Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how often black swans need to appear to make tail-risk strategies profitable.
Quote of the Day
"Quant equity offers investors attractive ways to harvest risk premiums at reasonable cost. But if you manage it like traditional active management -- benchmarking against the market, paying alpha fees for outperformance and dropping managers for underperformance -- you will not only miss the advantages, but likely underperform the market."
(Aaron Brown)
Research links
- Be wary of ETF backtests. (moderninvestor.com)
- Why it is important to optimize returns AFTER taxes. (blog.thinknewfound.com)
- Investors hate downside risk, hence the volatility risk premium. (etf.com)
- On the value of StockTwits sentiment data. (epchan.blogspot.com)
- S&P 500 index options seem to be misvalued. (papers.ssrn.com)
- In defense of behavioral nudges. (papers.ssrn.com)
