In this paper for the Journal of Portfolio Management, Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow examine the interplay that exists between the Shiller P/E ratio and the macroeconomy.
In this 36-page paper, the authors calculate the factor exposures of selection and weighting (S&W) portfolios and then replicate those factor exposures using the FTSE Russell factor tilt…
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios,…
