Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at some common myths about backtesting.
Quote of the Day
"In short, most stocks stink. Fortunately, while those wagering on coin flips must take a single path, equity investors can dramatically improve their odds by buying in bundles--that is, by purchasing stock funds that own dozens or even hundreds of securities, rather than just one."
(John Rekenthaler)
Chart of the Day
Stocks deleted from the S&P 500 have a tendency to outperform.
Taxes
- ETF tax efficiency drives a lot of the switch from mutual funds. (privpapers.ssrn.com)
- Why asset location matters. (ofdollarsanddata.com)
Factors
- A look at the performance of a factor momentum strategy. (quantpedia.com)
- The case for the size premium, adjusting for junk. (alphaarchitect.com)
Incentives
- Shockingly, sell-side analysts react to incentives. (klementoninvesting.substack.com)
- Is there a relationship between the use of placement agents and subsequent fund performance? (alphaarchitect.com)
Research
- 2020 was a bad year to override your TAA strategy. (portfoliocharts.com)
- A 'safe haven' showdown: Bitcoin is just like gold, except until it isn't. (papers.ssrn.com)
- How trend following has changed over time. (priceactionlab.com)
- How many HFTs is too many when it comes to market liquidity? (voxeu.org)
- Five lessons from our most downloaded podcasts including why you need to question your own investing beliefs. (blog.validea.com)
- Is the year-end rally really a thing? (systematicindividualinvestor.com)
