… Arnott is chairman of Research Affiliates, LLC. Jason Hsu is director of research at …
Arnott recused himself from any involvement in the refereeing or acceptance process for this …

… Arnott is chairman of First Quadrant, LP, and of Research Affiliates, … Arnott’s appointment as
editor of the Financial … will not keep pace with GDP growth—see Arnott and Bernstein 2002). …

… Arnott and Ryan readily acknowledged that, with a large enough shift in relative valuation
between stocks and bonds, the risk premium could—like the phoenix—come back from the …

… We distinguish between factor tilts and smart beta strategies for reasons outlined in Arnott
… The only exception is the Fundamental Index where, following methodology of Arnott, Hsu, …

Abstract Machine learning offers a set of powerful tools that holds considerable promise for
investment management. As with most quantitative applications in finance, the danger of …

… This facet was demonstrated in Arnott and Ryan and is explored further in this article. …
The negative risk premium that precipitated the writing of "The Death of the Risk Premium" (Arnott …

It is contended that most of the institutional investing community is expecting far higher returns
than are realistic from current market levels. If the constituent parts of equity market returns …

Trading costs are probably not as inexpensive as some believe, nor as expensive as others
have suggested. Trading costs are large enough to merit the focused attention of any …

… We used a block bootstrap simulation following Arnott, Harvey, Kalesnik, and Linnainmaa
(2019) to answer this question. In the simulation, we resampled the value factor returns by …

Factors display strong cross-sectional momentum that subsumes momentum in industries
and other portfolio characteristics. The profits of all these momentum strategies—based on …