Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the historical performance of private equity.
Quote of the Day
"As Bogle predicted, strategic-beta shareholders would have earned more money had they attempted to be less clever and instead simply bought a standard US equity index fund."
(John Rekenthaler)
Alpha
- Can skewness help identify outperforming mutual funds? (alphaarchitect.com)
- Is having tomorrow's newspaper today sufficient to make for profitable trades? (papers.ssrn.com)
- A historical estimate of private equity alpha. (papers.ssrn.com)
Bonds
- Treasury market liquidity is centered around month-end. (libertystreeteconomics.newyorkfed.org)
- What happens when the stock-bond correlation declines. (mailchi.mp)
Research
- Maria Konnikova, "A deck of cards has no memory, caring not if you just received a bad beat or not. A coin has no memory of whether it just landed on heads or tails." (mariakonnikova.substack.com)
- The case for direct indexing. (caia.org)
- How Millennium Management strictly manages downside risk. (wsj.com)
- How the well-respected Canada Pension Plan has performed relative to its benchmark. (crr.bc.edu)
- CEOs get a little reflective when they reach a benchmark birthday. (klementoninvesting.substack.com)
- An excerpt from Stephen R. Foerster’s new book "Trailblazers, Heroes, and Crooks: Stories to Make You a Smarter Investor." (blogs.cfainstitute.org)
- A round-up of the past month's white papers including 'Broad Strategic Asset Allocation.' (bpsandpieces.com)
