Robert D. Arnott

From Wikipedia, the free encyclopedia

Robert D. Arnott (b. 1954) is an American writer and editor, who focuses on articles about quantitative investing. He edited the CFA Institute's Financial Analysts Journal, as well as three other books on equity and asset allocation management.^[1]

Mr. Arnott has also served as a Visiting Professor of Finance at the UCLA Anderson School of Management, on the editorial board of the Journal of Portfolio Management, the product advisory board of the Chicago Mercantile Exchange, and the Chicago Board Options Exchange.^[1] He previously served as Chairman of First Quadrant, LP, as global equity strategist at Salomon (now Salomon Smith Barney), as President of TSA Capital Management (now TSA/Analytic), and as Vice President at The Boston Company (now PanAgora). Mr. Arnott graduated from the University of California in 1977. ^[2]

[edit] Writing

Arnott has published several academic papers, primarily in journals with which he is associated, on the effect of taxation on actively managed mutual fund returns.

2000, "Investment Management Reflections," with Andrew L. Berkin and Jia Le. This paper argued that not only did 75% of actively managed equity mutual funds underperform the Vanguard S&P 500 Index Fund but that after taking into account taxation, 66 out of the 71 mutual funds in the sample underperformed. A later study that looked at the 1990s found that 322 out of 355 mutual funds in the sample underperformed the Vanguard S&P 500 Index Fund after tax.^[3]

2002, "What Risk Premium is 'Normal'?" with Peter Bernstein. This paper argued that much of previous stock market returns had come from price-to-earnings ratio expansion and dividend yields, the former of which is unsustainable and the latter of which is historically low. Therefore, stock market returns will be lower in the long-term than they have historically been.^[4] Arnott and Bernstein were awarded the Graham and Dodd Award for excellence in financial writing for this article.^[5]

2003, "Surprise! Higher Dividends = Higher Earnings Growth," with Cliff Asness. This paper stated that against traditional theory, that the more a public company paid out in dividends, the greater that company's earnings grew. Results were statistically significant and robust with respect to time period and after controlling for the investment-to-GDP ratio, earnings yield, and the slope of the yield curve. ^[6]

2005, "Fundamental Indexation" with Jason Hsu and Phil Moore. This paper introduced the idea of weighting indices by fundamentals instead of capitalization, stating that indices weighted by fundamentals tend to outperform indices weighted by capitalization with similar volatility.^[7] This paper was the recipient of the William F. Sharpe best-index related research paper award. Research Affiliates's fundamentally based indexes won the award for the most innovative benchmark index. ^[8]

[edit] Research Affiliates, LLC

Research Affiliates, LLC

Type	Private company
Founded	Pasadena, California
Headquarters	Pasadena, California
Key people	Robert Arnott, Chairman
Industry	Financial Services
Products	Fundamentally based indexes, Liability matching, Asset allocation
Website	www.rallc.com

In 2002, Arnott founded Research Affiliates, a Pasadena, California-based investment management firm that manages over $19 billion in assets. The firm has been involved with fundamentally based indexes since mid-2004 and has worked with the FTSE Group to create indices based on this methodology. ^[9]

On January 8, 2006, Research Affiliates sold a minority interest in the company to Nomura Asset Management.^[10]