Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the 150-year history of the 60/40 portfolio.
Quote of the Day
"Our key finding is that the state-of-the-art frontier LLMs are able to clear the passing grade on the CFA Level III mock test. And this is the first time, to the best of our knowledge, this is being reported."
(Srikanth Jagabathula)
Quant stuff
- A round-up of recent academic research including 'Are Final Market Prices Sufficient for Information Aggregation? Evidence from Last-Minute Dynamics in Parimutuel Betting.' (alphainacademia.substack.com)
- A round-up of recent research paper including 'Revaluation Alpha.' (quantseeker.com)
- LLMs can now pass Level 3 of the CFA exams. (on.ft.com)
Research
- Why investors invest in strategies with embedded leverage. (aqr.com)
- Do we need to keep parsing and litigating the data on active management? (on.ft.com)
- Private equity is best understood as leveraged, illiquid equity exposure. (papers.ssrn.com)
- This giant pension fund could be swapping the Yale Model for Total Portfolio Approach (TPA). (institutionalinvestor.com)
- Japan's stock market still has plenty of value traps that still need reversing. (mailchi.mp)
- Evidence on the effectivness of share buybacks in the UK. (klementoninvesting.substack.com)
- What happens historically after the Fed cuts rates. (blogs.cfainstitute.org)
- How people respond to increased retirement wealth: they take better care of themselves. (papers.ssrn.com)
