Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out including a look at the case for equal weighted ETFs.
Quote of the Day
"An ensemble of models can be tested backed through time. An ensemble of experts cannot usually be tested or stressed to find how it will react to new situations."
(Mark Rzepczynski)
Pension funds
- University endowments are more likely to invest in funds run by alumni. (papers.ssrn.com)
- Pension funds with more politicians on the board rely more on consultants. (institutionalinvestor.com)
Quant stuff
- This is one big advantage that quantitative investors have over fundamental investors. (mailchi.mp)
- Quant models can help avoid some of the worst downsides of groupthink. (mrzepczynski.blogspot.com)
- There are three types of backtests according to Cliff Asness. (priceactionlab.com)
Media
- What happens to markets when Matt Levine goes on vacation? (papers.ssrn.com)
- Negative words in online headlines drive clicks. (niemanlab.org)
Quant
- Are institutional investors killing off factor returns? (alphaarchitect.com)
- Old economy companies that invest heavily in technology are a sweet spot. (sparklinecapital.com)
- There's a difference between probability and confidence. From "Confidence: Methods to Assess Confidence Under Uncertainty" by Michael Mauboussin and Dan Callahan. (morganstanley.com)
- What short selling data actually matters. (alphaarchitect.com)
- How much does ESG news drive stock prices? (blogs.cfainstitute.org)
