Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at who uses portfolio margin.
Quote of the Day
“I think we may be able to find a grand unified theory of physics at some point, but we’re not going to be able to find a grand unified theory of markets.”
(Peter Shepard)
Volatility
- How to get long volatility without buying any options. (insights.factorresearch.com)
- What we know about volatility clustering. (breakingthemarket.com)
ESG
- How ESG investing has changed over time. (alphaarchitect.com)
- Why ESG investors should optimize their portfolios. (alphaarchitect.com)
Research
- When looking at the data, remember the U.S. has been a historical outlier. (ofdollarsanddata.com)
- Some data in favor of private equity in a 60/40 portfolio. (institutionalinvestor.com)
- Another example of good returns accruing to early adopters. (klementoninvesting.substack.com)
- Research shows buying discretionary deletions from the S&P 500 can earn profits. (fortune.com)
- Is 'active fee' a better way to measure fund costs? (evidenceinvestor.com)
