Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether relative skew is a priced factor.
Quote of the Day
"Whether this time is different is very hard to test empirically. It’s always possible that the world changed yesterday in a way that is completely unpredictable and not related to past history."
(Andrea Frazzini)
Chart of the Day

The real price of gold has surged of late. What has changed since it’s last run-up?
Factors
- The factor investing bubble has burst. (klementoninvesting.substack.com)
- Researchers are trying to fix the value factor. (advisorperspectives.com)
Active management
- The realized cost of hedge fund fees is higher than investors realize. (papers.ssrn.com)
- News flash: investment consultants can't picking winning fund managers. (evidenceinvestor.com)
Research
- A deep dive into the shift from public equity to private ownership over time in the US. (morganstanley.com)
- Household equity preference and future equity market returns. (themirandolan.com)
- Hollywood loves sequels, so do markets. "Gold 3: The Return of Inflation Expectations." (abnormalreturns.com)
- How cross-asset signals can help time-series momentum models. (alphaarchitect.com)
- There are a lot of reasons why you wouldn't want to invest in the highest return portfolio. (breakingthemarket.com)