How asset class returns move in cycles with periods of above-average returns followed by periods of lower returns. How has the rise of passive indexing led to higher stock valuations, and what does that mean for markets?

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Show Notes

The Equity Risk Premium: Nine Myths (JPM Series) by Rob Arnott—Research Affiliates

The Greatest Scourge in Factorland: Revaluation Alpha = Fake Alpha (JPM Series) by Rob Arnott—Research Affiliates

PASSIVE INVESTING AND THE RISE OF MEGA-FIRMS by Hao Jiang, Dimitri Vayanos, and Lu Zheng—NBER

Limits to Diversification: Passive Investing and Market Risk by Lily H. Fang, et al.—SSRN

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