Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the state of the replication crisis in finance
Quote of the Day
"It’s very fair to worry that a strategy might be arbitraged away once revealed and over-invested in. It’s a whole other thing to just assume it must be the case."
(Cliff Asness)
Replication crisis
- Is there a replication crisis in finance? Yes and no. (alphaarchitect.com)
- Why no one should expect to generate the same returns as a backtest. (aqr.com)
- Finance studies replicate pretty well, thank you. (alphaarchitect.com)
Fund management
- The numbers on repeating outsized fund performance are not great. (savantwealth.com)
- A look at how active mutual fund manager utilize ETFs. (alphaarchitect.com)
- Investors are pretty hands off when it comes to target-date funds, maybe too hands off. (institutionalinvestor.com)
Behavior
- You can't persuade a group without understanding how they think. (mrzepczynski.blogspot.com)
- Investors in private equity have home bias as well. (institutionalinvestor.com)
Research
- The macroeconomy drive the long term correlations between stocks and bonds. (mrzepczynski.blogspot.com)
- The STOCK Act didn't do much to deter insider trading by politicians and staff. (riaintel.com)
- A recap of the Democratize Quant Conference including two presentations on the ETF space. (alphaarchitect.com)
- How to use equity returns to trade currencies. (mrzepczynski.blogspot.com)
