Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how transaction costs affect different factor strategies.

Quote of the Day

"In summary, Sharpe’s proposition that active investors should underperform as a group after fees should not be translated to implying that active managers must underperform, given they exist as one sub-group amidst a broad spectrum of active investors."

(Geoff Warren)

Chart of the Day

“No one shows any 30% annualized return backtests with 90% drawdown.”