Robert D. Arnott

Infobox_Scientist
name = Robert D. Arnott


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residence = U.S.
nationality = U.S.
field = Finance
work_institution = Research Affiliates
alma_mater = University of California at Santa Barbara
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Robert D. Arnott (born 1954) is an American entrepreneur, investor, editor and writer 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.cite web|url=http://www.nareit.com/portfoliomag/07janfeb/capital.shtml|date=January / February 2007|title="Q&A with Rob Arnott" NAREIT - Capital Markets.]

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. He previously served as Chairman of First Quadrant, LP, as global equity strategist at Salomon (now Salomon Smith Barney), president of TSA Capital Management (now TSA/Analytic), and as vice president at the Boston Company. He graduated from the University of California in 1977.

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. [cite web|url=http://www.firstquadrant.com/downloads/The_Management.pdf|year=2000|title=Arnott, Robert. Berkin, Andrew L. Ye, Jia. "The Management and Mismanagement of Taxable Assets." "Investment Management Reflections" No. 2|format=PDF]

* 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. [cite web|url=http://www.cfapubs.org/doi/pdf/10.2469/faj.v58.n2.2524|date=March / April 2002|title=Arnott, Robert D. and Bernstein, Peter L., "What Risk Premium is 'Normal'?" "Financial Analysts Journal", Vol. 58, No. 2: 64-85. (Note: The final page of this report is clearly labeled as an advertisement)] Arnott and Bernstein were awarded the Graham and Dodd Award for excellence in financial writing for this article. [cite web|url=http://www.cfainstitute.org/aboutus/press/release/03releases/03aimr_awards.html|date=June 4, 2003|title=CFA Institute. "Charles Ellis, Ph.D., CFA of Greenwich Associates Receives Prestigious AIMR Award for Professional Excellence"]

* 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. [cite web|url=http://www.researchaffiliates.com/pubs/pdf/FAJ_JanFeb_2003.pdf|date=January / February, 2003|title=Arnott, Robert D. Asness, Clifford S. "Surprise! Higher Dividends = Higher Earnings Growth." "Financial Analysts Journal"|format=PDF]

* 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.cite web|url=http://www.rallc.com/pubs/pdf/fundamentalIndexation.pdf
year=2005|title=Arnott, Robert. Hsu, Jason. Moore, Phil. "Fundamental Indexation." "Financial Analyst Journal". Volume 61. Number 2.|format=PDF] 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. [cite web|url=http://www.financialadvisormagazine.com/past_issues.php?id_content=3&idArticle=1160&source=etf&idPastIssue=106
month=February | year=2006|title=Hougan, Matt. "Is 'Buy the market' Best?" "Financial Advisor".]

Research Affiliates, LLC

In 2002, Arnott founded Research Affiliates, a Pasadena, California-based investment management firm that manages over $25 billion in assets.Fact|date=May 2008 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. [ [http://www.nytimes.com/2007/01/21/business/yourmoney/21etfs.html?pagewanted=print "How to Corral an Index Fund (with a new rope)"] , January 21, 2007, "New York Times"]

On January 8, 2006, Research Affiliates sold a minority interest in the company to Nomura Asset Management.cite web|url=http://biz.yahoo.com/bw/070108/20070108006408.html?.v=1|date=January 8, 2007|title=Research Affiliates Sells Minority Interest to Nomura Asset Management Press Release listed at Yahoo! Finance]

Against Monopoly reported that Arnott recently filed for a patent on a method for a stock index fund based on certain fundamental measures such as revenue, cash flow, and other business indicators. Techdirt analyst Michael Masnick has openly questioned the patent's validity and criticized Arnott for filing the patent. cite web|url=http://www.techdirt.com/articles/20080517/1655051151.shtml|date=May 21, 2008|title=Patenting a Method for Creating an Index Fund

Notes

External links

* [http://www.researchaffiliates.com Research Affiliates]