Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out including a look at why momentum works.
Quote of the Day
"Realized historical volatility is often a decent proxy for the true volatility one should have expected in advance. This is why, despite its obvious limitations, mean-variance thinking has persisted in finance throughout the 21st century: what it attempts to capture, it captures well."
(Noah Kreutter)
Crypto
- Contrary to earlier hopes, Bitcoin is now just a risk-on asset. (institutionalinvestor.com)
- On the existence of cross-asset momentum in crypto assets. (papers.ssrn.com)
Research
- The value premium is still pretty wide. (alphaarchitect.com)
- The presence of smart beta investors reduces the return to notable factors. (papers.ssrn.com)
- Why 'submergence risk' is a better measure of risk. (papers.ssrn.com)
- How 'investor identity' affects portfolio construction. (papers.ssrn.com)
- The longer the time horizon, the worse active management performs. (advisorperspectives.com)
- Investors really do pay less attention to female fund managers. (alphaarchitect.com)
- A review of "The Enduring Value of Roger Murray" by Paul Johnson and Paul D. Sonkin. (blogs.cfainstitute.org)
