Research Affiliates: How Can ‘Smart Beta’ Go Horribly Wrong?

February 23, 2016


Amenc, Noël, Lionel Martellini, Jean-Christophe Meyfredi, and Volker Ziemann. 2010. "Passive Hedge Fund Replication: Beyond the Linear Case." European Financial Management, vol. 16, no. 2 (March):191–210.

Amihud, Yakov. 2002. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Financial Markets, vol. 5, no. 2:31–56.

Arnott, Robert D., and Peter L. Bernstein. 2002. "What Risk Premium Is 'Normal'?" Financial Analysts Journal, vol. 58, no. 2 (March/April):64–85.

Arnott, Robert D., Jason Hsu, Vitali Kalesnik, and Phil Tindall. 2013. "The Surprising Alpha from Malkiel's Monkey and Upside-Down Strategies." Journal of Portfolio Management, vol. 39, no. 4 (Summer):91–105.

Arnott, Robert D., Jason Hsu, and Philip Moore. 2005. "Fundamental Indexation." Financial Analysts Journal, vol. 61, no. 2 (March/April):83–99.

Arnott, Robert D., and Engin Kose. 2014. "What 'Smart Beta' Means to Us." Research Affiliates Fundamentals (August).

Arnott, Robert D., and Ronald Ryan. 2000. "The Death of the Risk Premium: Consequences of the 1990s." Investment Management Reflections, No. 1, First Quadrant.

———. 2001. "The Death of the Risk Premium: Consequences of the 1900s." Journal of Portfolio Management, vol. 27, no. 3 (Spring):61–74.

Asness, Clifford S., Jacques A. Friedman, Robert J. Krail, and John M. Liew. 2000. "Style Timing: Value versus Growth." Journal of Portfolio Management, vol. 26, no. 3 (Spring):50–60.

Basu, Sanjoy. 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis." Journal of Finance, vol. 32, no. 3 (June):663–682.

Berk, Jonathan B., and Richard C. Green. 2004. "Mutual Fund Flows and Performance in Rational Markets." Journal of Political Economy, vol. 112, no. 6 (December):1269–1295.

Brightman, Chris, Jim Masturzo, and Noah Beck. 2015. "Are Stocks Overvalued? A Survey of Equity Valuation Models." Research Affiliates Fundamentals (July).

Choueifaty, Yves, and Yves Coignard. 2008. "Toward Maximum Diversification." Journal of Portfolio Management, vol. 35, no. 1 (Fall):40–51.

Cochrane, John. 2011. "Presidential Address: Discount Rates." American Finance Association, July 19.

Cohen, Randolph B., Christopher Polk, and Tuomo Vuolteenaho. 2001. "The Value Spread." NBER Working Paper 8242.

Fama, Eugene, and Kenneth French. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, vol. 33, no. 1:3–56.

Frazzini, Andrea, and Lasse H. Pedersen. 2014. "Betting Against Beta." Journal of Financial Economics, vol. 111, no. 1 (January):1–25.

French, Kenneth R. 2008. "Presidential Address: The Cost of Active Investing." American Finance Association, July 19.

Garcia-Feijóo, Luis, Lawrence Kochard, Rodney N. Sullivan, and Peng Wang. 2015. "Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios." Financial Analysts Journal, vol. 71, no. 3 (May/June):47–60.

Harvey, Campbell R., and Yan Liu. 2015. "Lucky Factors." (December 21). Available on SSRN.

Harvey, Campbell R., Yan Liu, and Heqing Zhu. 2015. "…and the Cross-Section of Expected Returns." (February 3). Available on SSRN.

Hsu, Jason, Vitali Kalesnik, Noah Beck, and Helge Kostka. Forthcoming. "Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs."

Li, Feifei, and Philip Lawton. 2014. "True Grit: The Durable Low Volatility Effect." Research Affiliates Fundamentals (September).

Malkiel, Burton G. 2005. "Reflections on the Efficient Market Hypothesis: 30 Years Later." Financial Review, vol. 40, no. 1 (February):1–9.

Novy-Marx, Robert, and Mihail Velikov. 2014. "A Taxonomy of Anomalies and Their Trading Costs." NBER Working Paper No.w20721 (December). Available at SSRN.

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