Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a new look at the ‘factor zoo.’
Quote of the Day
"Non-traded vehicles always seem to offer investors everything they want and nothing they need."
(Hunter)
Chart of the Day
The U.S. equity market has outperformed foreign markets for decades now.
Quant stuff
- Anomalies exit, but they can degrade quickly. (morningstar.com)
- Got a good quant investing idea? WorldQuant wants you. (msn.com)
Macro
- GDP growth is not a guarantee of stock market success. (mrzepczynski.blogspot.com)
- Europe has a growth problem. (klementoninvesting.substack.com)
Research
- Is AI going to upend factor models? (papers.ssrn.com)
- Calendar-based anomalies are more fiction than fact. (alphaarchitect.com)
- How should we measure, and interpret, long-term market data? (papers.ssrn.com)
- Manager skill is exposed in down markets. (klementoninvesting.substack.com)
- Why did pension funds all boost their exposure to alternatives? (papers.ssrn.com)
- When in doubt, trust local analyst estimates. (papers.ssrn.com)
- Does employee performance follow a Gaussian distribution? (timdellinger.substack.com)
