Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether sin stocks are a distinct return factor.
Quote of the Day
"If US investors could only use one macro indicator to inform their investment decisions, we feel that indicator should be the high-yield spread."
(Dan Rasmussen and Igor Vasilachi)
Chart of the Day
Craig Lazarra, “When returns are skewed, increasing diversity increases the odds of success.”
Quant stuff
- A talk with Cliff Asness, Gene Fama and David Booth. (youtube.com)
- William Goetzmann on the passing of David Swensen. (blogs.cfainstitute.org)
Factors
- Despite a rough decade, value still edges growth. (alphaarchitect.com)
- Despite a comeback, the value spread is still elevated. (robeco.com)
- Why combining value and momentum in a portfolio is interesting. (mrzepczynski.blogspot.com)
Institutional investing
- Institutional investors don't do any better using leveraged ETFs than individuals. (institutionalinvestor.com)
- The endowment model didn't work out for most practitioners. (advisorperspectives.com)
- This class of VC investors tend to outperform. (institutionalinvestor.com)
Research
- Is there anything investors can do to combat low interest rates? (alphaarchitect.com)
- There isn't that much difference between managed futures funds that focus on short-term vs. long-term trends. (insights.factorresearch.com)
- Besides indexers, who still owns tobacco stocks? (papers.ssrn.com)
- Another example of algorithm aversion at play. (klementoninvesting.substack.com)
- How Gamestop ($GME) hype spread from Reddit into the wider world. (wired.com)
- A round-up of some recent research on equity including 'Investor Sentiment, Media and Stock Returns: The Advancement of Social Media.' (capitalspectator.com)
