Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how AI-powered investment strategies have performed of late.
Quote of the day
“It is highly possible that popular trend-following and momentum strategies presented in some books and articles as solutions to the market timing problem are artifacts of data-mining bias due to special conditions in price series that allowed high performance in the past.” – Michael Harris
Ownership lens
- The evidence is pretty strong, out-of-sample, for judging fund managers by the company they keep. (morningstar.com)
- Operationally using the 'ownership lens' measure is not easy. (morningstar.com)
Active management
- Active management has a 'genetic defect', overdiversification. (institutionalinvestor.com)
- Larry Swedroe, "(I)n the face of all the evidence, it is difficult to make the case that active share as a stand-alone characteristic has any predictive value in terms of future risk-adjusted outperformance." (alphaarchitect.com)
- Industry competition killed off any alpha in merger arbitrage. (institutionalinvestor.com)
Research
- Five questions for Nicolas Rabener of FactorResearch around the topic of timing factors. (blog.validea.com)
- It is important to know if your investment strategy is taking on unintended factor bets. (capitalspectator.com)
- How a measure of 'crowded trades' can help forecast bubbles. (alphaarchitect.com)
- Equity income fund performance is even worse on an after-tax basis. (factorresearch.com)
- A summary of some recent papers on portfolio design including looks at the demise of value and timing the low-vol factor. (capitalspectator.com)
