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.”
Research
- Smart beta ETFs are not all that factor-y. (factorresearch.com)
- A simple explanation for value underperformance. (evidenceinvestor.com)
- Now much does intra-asset rebalancing frequency matter? (ofdollarsanddata.com)
- ETF fee competition has now lowered uniformly lowered fees across the board. (institutionalinvestor.com)
- Social media sentiment does seem to have some value in predicting stock returns. (papers.ssrn.com)
- Big banks are stepping up their research into quantum computing. (ft.com)
