Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at how factors work with bonds.
Quote of the Day
"Public equity markets don’t seem to buy what the private markets are selling."
(Dan Rasmussen)
Chart of the Day
When will passive investing really start to impact market efficiency?
Round-ups
- Five new economics papers worth reading including "A Matter of Time? Measuring Effects of Public Schooling Expansions on Families." (npr.org)
- A round-up of recent research on risk factors including 'Factoring in the Low-Volatility Factor.' (capitalspectator.com)
Risk measures
- Volatility is a good proxy for downside risk. (alphaarchitect.com)
- The case for using conditional betas. (mrzepczynski.blogspot.com)
Private assets
- What publicly traded private equity tells us about risk and returns. (mailchi.mp)
- Growth equity are the midcaps of private assets. (larryswedroe.substack.com)
Research
- How large are global financial assets? A visualization. (on.ft.com)
- Why the recent performance of the 60/40 portfolio of late has been unique. (morningstar.com)
- Index replication is not simple nor cheap. Why execution matters. (larryswedroe.substack.com)
- Why the data on active equity fund performance can be misleading. (morningstar.com)
- How stock liquidity affects short term momentum (and reversal). (mrzepczynski.blogspot.com)
- Robin Wigglesworth talks about the future of bond indices with index pioneer Steve Berkley. (ft.com)
- Companies, all around the world, have a more global revenue stream. (morningstar.com)
- Does the popular 'behavior gap' actually measure anything? (advisorperspectives.com)
