SUMMARY

  • Research Affiliates has formalized partnerships with key academic thought leaders, including Campbell Harvey and Juhani Linnainmaa, to conduct research and thought leadership with our team, with the aim of informing and improving the methodology and positioning of our strategies.
  • Recent coauthored journal papers span areas of factor investing and applications of quantitative methods, while current research projects include examining the costs to trade various factors, determinants of the time-varying factor performance of value, the impact of equity market cycles on factor strategies, and the decomposition of the drivers of alpha.
  • We view an analysis of beta-adjusted returns (net-of-fee return per unit of U.S. equity beta) as a more relevant approach to assessing the historical performance of the All Asset strategies relative to a heterogeneous – and growing – peer universe.
  • All Asset Fund and All Asset All Authority Fund both exhibit structurally lower equity beta than their peers, which is consistent with their design as portfolio diversifiers.

In this issue, Chris Brightman, chief investment officer of Research Affiliates, discusses how its research partnerships with key academic advisors are critical to informing its methodology and positioning. Brandon Kunz, partner and multi-asset strategist at Research Affiliates, examines the All Asset strategies’ beta-adjusted performance versus peers. As always, their insights are in the context of the PIMCO All Asset and All Asset All Authority funds.

Q: What role do Research Affiliates’ academic advisors, including Cam Harvey and Juhani Linnainmaa, serve in your research efforts? What are some highlights of their research?

Brightman: True to the name of our firm, Research Affiliates has made research the foundation of our investment process and approach. We seek to understand how markets function and how investors behave. We study existing theory and practice, but also challenge conventional wisdom. Our research tests our investment beliefs and informs how we design, implement, and manage strategies. Through our research efforts, we remain committed to our mission: to provide insights and products to the global investment community for the benefit of investors.

Before turning to members of our academic advisory panel, let’s begin with the research and investment team at Research Affiliates. As of 30 September 2019, our research and investment management team includes 41 professionals, over 80% of whom hold a Ph.D., master’s degree, Certified Financial Analyst (CFA) or Financial Risk Manager (FRM) designation. Our researchers make up nearly half of our total staff and have on average 13 years of investment experience. To be sure, we are a research-intensive firm.