Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at why equity duration matters.
Quote of the Day
"Compounding is the King Kong of wealth creation, but it can be defeated by the Godzilla of limited capacity."
(Owen Lamont)
Chart of the Day
The 60/40 portfolio has had a (relatively) rough few years of late.
Quant stuff
- A round-up of recent academic research including 'Global News Networks and Return Predictability.' (alphainacademia.substack.com)
- The head the Bureau of Labor Statistics should be able to do economics. (keubiko.substack.com)
- The Wharton School is going to start a master’s program in quantitative finance. (bloomberg.com)
Rates
- When the Taylor Rule fit what the Fed was doing, and when it didn't. (papers.ssrn.com)
- Are TIPS a good measure of R-star? (libertystreeteconomics.newyorkfed.org)
Concentration
- Can we measure crowdedness in equity markets? (morningstar.com)
- The case against concentrated portfolios. (mailchi.mp)
Research
- "Holding the market" is not as straightforward as it seems. (acadian-asset.com)
- How equity investors view inflationary shocks. (papers.ssrn.com)
- The case for high volatility trend following strategies. (rcmalternatives.com)
- Does overnight news explain overnight returns? (papers.ssrn.com)
- Why you need to be careful assessing the performance of secondary PE fund returns. (morningstar.com)
- How geopolitical risk affects consumers. (papers.ssrn.com)
- The stock-split effect isn't dead. (papers.ssrn.com)
- Can AI write an analyst report yet? (ft.com)
