Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why the explanatory effect of currency factors has declined over time.
Quote of the Day
"Investors can skip all the elaborate math and still avoid the pitfalls of taking too much risk by following a few simple rules: avoid a concentrated portfolio and shun leverage. In short, diversify and don’t borrow."
(Victor Haghani and Richard Dewey)
Fund managers
- Did business school education about the EMH affect portfolio manager performance? (klementoninvesting.substack.com)
- More evidence that diverse management teams make for better fund performance. (morningstar.com)
- Greenwashing in the hedge fund space. (advisorperspectives.com)
- What would a 'Turing Test' for managers look like? (mrzepczynski.blogspot.com)
Research
- If volatility clusters, then targeting portfolio volatility makes sense. (alphaarchitect.com)
- A big reason why bank stocks crashed in pandemic: credit line drawdown risk. (papers.ssrn.com)
- Intangible assets are less sensitive to monetary policy. (voxeu.org)
- The problem with portfolio optimizers. (morningstar.com)
- No matter how you slice it, employee turnover is expensive. (klementoninvesting.substack.com)
- Here's a link to that much talked about paper showing a high incidence of tax avoidance among high income Americans. (papers.ssrn.com)
