If you're a baby boomer, you've got a big problem when it comes to the investment returns you can expect in retirement: It's the sheer number of other boomers who are also getting ready to leave the workplace and rely on their portfolios to help pay the bills.

That's the depressing conclusion Robert D. Arnott, a portfolio manager, asset-management executive and inveterate researcher, has come to in more than 20 years of studying demographic trends and financial-market results.

The problem in a nutshell: The ratio of retirees to active workers in the U.S. will balloon. As retirees sell stocks and then bonds to support themselves, there will be fewer younger investors to buy those securities, keeping a lid on prices. Meanwhile, strong demand from boomers and a limited supply of workers will boost the prices of goods and services the boomers need.

Mr. Arnott is the founder and chairman of Research Affiliates LLC in Newport Beach, Calif. He is well known in the fund world as the portfolio manager hired by Pacific Investment Management Co. to run and —as well as for creating fundamental indexes that weight components by measures such as corporate earnings rather than stock-market value.

At age 57, Mr. Arnott's interest in boomers is personal, as well as professional. Here are edited excerpts from a recent discussion: