Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Rip Van Winkle Indexing

Robert Arnott, Noah Beck and Vitali Kalesnik
The Journal of Portfolio Management Summer 2015, 41 (4) 50-67; DOI: https://doi.org/10.3905/jpm.2015.41.4.050
Robert Arnott
is the chairman at Research Affiliates, LLC, in Newport Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: arnott@rallc.com
Noah Beck
is a senior researcher for equity research at Research Affiliates, LLC, in Newport Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: beck@rallc.com
Vitali Kalesnik
is a partner and head of equity research at Research Affiliates, LLC, in Newport Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: kalesnik@rallc.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

A simulated portfolio deliberately based on stale price data—a Rip Van Winkle index fund—has both substantially higher performance and lower volatility than a portfolio that uses up-to-date cap weights. This holds true over the past 67 years in the United States and over shorter timespans in the world’s developed and emerging economies. An examination of the term structure of the stale price anomaly demonstrates that, beyond one year (when short-term momentum prevails), the older the data, the better the performance. In addition, a portfolio based on 20-year-old stale prices adds fully one-third as much risk-adjusted alpha as a hypothetical portfolio based on 20 years of look-ahead clairvoyance. Stale cap weighting is not a sensible strategy, but it sheds more light on the rather stark inadequacies of weighting a portfolio in proportion to a firm’s current price or market capitalization.

  • © 2015 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 41 (4)
The Journal of Portfolio Management
Vol. 41, Issue 4
Summer 2015
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Rip Van Winkle Indexing
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Rip Van Winkle Indexing
Robert Arnott, Noah Beck, Vitali Kalesnik
The Journal of Portfolio Management Jul 2015, 41 (4) 50-67; DOI: 10.3905/jpm.2015.41.4.050

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Rip Van Winkle Indexing
Robert Arnott, Noah Beck, Vitali Kalesnik
The Journal of Portfolio Management Jul 2015, 41 (4) 50-67; DOI: 10.3905/jpm.2015.41.4.050
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • PREVIOUS LITERATURE
    • RIP VAN WINKLE’S STALE INDEX PORTFOLIO
    • RIP VAN WINKLE AND CLAIRVOYANT INDEX PERFORMANCE
    • ISOLATING THE SOURCES OF RETURN
    • INVESTMENT CHARACTERISTICS OF RIP VAN WINKLE’S PORTFOLIOS
    • TERM STRUCTURE OF RIP VAN WINKLE EXCESS RETURNS
    • ISN’T THIS JUST THE VALUE EFFECT, ALL OVER AGAIN?
    • RIP VAN WINKLE THROUGH THE LENS OF BEHAVIORAL FINANCE
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
  • Editor’s Introduction for 2021 Special Issue on Factor Investing
  • PERSPECTIVES: Seeking Sustainability in American Public Employee Pension Systems
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies