Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why low interest rates (and returns) may be here to stay.
Quote of the Day
"Expecting trend to outperform in a bull market and protect in a down market is like thinking you can stop paying house insurance but still get a payoff when disaster strikes."
(Adam Collins)
Behavior
- Physicians are not much better than their patients at following medical advice. (papers.ssrn.com)
- Some evidence showing that asset allocators are biased when selecting investment managers. (pnas.org)
- There is a real trade-off between complexity and attention costs. (papers.ssrn.com)
- Firstborns (and only children) are more likely to become CEOs. (theatlantic.com)
Quant stuff
- The dangers of data mining in a world of big data and free computation power. (klementoninvesting.substack.com)
- Cone charts do a nice job of visualizing uncertainty. (twocenturies.com)
Factors
- Specification risk is real when it comes to factor investing. (blog.thinknewfound.com)
- It's getting easier to compare factor ETFs based on their exposures. (etf.com)
Long-short
- The drawdown in long-short, multi-factor investing is now a decade long. (factorresearch.com)
- High-conviction short bets tend to outperform lesser positions. (institutionalinvestor.com)
Research
- Most US and global individual stocks do not outperform T-bills. (alphaarchitect.com)
- "There is little evidence to suggest that level changes in PMI provide particular insight into Cyclicals versus Defensives." (blog.thinknewfound.com)
- Risk-parity is a perfect example of investors chasing performance. (twocenturies.com)
- Mutual funds with high unconditional alphas perform worse during down markets. (papers.ssrn.com)
- Evidence for a variance risk premium is pretty strong. (alphaarchitect.com)
- PE managers with more "skin in the game" take less risk. (institutionalinvestor.com)
