Abnormal Returns

MARCH 26, 2024

advisorperspectives.com) Research Larry Swedroe, "Diversification means accepting the fact that parts of your portfolio may behave entirely differently than the portfolio itself." (mrzepczynski.blogspot.com) Quant stuff It's not difficult to calculate downside beta. mrzepczynski.blogspot.com) Financial data is noisy. Get used to it.

Portfolio 255

Portfolio Assets Investing Investments 255

Abnormal Returns

MARCH 5, 2024

abnormalreturns.com) Research 'Safe equities' as an alternative to bonds. (papers.ssrn.com) Private credit, 101. federalreserve.gov) Quant stuff Why you need to test 'common wisdom.' alphaarchitect.com) The 2024 UBS Global Investment Returns Yearbook is here! papers.ssrn.com) What high yield spreads tell us about momentum crashes.

Retail 242

Retail Portfolio Investing Investments 242

Abnormal Returns

OCTOBER 31, 2023

Factors Why corporate bond factor research is more challenging. papers.ssrn.com) Research Do stocks really become less risky over the long run? papers.ssrn.com) Why do stocks with high idiosyncratic volatility underperform? alphaarchitect.com) Momentum Fund investors are momentum chasers.

Investing 278

Investing Investments Management Marketing 278

Abnormal Returns

APRIL 23, 2024

Research A closer look at hedge fund industry performance. alphaarchitect.com) How to suss out intangible-rich international companies. sparklinecapital.com) Quality and low vol are not synonymous. insights.finominal.com) For generative AI to work in investing it needs the right kind of data, and a lot of it.

Marketing 147

Marketing Marketing Management Investing 147

Abnormal Returns

DECEMBER 5, 2023

wsj.com) Why bond factor research is kind of a mess. bloomberg.com) Research Passive investing is making markets less efficient, but. (caia.org) How to replicate fund performance using index and smart beta funds. insights.finominal.com) Factors What happened to the momentum effect?

Portfolio Management 253

Portfolio Management Assets Taxes Management 253

Abnormal Returns

JANUARY 23, 2024

Research How to model private credit returns, per AQR. institutionalinvestor.com) Another example showing the impact of screening out negative momentum stocks with lottery-like characteristics. alphaarchitect.com) How to build a better low vol strategy. papers.ssrn.com) Bloomberg has built an AI tool to summarize earnings calls.

Assets 265

Assets Marketing Marketing 265

Abnormal Returns

JANUARY 2, 2024

Research Is the stock market predictable? alphaarchitect.com) A round-up of recent research papers including 'We’re Not So Different, High Yield Bonds and Leveraged Loans.' (alphaarchitect.com) A round-up of recent research papers including 'We’re Not So Different, High Yield Bonds and Leveraged Loans.' etf.com)

Investing 231

Investing Investments Marketing Marketing 231

Abnormal Returns

NOVEMBER 14, 2023

institutionalinvestor.com) Research A review of the momentum research, 30 years in. (mrzepczynski.blogspot.com) Private equity Why you should be skeptical of private equity return claims. alphaarchitect.com) Why pension funds change their private equity benchmarks so often.

Management 248

Management 248

Abnormal Returns

APRIL 2, 2024

papers.ssrn.com) Research There is no guarantee of an equity risk premium over reasonable time horizons. alphaarchitect.com) A round-up of recent research white papers including 'Apples and IRRanges: Peeling Back the Challenges of Performance Measurement in Private Markets.' papers.ssrn.com) Understanding options basics.

Management 169

Management Economics Investing Investments 169

Abnormal Returns

JANUARY 9, 2024

ofdollarsanddata.com) Research What factors are appropriate for defensive investors? ERP Does new data put the idea of equity superiority, over bonds, into doubt? morningstar.com) The risks that come along with a 100% U.S. equity portfolio, not least of which are behavioral. alphaarchitect.com) Crowded trades increase crash risks.

Portfolio 239

Portfolio Investing Investments 239

Abnormal Returns

FEBRUARY 20, 2024

institutionalinvestor.com) Research The straightforward case for the low volatility effect. (institutionalinvestor.com) Why private equity managers tilt toward bigger, safer investments. klementoninvesting.substack.com) Elite college endowments have outperformed for one reason - taking on more risk.

Government 204

Government Accounting Assets Investing 204

Abnormal Returns

NOVEMBER 7, 2023

papers.ssrn.com) Quant stuff Research shouldn't happen in a vacuum. bpsandpieces.com) Research Why diversification matters when returns are so skewed. (alphaarchitect.com) Poor ESG scores don't prevent new share issuance. mrzepczynski.blogspot.com) A round-up of recent white papers including 'Japan: The Land of the Rising Profits.'

