Research Affiliates encourages a culture of research and publication.  Members of our firm have published articles on a wide range of issues relevant to institutional portfolios and have generated a welcome dialogue in the public arena. Topics range from our newest research and investment strategies to our unique perspective on market analysis and the economy.

The following is a sampling of publications pertaining to our work written by both our members and others outside the firm.

Topics:

• Fundamental Index®
• Tactical Asset Allocation
• Asset Class Studies
  • CDOs
  • Currency
  • Equity
  • Fixed-Income
  • TIPS
• Risk Management, Evaluation, & Attribution
• Market Ineffeciencies & Behavorial Finance
• Other
• Research Affiliates Advisors & Affiliates
  

Fundamental Index®

• Fundamental Indexation
  Robert D. Arnott, Jason Hsu, and Philip Moore. (Mar/Apr 2005). Financial Analysts Journal.
• Disentangling Size and Value
  Robert D. Arnott. (Sep/Oct 2005). Financial Analysts Journal.
• New Frontiers In Index Investing: An Examination of Fundamental Indexation
  Jason C. Hsu and Carmen Campollo. (Jan/Feb 2006). Journal of Indexes.
• Fundamental Indexes: Current and Future Applications
  Robert D. Arnott and John M. West. (Fall 2006). A Guide to Exchange Traded Funds and Indexing Innovations—Fifth Anniversary Issue.
• Cap-Weighted Portfolios are Sub-Optimal Portfolios
  Jason C. Hsu. (Third Quarter 2006). Journal of Investment Management.
• An Overwrought Orthodoxy
  Robert D. Arnott. (Dec 2006). Institutional Investor.
• Accounting-Based Index ETFs and Inefficient Markets
  Jason C. Hsu, Feifei Li, Brett W. Myers, and Julia Zhu. (Fall 2007). Exchange-Traded Funds.
• Noise, CAPM and the Size and Value Effects
  Robert D. Arnott and Jason C. Hsu. (First Quarter 2008). Journal of Investment Management.
• Using Fundamental Index® Strategies to Increase Return, Reduce Risk, and Improve Portfolio Efficiency
  Robert D. Arnott, Bryce Little, and Shane D. Shepherd. (Sep 2008). Research Affiliates Working Paper.
• The Fundamental Debate
  Paul Kaplan vs. Robert Arnott with Larry Siegel moderating. (Jan/Feb 2009). Journal of Indexes.
• Beyond Cap Weight: The Empirical Evidence for a Diversified Beta
  Rob Arnott, Vitali Kalesnik, Paul Moghtader, and Craig Scholl. (Jan/Feb 2010). Journal of Indexes.

Tactical Asset Allocation

• Systematic Asset Allocation
  Robert D. Arnott and James N. von Germeten. (Nov/Dec 1983). Financial Analysts Journal.
• The Pension Sponsor's View of Asset Allocation
  Robert D. Arnott. (Sep/Oct 1985). Financial Analysts Journal.
• Monitoring and Rebalancing the Portfolio
  Robert M. Lovell, Jr., and Robert D. Arnott. (1989). Investment Management Reflections.
• A Disciplined Approach to Global Asset Allocation
  Robert D. Arnott and Roy D. Henriksson. (Mar/Apr 1989). Financial Analysts Journal.
• The Policy Portfolio Problem
  Robert D. Arnott. (Jul/Aug 2004). Financial Analysts Journal.

Asset Class Studies

CDOs

• Valuing Toxic Assets: An Analysis of CDO Equity
  Francis A. Longstaff and Brett Myers (Mar 2009). Working Paper.

Currency

• Tactical Currency Allocation
  Robert D. Arnott and Tan K. Pham (Sep/Oct 1993). Financial Analysts Journal.

