… Tzee-man Chow is a research associate and Vitali Kalesnik is vice president at Research
Affiliates, LLC, Newport Beach, California. Jason Hsu is chief investment officer at Research …

Low-volatility investing has attracted considerable interest and substantial assets since the
global financial crisis, but the concept is not new. Minimum variance, one of the most popular …

Equity factor premiums have been extensively researched and documented. Due to rapid
advancements in smart beta product offerings in recent years, exposure to premiums beyond …

Although hidden, the implicit market impact costs of factor investing may substantially erode
a strategy’s expected excess returns. The rebalancing data of a suite of large and long-…

Because of mean reversion, the Shiller cyclically adjusted price/earnings (P/E) ratio is a
powerful predictor of long-horizon capital market returns. Like other valuation metrics, however, …

Optimized minimum-variance strategies tend to have low liquidity; high turnover; high
tracking error; and concentrated stock, sector, and country positions. Minimum-variance index …

… Tzee-man Chow Tzee-man Chow, Research Affiliates, LLC …

Contrary to naïve expectations, we find that moderate rather than rock-bottom levels of
inflation and real interest rates are associated with lofty valuation multiples. Moderate levels …

Increasing interest in sustainable investing means managers are tasked with customizing
portfolios to reflect investors' preferences on social issues, while also maintaining a certain …

Although the cyclically adjusted price/earnings ratio (CAPE), also known as the Schiller P/E,
appears to be a powerful tool for forecasting equity returns over very long periods, it has …