Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the macro case for active management.
Quote of the Day
"For long-only “smart beta” and factor portfolios, we often see a focus on what the portfolio holds. While this is important, it is only a piece of the overall picture. Just as important in determining performance relative to a benchmark is what the portfolio does not hold."
(Corey Hoffstein)
Money managers
- A detailed look at the gender breakdown in the asset management industry. (morningstar.com)
- A wrap-up of research on gender diversity in investment management. (linkedin.com)
- Identifying good long-short equity hedge fund managers is likely not worth the effort. (alphaarchitect.com)
- The money management arms of commercial banks are no great shakes. (papers.ssrn.com)
Statistics
- Why you need to take the results of backtests with a big grain of salt. (blogs.wsj.com)
- Machine learning is statistics. (eranraviv.com)
Asset allocation
- The downside of tactical asset allocation strategies: taxes. (allocatesmartly.com)
- Why you can't examine an asset class in isolation: the case of commodities. (etf.com)
Research links
- Share buybacks get far too much credit (and blame) for the goings on in the stock market. (papers.ssrn.com)
- Why the value factor should applied as broadly as possible. (researchaffiliates.com)
- What factors are ETFs harvesting? (investmentsandwealth.org)
- Research shows its is hard to manage downside risk with a formal portfolio risk model. (alphaarchitect.com)
- How monetary regimes affect stock-bond correlations. (etf.com)
- Investor inattention is a main cause of mispricing. (psyfitec.com)