Equity

• The Business Cycle and Security Selection
  Robert D. Arnott and William A. Copeland. (Mar/Apr 1985). Financial Analysts Journal.
• A Total Differential Approach to Equity Duration
  Martin L. Leibowitz, Eric H. Sorensen, Robert D. Arnott, and H. Nicholas Hanson. (Sep/Oct 1989). Financial Analysts Journal.
• What Risk Premium is “Normal”?
  Robert D. Arnott and Peter L. Bernstein. (Mar/Apr 2002). Financial Analysts Journal.
• Surprise! Higher Dividends = Higher Earnings Growth
  Robert D. Arnott and Clifford S. Asness. (Jan/Feb 2003). Financial Analysts Journal.
• Dividends and the Three Dwarfs
  Robert D. Arnott. (Mar/Apr 2003). Financial Analysts Journal.
• The Meaning of a Slender Risk Premium
  Robert D. Arnott. (Mar/Apr 2004). Financial Analysts Journal.
• A Synthesis on Stock Momentum
  Bing Han and Jason Hsu. (Dec 2004). Working Paper.
• Dollar Cost Averaging
  Michael J. Brennan, Feifei Li, and Walter N. Torous. (2005). Review of Finance.
• Can Noise Create the Size and Value Effects?
  Robert D. Arnott, Jason C. Hsu, Jun Liu, and Harry Markowitz. (Mar 29, 2008). Research Affiliates Working Paper.
• Executive Compensation and Investor Clientele
  Feifei Li and Avanidhar Subrahmanyam (Jan 2009). Working Paper (forthcoming in the Journal of Corporate Ownership and Control).
• Clairvoyant Value and the Value Effect
  Robert D. Arnott, Feifei Li, and Katrina F. Sherrerd. (Spring 2009). Journal of Portfolio Management.
• Clairvoyant Value II: The Growth/Value Cycle
  Robert D. Arnott, Feifei Li, and Katrina F. Sherrerd. (Summer 2009). Journal of Portfolio Management.
• Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation
  Jason Hsu and Feifei Li. (2009). In Stock Market Volatility (ed. Greg N. Gregoriou): Taylor & Francis Group.
• Predicting the Excess Return and the Volatility of the Excess Return of Value Stocks Over Growth Stocks
  Vivek Viswanathan (August 2009). Research Affiliates Working Paper.
• The Development of the ETF Market in China
  Jason Hsu, Feifei Li, Zhigang Ma, Hongyu Song, and Yaping Pang. (2009). Eighth Annual Guide to Exchange Traded Funds and Indexing Innovations.

Fixed-Income

• A Structural Model of Default Risk
  Jason Hsu, Jesús Saá-Requejo, and Pedro Santa-Clara. (Jan 2005). Working Paper.
• Bonds: Why Bother?
  Robert D. Arnott. (May/June 2009). Journal of Indexes.

TIPS

• The Mystery of Tips
  Robert D. Arnott. (Sep/Oct 2003). Financial Analysts Journal.

Risk Management, Evaluation, & Attribution

• Cluster Analysis and Stock Price Comovement
  Robert D. Arnott. (Nov/Dec 1980). Financial Analysts Journal.
• Cluster Analysis and Manager Selection
  Jeffery V. Bailey and Robert D. Arnott. (Nov/Dec 1986). Financial Analysts Journal.
• The Cost of Portfolio Insurance: Tradeoffs and Choices
  Robert D. Arnott. (Nov/Dec 1987). Financial Analysts Journal.
• Pension Funds: Resisting the Mounting Pressure for a Shift to Conservatism
  Robert D. Arnott and Robert M. Lovell, Jr.. (Nov/Dec 1988). Financial Analysts Journal.
• Managing Investments for the Long Term
  Robert D. Arnott. (Jul/Aug 2003). Financial Analysts Journal.
• What Risk Matters? A Call for Papers!
  Robert D. Arnott. (Sep/Oct 2003). Financial Analysts Journal.
• Is Our Industry Intellectually Lazy?
  Robert D. Arnott. (Jan/Feb 2004). Financial Analysts Journal.
• Risk-Managing the Uncertainty in VaR Model Parameters
  Jason C. Hsu and Vitali Kalesnik. (2009). In The VAR Implementation Handbook (ed. Greg N. Gregoriou): McGraw-Hill Finance & Investing.

Market Inefficiencies & Behavorial Finance

• Prospect Theory and Its Applications in Finance
  Bing Han and Jason Hsu. (Dec 2004). Working Paper.
• What Cost Noise?
  Robert D. Arnott. (Mar/Apr 2005). Financial Analysts Journal.

Other

• The Measurement and Control of Trading Costs
  Robert D. Arnott and Wayne H. Wagner. (Nov/Dec 1990). Financial Analysts Journal.
• Dividends and Dividend Taxation
  Robert D. Arnott. (Jan/Feb 2003). Financial Analysts Journal.
• Demographics and Capital Market Returns
  Robert D. Arnott and Anne Casscells. (Mar/Apr 2003). Financial Analysts Journal.
• Who's Minding the Store?
  Robert D. Arnott. (Nov/Dec 2003). Financial Analysts Journal.
• Ethics and Unintended Consequences
  Robert D. Arnott. (May/Jun 2004). Financial Analysts Journal.
• The Age of Investment Strategy Indices
  Investment Strategy Indices Roundtable. (Jun 2007). Global Pensions.
• Built to Last
  Kathleen M. McBride. (Jan 2008). Investment Advisor.
• Time to Get Back to the Fundamentals
  Jonathan Davis. (Jan 27, 2008). Financial Times.
• Shadow Banks and the Financial Crisis of 2007-2008
  Jason Hsu and Maz Moroz. (2009). Research Affiliates Working Paper.

Research Affiliates Advisors & Affiliates

• Why Market-Valuation-Indifferent Indexing Works
  Jack Treynor. (Sep/Oct 2005). Financial Analysts Journal.
• Investors Do Not Get Paid for Bearing Risk
  Harry Markowitz (Sep 2007)
• Can Stocks Help Mend the Asset and Liability Mismatch?
  Boualem Djehiche and Jonas Rinné. (2009). Scandinavian Actuarial Journal.