Rob Arnott Portfolio
The Rob Arnott Portfolio is associated with Robert Arnott, founder and chairman of Research Affiliates, a quantitative investment management firm known for its work on fundamental indexing and factor-based investing. Arnott has been one of the most prominent advocates of valuation-aware investing and alternative weighting schemes that challenge the conventional market-cap weighting approach. The portfolio associated with his name typically features a globally diversified mix of equities — weighted by fundamental factors rather than market capitalisation — alongside bonds and real assets, reflecting his belief that cap-weighted indices systematically overweight overvalued stocks and underweight undervalued ones.
Investment Philosophy
Arnott's core argument, developed through Research Affiliates' RAFI (Research Affiliates Fundamental Index) methodology, is that weighting stocks by economic fundamentals — such as sales, dividends, cash flow, and book value — rather than by market price produces better long-run returns by systematically leaning toward cheaper stocks and away from overvalued ones. The portfolio also reflects Arnott's long-standing view that non-US equities and emerging markets offer better valuation-adjusted return prospects than the US market during periods when US equities trade at elevated valuations.
Who It's For
This portfolio is appropriate for investors who are drawn to value-oriented and contrarian investing, are comfortable with non-US equity concentration, and have a long enough time horizon to allow valuation-based tilts to play out. It suits investors who are sceptical of plain market-cap-weighted indexing as the optimal passive approach.
Pros
- Fundamental weighting provides systematic exposure to value and contrarian factors
- Global diversification including emerging markets exposure
- Research Affiliates' RAFI methodology is supported by substantial academic and practitioner research
Cons
- Fundamental indexing has underperformed plain cap-weighted indices in certain periods, particularly when growth stocks outperform
- Higher international and emerging markets weighting can introduce currency and geopolitical risk
- Fundamental index funds may carry higher fees than plain market-cap index funds
Signals are available for a curated set of tactical portfolios. This portfolio is not currently covered.
See covered portfoliosarrow_forwardTarget Allocation
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -21.0% | +6.5% | +26.8% |
| 3 Year | -2.6% | +6.2% | +16.3% |
| 5 Year | +1.6% | +6.2% | +11.6% |
| 10 Year | +3.2% | +6.2% | +8.8% |
Growth of $10,000
Historical Drawdown
Percentage decline from the portfolio's peak value at each point in time.
Rolling Returns
Annualised return for each rolling period ending on that date.
Annualised return for each 1Y period ending on that date.
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