Rob Arnott

Rob Arnott studied mathematics and economics at UC Santa Barbara and earned an MBA from UCLA Anderson. He has had a distinguished career as a practitioner and academic researcher, serving as editor of the Financial Analysts Journal and as a prominent contributor to quantitative finance research. He founded Research Affiliates in 2002, and in 2005 published research introducing Fundamental Index methodology — a way of weighting index constituents by economic fundamentals (sales, cash flows, dividends, book value) rather than by market capitalisation. The argument was that cap-weighted indices are systematically overweight overvalued stocks and underweight undervalued ones, because they weight stocks proportionally to their market cap — which reflects both fundamental size and mispricing. Fundamental indexing avoids this bias by using fundamental measures of company size. The RAFI (Research Affiliates Fundamental Index) methodology has been widely adopted: ETFs and funds tracking RAFI methodologies now manage over $150 billion globally. Arnott has also published influential research on factor timing — arguing that factors like value can become overvalued or undervalued and that investors can improve returns by adjusting factor exposures based on relative valuations. This "smart beta" research has been influential in the product development of many asset managers.