Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at whether impact investors follow through.
Quote of the Day
"Gold is a pretty safe asset over the horizon of thousands of years, but it does not deliver high returns. If the bull case for bitcoin is that it’s as good as gold, that’s not a great bull case in a world of positive real interest rates."
(Owen Lamont)
Quant stuff
- AI models in finance have an accuracy problem, per Morningstar's ($MORN) CEO. (bloomberg.com)
- Some recent academic research including "Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm." (alphainacademia.substack.com)
- Hire more quants! (klementoninvesting.substack.com)
Economics
- Remote work tends to increase career length. (crr.bc.edu)
- How AI adoption affects firm growth. (larryswedroe.substack.com)
ERP
- Antti Ilmanen, "Academics and practitioners may mean different things when they talk about expected returns." (aqr.com)
- The case for building up equity premium from the bottom up. (alphaarchitect.com)
- How to invest in a low equity risk premium world. (blogs.cfainstitute.org)
Fund management
- The chances of succeeding with a thematic ETF are small. (roberthuebscher.substack.com)
- These fund returns seems too good to be true. (jeffreyptak.substack.com)
- You can now download "A Comprehensive Guide to ETFs (2nd Edition)" by Hill, Kashner and Nadig. (nadig.com)
Gold
- The real price of gold is high. Historically that has not been great for future returns. (researchaffiliates.com)
- There are a lot of assets that depend on your ability to sell them later at a higher price. (acadian-asset.com)
Research
- On the performance of global companies amidst a trade war. (sparklinecapital.com)
- How regulatory arbitrage can become an economic moat. (polymathinvestor.com)
- A new approach to regime detection and factor timing. (alphaarchitect.com)
- Where are you on the gambling-investing spectrum? (epsilontheory.com)
- The case for diversified portfolios. (mailchi.mp)
