Feifei Li

Research Affiliates, LLC

Director, Research

620 Newport Center Dr

Ste 900

Newport Beach, CA 92660

United States

http://researchaffiliates.com/index.htm

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 25,987

SSRN RANKINGS

Top 25,987

in Total Papers Downloads

2,130

SSRN CITATIONS
Rank 18,671

SSRN RANKINGS

Top 18,671

in Total Papers Citations

8

CROSSREF CITATIONS

46

Scholarly Papers (19)

1.

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 1,075 (23,007)
Citation 44

Abstract:

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Asset Pricing, Agency, Institutional Investing, Benchmark

2.

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 401 (84,403)

Abstract:

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low volatility, minimum variance, smart beta, constrained optimization

3.

Intangibles: The Missing Ingredient in Book Value

Number of pages: 31 Posted: 22 Oct 2020 Last Revised: 03 Nov 2020
Feifei Li
Research Affiliates, LLC
Downloads 384 (89,283)
Citation 1

Abstract:

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

4.

Transaction Costs of Factor Investing Strategies

Financial Analysts Journal, Spring 2019, Forthcoming
Number of pages: 40 Posted: 22 Apr 2019
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates, LLC and Bank of Montreal - BMO Global Asset Management
Downloads 268 (131,761)
Citation 2

Abstract:

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

5.

Agency and Institutional Investment

European Financial Management, Vol. 18, Issue 1, pp. 1-27, 2012
Posted: 31 Dec 2011
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Anderson School of Management and Research Affiliates, LLC
Downloads 2 (725,334)
Citation 3
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Abstract:

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portfolio choice, asset pricing, CAPM, institutional investors

6.

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

Journal of Index Investing, vol. 8, no. 4 (Spring 2018)
Posted: 22 May 2019
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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smart beta, multi-factor portfolios, integrating, mixing

7.

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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8.

Low-Volatility Investing

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

Abstract:

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9.

Clairvoyant Discount Rates

Journalof Portfolio Management, Vol. 40, No. 1, Fall 2013
Posted: 08 Feb 2017
Research Affiliates, LLC, Research Affiliates, LLC and Independent

Abstract:

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10.

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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11.

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
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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low volatility, smart beta, minimum variance

12.

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
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, risk factor parity

13.

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
The Capital Group Companies, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, portfolio management

14.

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
The Capital Group Companies, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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risk parity, heuristic

15.

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 and Feifei Li
Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

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Conditional Volatility, Risk Management, Portfolio Choice

16.

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

Abstract:

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

17.

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
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

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Clairvoyant Value, Value Effect, Growth/Value Cycle

18.

Clairvoyant Value and the Value Effect

Journal of Portfolio Management, Vol. 35, No. 3, 2009
Posted: 04 Sep 2008 Last Revised: 30 Dec 2016
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

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Clairvoyant Value, Value Effect

19.

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
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

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Fundamental Index, Valuation-Indifferent Index, Bond Index