Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the fading power of analyst earnings expectations.
Quote of the Day
"We now think of PwC as a low-probability risk factor that investors should think about, especially in cases where the accounting smells creative."(Don Bilson, an analyst at investment research firm Gordon Haskett Research Advisors)
Chart of the Day
Morningstar weighs in on the factor debate.
- Hedge funds downshifted their risk taking post-GFC. (papers.ssrn.com)
- Three trends that held back hedge fund performance over the past decade. (papers.ssrn.com)
- Why the expected return for private equity investments is falling. (papers.ssrn.com)
- Why is the performance of non-core private real estate strategies so poor? (blogs.cfainstitute.org)
- A look at the history of the momentum factor and its basis going forward. (osam.com)
- Is it possible to improve on simple trend following strategies? (alphaarchitect.com)
- Michael Batnick talks with Corey Hoffstein of Newfound Research about the ins and outs of building trend equity strategies. (theirrelevantinvestor.com)
- There is modest evidence of alpha persistence in active fixed income mutual funds. (morningstar.com)
- Outlining some techniques to improve upon simple deep value screens. (alphaarchitect.com)
- There are significant data issues when it comes to studying ESG performance. (quantpedia.com)
- Savvy Investor Awards 2019: The Best White Papers (savvyinvestor.net)