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

26

DOWNLOADS
Rank 6,683

SSRN RANKINGS

Top 6,683

in Total Papers Downloads

5,569

CITATIONS
Rank 23,023

SSRN RANKINGS

Top 23,023

in Total Papers Citations

12

Scholarly Papers (26)

1.
Downloads 1,879 ( 6,338)
Citation 9

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 Cornell University
Downloads 1,879 (6,196)
Citation 9

Abstract:

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 Cornell University

Abstract:

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

2.

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 923 (17,363)

Abstract:

alternative indexing, beta selection

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 588 (36,722)
Citation 3

Abstract:

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

Abstract:

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

4.

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

5.

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 451 (43,491)

Abstract:

Performance, Evaluation

6.

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 (80,472)

Abstract:

commodities, futures, expectations hypothesis, term structure

7.

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:

Value Investing, Small Cap, Risk Models, Style Indexes

8.

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:

Risk Modeling, Parameter Uncertainty

9.

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:

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

10.

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

Abstract:

Value at Risk, Parameter Uncertainty

11.

The Optimal Auditing Timing in the Repeated Principal Agent Model

Number of pages: 41 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates LLC
Downloads 112 (206,144)

Abstract:

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

12.

Continuous Time Partnerships with Discrete Events

Number of pages: 47 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates LLC
Downloads 45 (339,386)

Abstract:

Repeated games, Jump Process, Continuous time

13.

Computing Optimal Insurance Contract in Closed System

Number of pages: 13 Posted: 25 Jan 2008
Vitali Kalesnik
Research Affiliates LLC
Downloads 36 (372,009)

Abstract:

Repeated Games, Computation Techniques

14.

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

Number of pages: 55 Posted: 29 Sep 2017
Research Affiliates, LLC, Research Affiliates LLC and USC Marshall School of Business
Downloads 0 (286,429)

Abstract:

Option Prices, Cross-Section, Equity Returns, Options

15.

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 0 (523,147)

Abstract:

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

16.

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 0 (269,115)

Abstract:

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

17.

Why Factor Tilts are Not Smart 'Smart Beta'

Number of pages: 18 Posted: 22 Sep 2017
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC
Downloads 0 (365,007)

Abstract:

smart beta, factor tilts

18.

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 0 (318,915)

Abstract:

smart beta, factor returns

19.

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 0 (269,115)

Abstract:

factor return, factor tilts, smart beta

20.

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 0 (303,087)

Abstract:

smart beta, active timing, factor tilts

21.

Survey of Quality Investing

Number of pages: 34 Posted: 19 May 2017
Jason C. Hsu, Vitali Kalesnik and Engin Kose
Rayliant Global Advisors, Research Affiliates LLC and Research Affiliates, LLC
Downloads 0 (48,592)

Abstract:

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

22.

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 0 (298,088)

Abstract:

Politics Stock Returns

23.

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

Abstract:

24.

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

Abstract:

25.

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 0 (192,191)

Abstract:

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

26.

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