What risk premium is “normal”?
RD Arnott, PL Bernstein - Financial Analysts Journal, 2002 - Taylor & Francis
The goal of this article is an estimate of the objective forward-looking US equity risk premium
relative to bonds through history—specifically, since 1802. For correct evaluation, such a …
relative to bonds through history—specifically, since 1802. For correct evaluation, such a …
Fundamental indexation
RD Arnott, J Hsu, P Moore - Financial Analysts Journal, 2005 - Taylor & Francis
A trillion-dollar industry is based on investing in or benchmarking to capitalization-weighted
indexes, even though the finance literature rejects the mean–variance efficiency of such …
indexes, even though the finance literature rejects the mean–variance efficiency of such …
Surprise! Higher dividends= higher earnings growth
RD Arnott, CS Asness - Financial Analysts Journal, 2003 - Taylor & Francis
We investigate whether dividend policy, as observed in the payout ratio of the US equity
market portfolio, forecasts future aggregate earnings growth. The historical evidence strongly …
market portfolio, forecasts future aggregate earnings growth. The historical evidence strongly …
Is your alpha big enough to cover its taxes?
RH Jeffrey, RD Arnott - Journal of Portfolio Management, 1993 - search.proquest.com
For many investors, taxes are clearly the largest source of portfolio management inefficiency,
and thus of mediocre investment returns. However, there are trading strategies that can …
and thus of mediocre investment returns. However, there are trading strategies that can …
The measurement and control of trading costs
RD Arnott, WH Wagner - Financial Analysts Journal, 1990 - Taylor & Francis
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 …
have suggested. Trading costs are large enough to merit the focused attention of any …
Reports of value's death may be greatly exaggerated
RD Arnott, CR Harvey, V Kalesnik… - Financial Analysts …, 2021 - Taylor & Francis
Value investing, as defined by the Fama–French high book-to-market minus low book-to-market
(HML) factor, has underperformed growth investing since 2007, producing a drawdown …
(HML) factor, has underperformed growth investing since 2007, producing a drawdown …
Factor momentum
RD Arnott, V Kalesnik… - The Review of Financial …, 2023 - academic.oup.com
Factors display strong cross-sectional momentum that subsumes momentum in industries
and other portfolio characteristics. The profits of all these momentum strategies—based on …
and other portfolio characteristics. The profits of all these momentum strategies—based on …
A backtesting protocol in the era of machine learning
RD Arnott, CR Harvey, H Markowitz - Available at SSRN 3275654, 2018 - papers.ssrn.com
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 …
investment management. As with most quantitative applications in finance, the danger of …
Alice's adventures in factorland: Three blunders that plague factor investing
RD Arnott, CR Harvey, V Kalesnik… - Available at SSRN …, 2019 - papers.ssrn.com
Factor investing has failed to live up to its many promises. Its success is compromised by
three problems that are often underappreciated by investors. First, many investors develop …
three problems that are often underappreciated by investors. First, many investors develop …
How Can'Smart Beta'Go Horribly Wrong?
RD Arnott, N Beck, V Kalesnik… - Available at SSRN …, 2016 - papers.ssrn.com
Factor returns, net of changes in valuation levels, are much lower than recent performance
suggests. Value-add can be structural, and thus reliably repeatable, or situational—a product …
suggests. Value-add can be structural, and thus reliably repeatable, or situational—a product …