Description
April 2015
SIMPLYSTATED
References
Bernstein, Peter L. 2005. Capital Ideas: The Improbable Origins
of Modern Wall Street. Hoboken, NJ: John Wiley & Sons.
Lo, Andrew.
2004. “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective.” Journal of Portfolio Management, vol. 30, no.
5 (30th Anniversary):15–29. Cornell, Bradford, and Jason Hsu. 2015. “The Self-Fulfilling Prophecy of Popular Asset Pricing Models,” Journal of Investment Management (forthcoming). ———.
2005. “Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis.” Journal of Investment Consulting, vol. 7, no.
2:21–44. Fox, Justin. 2009. The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street.
New York: HarperCollins. Osborne, M.F.M. 1959. “Brownian Motion in the Stock Market.” Operations Research, vol.
7, no. 2 (March/ April):145–173. Hsu, Jason. 2014.
“Value Investing: Smart Beta versus Style Indexes,” Journal of Index Investing, vol. 5, no. 1 (Summer):127-135. Simon, Herbert.
1955. “A Behavioral Model of Rational Choice.” Quarterly Journal of Economics, vol. 69, no.
1 (February):99–118. Hsu, Jason C., Vitali Kalesnik, and Brett W. Myers. 2010. “Performance Attribution: Measuring Dynamic Asset Allocation Skill.” Financial Analysts Journal, vol.
66, no. 6 (November/December):17–26. Smith, Vernon L. 2009.
Rationality in Economics: Constructivist and Ecological Forms. Cambridge: Cambridge University Press. Hsu, Jason C., and Omid Shakernia. 2013.
“A Framework for Examining Asset Allocation Alpha.” Journal of Index Investing, vol. 3, no. 4 (Spring):64–72. Hsu, Jason, and Vivek Viswanathan.
2015. “Woe Betide the Value Investor.” Research Affiliates (February). Kahneman, Daniel. 2011.
Thinking, Fast and Slow. New York: Farrar, Strauss, and Giroux. Sullivan, Rodney N., and James X. Xiong.
2012. “How Index Trading Increases Market Vulnerability.” Financial Analysts Journal, vol. 68, no.
2 (March/April):70–84. Svevo, Italo. 2003. Zeno’s Conscience.
Translated by William Weaver. New York: Vintage Books. Zweig, Jason. 2007.
Your Money and Your Brain: How the New Science of Neuroeconomics Can Help Make You Rich. New York: Simon & Schuster. ABOUT THE AUTHOR Philip Lawton is responsible for content marketing. Earlier in his career he was head of the Certificate In Investment Performance Measurement (CIPM®) program at CFA Institute; a vice president at State Street Investment Analytics, where he managed client service for the Independent Consultants Cooperative; a vice president at Citibank, where he was responsible for providing performance measurement reports to U.S.
master trust and custody clients; a second vice president and fixed income portfolio manager at The Travelers; and director of cash flow forecasting and liquidity management at Aetna Life & Casualty. Philip earned his bachelor’s, licentiate, and Ph.D. in philosophy in the French-speaking section of the Catholic University of Louvain, Belgium, and an MBA degree at Northeastern University. The material contained in this document is for information purposes only. This material is not intended as an offer or solicitation for the purchase or sale of any security or financial instrument, nor is it investment advice on any subject matter.
Research Affiliates, LLC and its related entities do not warrant the accuracy of the information provided herein, either expressed or implied, for any particular purpose. By accepting this document you agree to keep its contents confidential. No disclosure may be made to third parties regarding any information contained in this document without the prior permission of Research Affiliates, LLC. The trademarks Fundamental Index™, RAFI™, Research Affiliates Equity™ and the Research Affiliates™ trademark and corporate name and all related logos are the exclusive intellectual property of Research Affiliates, LLC and in some cases are registered trademarks in the U.S.
and other countries. Various features of the Fundamental Index™ methodology, including an accounting data-based non-capitalization data processing system and method for creating and weighting an index of securities, are protected by various patents, and patent-pending intellectual property of Research Affiliates, LLC. (See all applicable US Patents, Patent Publications, Patent Pending intellectual property and protected trademarks located at http:/ /www.researchaffiliates.com/Pages/legal.aspx#d, which are fully incorporated herein.) Any use of these trademarks, logos, patented or patent pending methodologies without the prior written permission of Research Affiliates, LLC, is expressly prohibited. Research Affiliates, LLC, reserves the right to take any and all necessary action to preserve all of its rights, title, and interest in and to these marks, patents or pending patents. The views and opinions expressed are those of the authors and not necessarily those of Research Affiliates, LLC.