Retail 238

Retail Media Numbers Portfolio 238

Abnormal Returns

JANUARY 16, 2024

papers.ssrn.com) Research Kai Wu, "Trademarks provide a useful tool for finding strong brands." blogs.cfainstitute.org) A review of recent research on fail-tailed distributions. (papers.ssrn.com) Households How market moves affect household investment behavior. papers.ssrn.com) Do ESG disclosures affect consumer behavior? Only mildly.

Distribution 226

Distribution Media Assets Economics 226

Abnormal Returns

OCTOBER 17, 2023

priceactionlab.com) Research On the corporate bond factor zoo. marginalrevolution.com) A round-up of recent research on market volatility. Trend following The case for medium-term trend signals. mrzepczynski.blogspot.com) The problem with trend following systems: an abundance of parameters. marginalrevolution.com)

Marketing 261

Marketing Marketing 261

Abnormal Returns

NOVEMBER 21, 2023

(mrzepczynski.blogspot.com) A round-up of recent research on return expectations including 'Inflation Expectations and Stock Returns.' papers.ssrn.com) Research The hardest part of 'buy and hold' is holding. capitalspectator.com) Earnings Using AI to suss out future earnings surprises.

Banking 267

Banking Taxes Assets 267

Abnormal Returns

DECEMBER 12, 2023

papers.ssrn.com) Research shows a disadvantage to big VC funds, return-wise. papers.ssrn.com) Research What does the 'risk matters hypothesis' say? Venture capital VC-backed IPOs don't perform better over the long run. investmentecosystem.com) The dispersion in private equity portfolio returns is not unexpected.

Portfolio Management 237

Portfolio Management Retail Assets Portfolio 237

Abnormal Returns

DECEMBER 19, 2023

papers.ssrn.com) Research What would it take to see a repeat of U.S. (tdmgrowthpartners.com) Profit margins are high, debt refinancings are coming. canvas.osam.com) Family firms do a better job of keeping information secret. equity performance in the next decade? aqr.com) Why it's so hard to make money betting against the stock market.

Investing 271

Investing Investments Valuation Retail 271

Abnormal Returns

FEBRUARY 6, 2024

Quant Academic research can inform, but saying it 'proves' something stretches credulity. mathinvestor.org) A round-up of recent research white papers including 'Long-Term Private Equity Performance: 2000 to 2023.' morningstar.com) There are more problems in academic finance than just p-hacking.

Management 201

Management Investing Investments 201

Abnormal Returns

SEPTEMBER 12, 2023

caia.org) Research The stock-bond correlation isn't stable. (thinkadvisor.com) There are different ways to measure fixed income factors. insights.finominal.com) Liquid alts How to replicate managed futures funds. institutionalinvestor.com) The fees on liquid alternative funds are too high.

Management 264

Management Marketing Marketing 264

Abnormal Returns

NOVEMBER 28, 2023

Market timing The research shows how hard it is to find a reliable market timing system. ft.com) Research Another clue why momentum works. papers.ssrn.com) Luck plays a big role in successful market calls. ritholtz.com) Options Beware look ahead bias in option strategy tests.

Marketing 221

Marketing Marketing Investing Investments 221

Abnormal Returns

SEPTEMBER 26, 2023

papers.ssrn.com) Why portfolio managers invest more research into short positions. papers.ssrn.com) Research The structure of the stock market has changed a lot over time, but the results are still largely the same. insights.finominal.com) Research shows high equity market returns post-high VIX levels.

Portfolio Management 213

Portfolio Management Portfolio Management Assets 213

Abnormal Returns

FEBRUARY 27, 2024

Research What factors matter for bond returns? klementoninvesting.substack.com) How to combine top-down and bottom-up aggregate earnings estimates. papers.ssrn.com) Private equity returns are but a guess until all capital is returned. wealthmanagement.com) Why biotech stocks are like lottery tickets.

Ethics 162

Ethics Retirement 162

Abnormal Returns

JANUARY 30, 2024

klementoninvesting.substack.com) Research Are rising interest rates good for factor investors? (papers.ssrn.com) Hard-to-borrow stocks have worse performance. verdadcap.com) Why investors need to know who they are palling around with. ft.com) Earnings yields-real bond yields are historically low right now.

Investing 196

Investing Investments Marketing Marketing 196

Abnormal Returns

SEPTEMBER 5, 2023

Research A closer look at the investment factor. institutionalinvestor.com) A round-up of recent research into financial crises. alphaarchitect.com) Does investment skill transfer across asset classes? papers.ssrn.com) How fee salience helped drive down mutual fund fees. papers.ssrn.com) Why bond momentum has been largely ignored.

Assets 239

Assets Investing Investments 239

Abnormal Returns

SEPTEMBER 19, 2023

klementoninvesting.substack.com) Research What is the relationship between the slope of the yield curve and the stock market? (alphaarchitect.com) ESG leaders have been outperforming the market. bloomberg.com) Behavior How scarcity affects decision making. sciencedaily.com) The marshmallow effect and investment performance.

