Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the challenges of market timing.
Quote of the Day
"Systematic investors are more aware of their reliance on signals, because that's explicitly how they model their process, and that's the level at which they track performance."
(Byrne Hobart)
Active management
- Active investing has a tax problem. (alphaarchitect.com)
- Why the active management space may be bigger than currently measured. (papers.ssrn.com)
Replication
- Managed futures strategies are ripe for replication. (caia.org)
- How to replicate fund performance using index and smart beta funds. (insights.finominal.com)
Factors
- What happened to the momentum effect? (wsj.com)
- Why bond factor research is kind of a mess. (bloomberg.com)
Research
- Passive investing is making markets less efficient, but... (morningstar.com)
- How much more expensive are large cap vs. small caps? (hamiltonlane.com)
- Portfolio managers love to shift blame for underperforming assets. (klementoninvesting.substack.com)
- How the stock market reacts to macroeconomic news depends on prior volatility. (papers.ssrn.com)
- How to best measure investor disagreement. (papers.ssrn.com)
- Hedge fund persistence has waned. (papers.ssrn.com)
- Convenience yield, or why collectibles should have a lower return than traditional financial assets. (papers.ssrn.com)