The opinions are subject to change without notice. © Research Affiliates, LLC 620 Newport Center Drive, Suite 900 Newport Beach, California 92660 www.researchaffiliates.com .
2004. “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective.” Journal of Portfolio Management, vol. 30, no.
5 (30th Anniversary):15–29. Cornell, Bradford, and Jason Hsu. 2015. “The Self-Fulfilling Prophecy of Popular Asset Pricing Models,” Journal of Investment Management (forthcoming). ———.
2005. “Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis.” Journal of Investment Consulting, vol. 7, no.
2:21–44. Fox, Justin. 2009. The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street.
New York: HarperCollins. Osborne, M.F.M. 1959. “Brownian Motion in the Stock Market.” Operations Research, vol.
7, no. 2 (March/ April):145–173. Hsu, Jason. 2014.
“Value Investing: Smart Beta versus Style Indexes,” Journal of Index Investing, vol. 5, no. 1 (Summer):127-135. Simon, Herbert.
1955. “A Behavioral Model of Rational Choice.” Quarterly Journal of Economics, vol. 69, no.
1 (February):99–118. Hsu, Jason C., Vitali Kalesnik, and Brett W. Myers. 2010. “Performance Attribution: Measuring Dynamic Asset Allocation Skill.” Financial Analysts Journal, vol.
66, no. 6 (November/December):17–26. Smith, Vernon L. 2009.
Rationality in Economics: Constructivist and Ecological Forms. Cambridge: Cambridge University Press. Hsu, Jason C., and Omid Shakernia. 2013.
“A Framework for Examining Asset Allocation Alpha.” Journal of Index Investing, vol. 3, no. 4 (Spring):64–72. Hsu, Jason, and Vivek Viswanathan.
2015. “Woe Betide the Value Investor.” Research Affiliates (February). Kahneman, Daniel. 2011.
Thinking, Fast and Slow. New York: Farrar, Strauss, and Giroux. Sullivan, Rodney N., and James X. Xiong.
2012. “How Index Trading Increases Market Vulnerability.” Financial Analysts Journal, vol. 68, no.
2 (March/April):70–84. Svevo, Italo. 2003. Zeno’s Conscience.
Translated by William Weaver. New York: Vintage Books. Zweig, Jason. 2007.
Your Money and Your Brain: How the New Science of Neuroeconomics Can Help Make You Rich. New York: Simon & Schuster. ABOUT THE AUTHOR Philip Lawton is responsible for content marketing. Earlier in his career he was head of the Certificate In Investment Performance Measurement (CIPM®) program at CFA Institute; a vice president at State Street Investment Analytics, where he managed client service for the Independent Consultants Cooperative; a vice president at Citibank, where he was responsible for providing performance measurement reports to U.S.
master trust and custody clients; a second vice president and fixed income portfolio manager at The Travelers; and director of cash flow forecasting and liquidity management at Aetna Life & Casualty. Philip earned his bachelor’s, licentiate, and Ph.D. in philosophy in the French-speaking section of the Catholic University of Louvain, Belgium, and an MBA degree at Northeastern University. The material contained in this document is for information purposes only. This material is not intended as an offer or solicitation for the purchase or sale of any security or financial instrument, nor is it investment advice on any subject matter.
Research Affiliates, LLC and its related entities do not warrant the accuracy of the information provided herein, either expressed or implied, for any particular purpose. By accepting this document you agree to keep its contents confidential. No disclosure may be made to third parties regarding any information contained in this document without the prior permission of Research Affiliates, LLC. The trademarks Fundamental Index™, RAFI™, Research Affiliates Equity™ and the Research Affiliates™ trademark and corporate name and all related logos are the exclusive intellectual property of Research Affiliates, LLC and in some cases are registered trademarks in the U.S.
and other countries. Various features of the Fundamental Index™ methodology, including an accounting data-based non-capitalization data processing system and method for creating and weighting an index of securities, are protected by various patents, and patent-pending intellectual property of Research Affiliates, LLC. (See all applicable US Patents, Patent Publications, Patent Pending intellectual property and protected trademarks located at http:/ /www.researchaffiliates.com/Pages/legal.aspx#d, which are fully incorporated herein.) Any use of these trademarks, logos, patented or patent pending methodologies without the prior written permission of Research Affiliates, LLC, is expressly prohibited. Research Affiliates, LLC, reserves the right to take any and all necessary action to preserve all of its rights, title, and interest in and to these marks, patents or pending patents. The views and opinions expressed are those of the authors and not necessarily those of Research Affiliates, LLC.
The opinions are subject to change without notice. © Research Affiliates, LLC 620 Newport Center Drive, Suite 900 Newport Beach, California 92660 www.researchaffiliates.com .