Banking 271

Banking Portfolio Investing Investments 271

Abnormal Returns

AUGUST 1, 2023

(mrzepczynski.blogspot.com) A round-up of the past month's best research papers including 'Before Index Funds: How Much of the Market Return Could Investors Have Got?' aswathdamodaran.blogspot.com) Research Running regressions is easy. bpsandpieces.com) Global Two trends that could help unlock value in Japan's stock market.

Media 222

Media Investing Investments Management 222

Abnormal Returns

OCTOBER 24, 2023

(fwpwealth.com) Research Research shows the classic short-term reversal effect has steadily weakened over time. papers.ssrn.com) Vanguard research on equity asset location. papers.ssrn.com) How many factors do you need to span the factor zoo? papers.ssrn.com) Market cap and trading volume are imperfectly correlated.

Economics 200

Economics Assets Marketing Marketing 200

Abnormal Returns

AUGUST 29, 2023

Research 15 lessons learned from the quantitative investment research business. papers.ssrn.com) The research on structured notes shows pretty poor results. blog.thinknewfound.com) Should market valuations revert over time? Not necessarily. thediff.co) Is illiquidity a feature or a bug? There are likely errors. nber.org)

Valuation 208

Valuation Investing Investments Marketing 208

Abnormal Returns

OCTOBER 10, 2023

papers.ssrn.com) Research Under what conditions is the stock market more likely to crash. (wsj.com) Global investing Do more honest countries outperform? morningstar.com) The case for international value stocks at present. alphaarchitect.com) How war discourse affects stock market returns.

Portfolio Management 260

Portfolio Management Startup Portfolio Management 260

Abnormal Returns

DECEMBER 13, 2022

linkedin.com) A round-up of recent research on valuation including 'Valuation When Disaster Risks Increase at an Increasing Rate.' lightfinance.blog) Research The index effect is disappearing over time. Quant The CFA Institute has fallen down on the job of advancing industry knowledge.

Valuation 233

Valuation Portfolio Management 233

Abnormal Returns

APRIL 4, 2023

klementoninvesting.substack.com) Research Can you use ChatGPT to backtest a trading strategy? (priceactionlab.com) Diversification Does 1/N diversification work when it comes to factor investing? alphaarchitect.com) The case for equal-weighted portfolios. quantpedia.com) Are 'star analysts' any better at forecasting earnings?

Valuation 237

Valuation Portfolio Investing Investments 237

Abnormal Returns

JULY 25, 2023

papers.ssrn.com) Research It makes total sense that equity market valuations are higher today than in the past. papers.ssrn.com) A round-up of research about forecasting markets. (institutionalinvestor.com) Mutual funds Do mutual funds overvalue their stakes in startups? wsj.com)

Startup 226

Startup Valuation Taxes Accounting 226

Abnormal Returns

JUNE 13, 2023

blogs.cfainstitute.org) Research A lot of factor ETFs actually have exposure to multiple factors. (ft.com) Macro Why equities are an 'imperfect hedge' against inflation. advisorperspectives.com) What happens if you GDP-weight a U.S. stock market index? papers.ssrn.com) Why investors should pay attention to employee turnover.

Retail 233

Retail Economy Investing Investments 233

Abnormal Returns

APRIL 18, 2023

papers.ssrn.com) Research Holding gold comes at a cost. (institutionalinvestor.com) Equity risk premium More evidence that the vast majority of stock market returns come from a handful of stocks. papers.ssrn.com) A new model that derives the equity risk premium from the options markets.

Portfolio 220

Portfolio Investing Investments Marketing 220

Abnormal Returns

DECEMBER 27, 2022

Research A look at the trade-offs of rebalancing frequency. corporate.vanguard.com) How trend following works during different market regimes. quantpedia.com) Why ESG portfolios need to be optimized. blogs.cfainstitute.org) A rave review for Eric Balchunas' book "The Bogle Effect." alphaarchitect.com).

Portfolio 223

Portfolio Marketing Marketing 223

Abnormal Returns

APRIL 25, 2023

papers.ssrn.com) Research Of course quality investors should take intangible assets into account. (klementoninvesting.substack.com) Corporate finance How stock-based compensation became a large majority of executive pay. institutionalinvestor.com) How do social networks affect asset markets?

Assets 219

Assets Accounting Management Marketing 219

Abnormal Returns

DECEMBER 20, 2022

blogs.cfainstitute.org) Research What accounts for big stock price jumps? Managed futures Why trend following works during changing macroeconomic environments. mrzepczynski.blogspot.com) Managed futures work best during periods of market transition. papers.ssrn.com) Why 1/N diversification is hard to beat.

Accounting 224

Accounting Management Assets Marketing 224