Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at cryptocurrency correlations.
Quote of the Day
"In the end, the most important takeaway here is that our economy has changed. And the way we value companies has to change with it."
(Jack Forehand)
ETFs
- Thematic ETFs only get launched when past performance is favorable. (insights.factorresearch.com)
- A look at the math behind the WisdomTree U.S. Efficient Core Fund ($NTSX). (morningstar.com)
- There is a lot going on behind the scenes of the management of bond ETFs. (papers.ssrn.com)
Factors
- Most factors don't do much to hedge inflation. (papers.ssrn.com)
- The low beta anomaly is well-explained by other factors. (caia.org)
- The firm-specific momentum effect has largely disappeared. (papers.ssrn.com)
- Michael and Ben talk with Dan Ariely and Kristof Gleich about building a human capital factor. (awealthofcommonsense.com)
Research
- Manager alpha all boils down to stock selection. (institutionalinvestor.com)
- Antti Ilmanen’s "Investing Amid Low Expected Returns" is a worthy update. (advisorperspectives.com)
- A Bitcoin pricing model based on miner profits. (klementoninvesting.substack.com)
- How the pandemic affecting online retail. (alphaarchitect.com)
- Performing and advice are two separate skills. (journals.sagepub.com)
