Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what role high yield bonds should play in a diversified portfolio.
Quote of the Day
On smart beta, “If you can come up with an investment idea that will keep people invested through the bad times — I think it’s a good thing.”
(Harris Nydick)
Alternatives
- New research indicates that the performance of buyout funds largely comes down to the individual portfolio managers making the deals, not the overall private equity firm. (institutionalinvestor.com)
- What an alternative asset? Think Australian water entitlements. (blogs.cfainstitute.org)
- Institutional investors would do better to lever up their core real estate portfolios instead of reaching on high-fee, low quality funds. (institutionalinvestor.com)
Factors
- With the rise of factor strategies, there is a growing number of stocks that are orphaned from these new strategies. (blog.thinknewfound.com)
- Factor-based exposure analysis can get complicated pretty quickly. (factorresearch.com)
Quant stuff
- The barrier to launching a quant fund is growing due to higher data costs and computing needs. (news.efinancialcareers.com)
- Can economic data be used to build reliable trading strategies? (sr-sv.com)
Research
- Why liquidity might be a better proxy for size in the equity markets. (alphaarchitect.com)
- A big OSAM white paper on ESG investing including the the risk of taking unintentional factor bets. (osam.com)
- Bond fund managers misclassify their holdings to make their funds look less risky. (nber.org)
- Stocks are in drawdowns a lot of the time, but managed futures drawdowns don't seem to coincide with them. (rcmalternatives.com)
- In big up years, investors like to sell off loser stocks in December to capture tax losses. (wsj.com)
- Consultants show no evidence of being able to select active managers, but clients still rely on their advice. (academicinsightsoninvesting.com)
- How does insider sentiment line up with the returns to popular anomalies? (alphaarchitect.com)
- Value and momentum seem to work in emerging markets, but implementation costs are high. (factorresearch.com)
