Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at time horizon mismatches.
Quote of the Day
"One lesson that has stuck with me is that all financial data, no matter the source, are very noisy. And by noisy, I mean unreliable."
(Allison Schrager)
ETFs
- How the existence of sector ETFs affects analyst estimates. (papers.ssrn.com)
- How mutual funds and ETFs can exist side-by-side. (papers.ssrn.com)
Macro
- Hedging inflation risk is harder than it looks. (insights.finominal.com)
- How do macro factors affect trend following returns? (mrzepczynski.blogspot.com)
Quant stuff
- It's not difficult to calculate downside beta. (mrzepczynski.blogspot.com)
- Financial data is noisy. Get used to it. (advisorperspectives.com)
Research
- Larry Swedroe, "Diversification means accepting the fact that parts of your portfolio may behave entirely differently than the portfolio itself." (alphaarchitect.com)
- Is asset demand becoming less sensitive to interest rates? (papers.ssrn.com)
- Private credit seems to have a lower recovery rate than syndicated loans. (businesstimes.com.sg)
- Water risk matters for muni bond risk and yields. (papers.ssrn.com)
- How neuroticism and openness help explain the propensity to invest in equities. (alphaarchitect.com)