Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at how Bitcoin ETPs have performed in practice.
Quote of the Day
"So here’s the question on every investor’s mind: Is concentration bad? Well, bad for who? For portfolio managers, it’s terrible. It’s hard to outperform the index when the largest stocks are leading."
(Michael Batnick)
Concentration
- A look at 200 years of stock market concentration in the U.S. (globalfinancialdata.com)
- "Stock Market Concentration: How Much is Too Much?" by Mauboussin and Callahan. (morganstanley.com)
Trend
- What happens when you stack managed futures trend on top of equities? (caia.org)
- Comparing the diversification benefits of bonds vs. trend following. (insights.finominal.com)
- Should tactical strategies trade on the last day of the month? (allocatesmartly.com)
Alternatives
- How to think about crypto's role in a portfolio. (morningstar.com)
- Does gold actually hedge inflation? (blogs.cfainstitute.org)
Asset pricing
- Procyclical stocks earn higher returns. (nber.org)
- How time horizon should affect equity allocations. (blogs.cfainstitute.org)
- Investors with a sustainability bias should recognize they may experience lower returns. (alphaarchitect.com)
Research
- Private credit returns are not all that. (klementoninvesting.substack.com)
- Quant investors should diversify across strategies. (mrzepczynski.blogspot.com)
- Stocks that are searched for together, move together more. (papers.ssrn.com)
- How investors price extreme heat into stock prices. (papers.ssrn.com)
- Volume matters for portfolio implementation. So it makes sense to forecast it and take it into account. (papers.ssrn.com)
- A review of the research on the impact of social media on finance. (papers.ssrn.com)
- A simple benchmark for discretionary traders. (priceactionlab.com)
- How systemic liquidity issues are a problem for the economy. (papers.ssrn.com)
