Feifei Li

Research Affiliates, LLC

Director, Research

620 Newport Center Dr

Ste 900

Newport Beach, CA 92660

United States

http://researchaffiliates.com/index.htm

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SCHOLARLY PAPERS

21

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Rank 16,201

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Top 16,201

in Total Papers Downloads

4,334

SSRN CITATIONS
Rank 18,409

SSRN RANKINGS

Top 18,409

in Total Papers Citations

9

CROSSREF CITATIONS

48

Scholarly Papers (21)

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1.

Is Sector-neutrality in Factor Investing a Mistake?

Number of pages: 31 Posted: 10 Nov 2021 Last Revised: 24 Jan 2022
Sina Ehsani, Campbell R. Harvey and Feifei Li
Northern Illinois University, Duke University - Fuqua School of Business and Research Affiliates, LLC
Downloads 1,437 (18,438)

Abstract:

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Sector neutralization, industry factors, equity factors, sector neutral, sector bet, sector tilt, factor zoo, portfolio management, smart beta

2.

Agency and Asset Pricing

Number of pages: 39 Posted: 19 Mar 2008
Michael J. Brennan and Feifei Li
University of California, Los Angeles (UCLA) - Finance Area and Research Affiliates, LLC
Downloads 1,173 (24,843)
Citation 45

Abstract:

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Asset Pricing, Agency, Institutional Investing, Benchmark

3.

Intangibles: The Missing Ingredient in Book Value

Number of pages: 30 Posted: 22 Oct 2020 Last Revised: 29 Apr 2021
Feifei Li
Research Affiliates, LLC
Downloads 925 (35,031)
Citation 6

Abstract:

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Intangibles, value investing, value factor, value premium, R&D, organization capital, knowledge capital, HML, iHML

4.

The Impact of Constraints on Minimum Variance Portfolios

Financial Analysts Journal, vol. 72, no. 2 (March/April 2016)
Number of pages: 20 Posted: 20 Nov 2015 Last Revised: 28 Dec 2016
Tzee-man Chow, Engin Kose and Feifei Li
Research Affiliates, LLC, affiliation not provided to SSRN and Research Affiliates, LLC
Downloads 414 (97,670)

Abstract:

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low volatility, minimum variance, smart beta, constrained optimization

5.

Transaction Costs of Factor Investing Strategies

Financial Analysts Journal, Spring 2019, Forthcoming
Number of pages: 40 Posted: 22 Apr 2019
Feifei Li, Tzee-man Chow, Alex J. Pickard and Yadwinder Garg
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates, LLC and Bank of Montreal - BMO Global Asset Management
Downloads 382 (107,424)
Citation 2

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factor investing, smart beta, transactions costs, implementation costs, implicit market impact cost, market impact cost model, capacity

6.

Agency and Institutional Investment

European Financial Management, Vol. 18, Issue 1, pp. 1-27, 2012
Posted: 31 Dec 2011
Michael J. Brennan, Xiaolong Cheng and Feifei Li
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Anderson School of Management and Research Affiliates, LLC
Downloads 3 (832,954)
Citation 3

Abstract:

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portfolio choice, asset pricing, CAPM, institutional investors

7.

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

Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa The Journal of Portfolio Management QES Special Issue 2022, jpm.2021.1.310; DOI: https://doi.org/10.3905/jpm.2021.1.310
Posted: 19 Mar 2021 Last Revised: 12 Jan 2022
Chris Brightman, Forrest G. 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

Abstract:

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Factor Portfolios, Risk Factors, Characteristics, Covariances

8.

Smart Beta Multi-Factor Construction Methodology: Mixing vs. Integrating

Journal of Index Investing, vol. 8, no. 4 (Spring 2018)
Posted: 22 May 2019
Tzee-man Chow, Feifei Li and Joseph (Yoseop) Shim
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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smart beta, multi-factor portfolios, integrating, mixing

9.

An Investor's Low Volatility Strategy

Journal of Index Investing, vol. 3, no. 4, Spring 2013
Posted: 08 Feb 2017
Feifei Li and Li-Lan Kuo
Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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10.

Low-Volatility Investing

Journal of Index Investing, vol. 4, no. 2, Fall 2013
Posted: 08 Feb 2017
Jason C. Hsu, Jason C. Hsu and Feifei Li
Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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11.

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

Abstract:

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12.

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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13.

A Study of Low Volatility Portfolio Construction Methods

Journal of Portfolio Management, Vol. 40, No. 4, 2014
Posted: 25 Jul 2013 Last Revised: 28 Dec 2016
Tzee-man Chow, Jason C. Hsu, Jason C. Hsu, Li-Lan Kuo and Feifei Li
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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low volatility, smart beta, minimum variance

14.

The Risk in Risk Parity: A Factor-based Analysis of Asset-based Risk Parity

Journal of Investing, Vol. 21, No. 3, Fall 2012, pp. 102-110
Posted: 25 Oct 2012 Last Revised: 28 Dec 2016
Vineer Bhansali, Josh Davis, Graham Rennison, Jason C. Hsu, Jason C. Hsu and Feifei Li
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, risk factor parity

15.

Efficient Algorithms for Computing Risk Parity Portfolio Weights

Journal of Investing, vol. 21, no. 3, Fall 2012, pp. 150-163.
Posted: 26 Jul 2012 Last Revised: 30 Dec 2016
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Feifei Li and Omid Shakernia
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, portfolio management

16.

Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

Journal of Investing, Vol. 20, No. 1, pp. 108-118, Spring 2011
Posted: 27 Aug 2011 Last Revised: 28 Dec 2016
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Feifei Li and Omid Shakernia
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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risk parity, heuristic

17.

Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation

In 'STOCK MARKET VOLATILITY', Chapter 10, pp. 195-208, Greg Gregoriou, ed., Chapman & Hall, 2009
Posted: 20 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu and Feifei Li
Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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Conditional Volatility, Risk Management, Portfolio Choice

18.

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

Abstract:

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

19.

Clairvoyant Value and the Growth/Value Cycle

Journal of Portfolio Management, Vol. 35, No. 4, 2009
Posted: 06 Aug 2009 Last Revised: 29 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, Growth/Value Cycle

20.

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

21.

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