Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how upgrades and downgrades drive corporate bond performance.
Quote of the Day
"You are either a casino or a tourist. So if you claim you can count cards I need to be convinced they are countable."
(Kris Abdelmessih)
Factors
- If you want to be a value investor moving forward you have to come to terms with intangible assets. (blog.validea.com)
- The problem with value: returns don't arrive on a set schedule. (institutionalinvestor.com)
- Are low risk anomalies just compensation for coskewness risk? (mrzepczynski.blogspot.com)
- More evidence in favor of profitability as a unique return factor. (alphaarchitect.com)
- Is a preference for ESG investing messing with valuation signals? (privpapers.ssrn.com)
Portfolio management
- "Custom Indexing may be inevitable on a 5-10 year timeline..." (canvas.osam.com)
- Do we need to be concerned by the inattention to TDF composition, especially for the longest-dated funds? (privpapers.ssrn.com)
- Current pension fund liability-driven models rely too heavily on corporate credit. (institutionalinvestor.com)
Research
- BTM, "Like waves crashing against an ocean cliff, the relentlessness of time simply overwhelms the arithmetic return." (breakingthemarket.com)
- On the process of forecasting corporate bond upgrades and downgrades. (mailchi.mp)
- A reading list of research on the many challenges of engaging in traditional stock picking. (alphaarchitect.com)
- A detailed look at how Vanguard retail clients invest. (personal.vanguard.com)
- A unique history lesson on female shareholders of British railways around 1900. (alphaarchitect.com)
