)

Abstract:

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smart beta, factor returns

9.

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 553 (46,917)

Abstract:

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Performance, Evaluation

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 LLC
Downloads 356 (80,265)

Abstract:

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smart beta, active timing, factor tilts

11.

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 Citadel LLC
Downloads 340 (84,676)

Abstract:

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commodities, futures, expectations hypothesis, term structure

12.

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 LLC
Downloads 280 (104,760)

Abstract:

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

13.

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 LLC and Research Affiliates, LLC
Downloads 275 (106,739)

Abstract:

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factor return, factor tilts, smart beta

14.

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 LLC and USC Marshall School of Business
Downloads 251 (117,992)

Abstract:

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Option Prices, Cross-Section, Equity Returns, Options

15.

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 LLC
Downloads 183 (159,022)

Abstract:

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smart beta, factor tilts

16.

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 170 (169,840)

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

17.

The Optimal Auditing Timing in the Repeated Principal Agent Model

Number of pages: 41 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates LLC
Downloads 115 (232,394)

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

18.

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 LLC
Downloads 102 (252,964)

Abstract:

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

19.

Presidential Politics and Stock Returns

Number of pages: 13 Posted: 29 Apr 2017
Robert D. Arnott, Bradford Cornell and Vitali Kalesnik
Research Affiliates, LLC, California Institute of Technology and Research Affiliates LLC
Downloads 101 (254,720)

Abstract:

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Politics Stock Returns

20.

Continuous Time Partnerships with Discrete Events

Number of pages: 47 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates LLC
Downloads 53 (366,028)

Abstract:

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Repeated games, Jump Process, Continuous time

21.

Computing Optimal Insurance Contract in Closed System

Number of pages: 13 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates LLC
Downloads 41 (406,512)

Abstract:

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Repeated Games, Computation Techniques

22.

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 LLC and Research Affiliates, LLC

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managers, performance chasing, asset allocation, smart beta

23.

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 LLC

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24.

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 LLC and Rayliant Global Advisors

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25.

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

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

26.

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:

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value strategy, value premium, value factor, value investing

27.

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 Cambria Investment Management

Abstract:

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Value Investing, Small Cap, Risk Models, Style Indexes

28.

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

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Value at Risk, Parameter Uncertainty

29.

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 LLC

Abstract:

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Risk Modeling, Parameter Uncertainty

30.

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:

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