Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why passive ownership is understated.
Quote of the Day
"Market forecasting is orders of magnitude more difficult than weather forecasting."
(Michael Harris)
Fund selection
- Using maximum drawdown as a fund selection tool. (advisorperspectives.com)
- How do Morningstar's ($MORN) star ratings work in practice? (riabiz.com)
- The performance of active equity mutual fund managers continues to degrade. (morningstar.com)
ETFs
- Sector ETFs by and large underperform the broad market. (papers.ssrn.com)
- ETF issuers need to have a strong online presence. (papers.ssrn.com)
ESG
- Why ESG investors should earn lower returns. (evidenceinvestor.com)
- Green assets don't always earn a premium. (papers.ssrn.com)
Research
- John Rekenthaler, "Alpha is the result of decisions that cannot be captured by any factor model, no matter how intricate the model, because the insight that underlies those decisions has not yet become public knowledge." (morningstar.com)
- Low interest rates didn't drive the growth stock boom. (albertbridgecapital.com)
- Is illiquidity a viable factor? (onveston.substack.com)
- Why you should be skeptical of private equity valuations when firms are fundraising. (institutionalinvestor.com)
- A round-up of recent research on trading costs and market frictions. (capitalspectator.com)