Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the ability of LLMs to pass the CFA exams.
Quote of the Day
"The bottom line is that while downside protection ETFs may feel emotionally satisfying to risk-averse investors, in reality, they offer little (if any) more protection than traditional diversifiers like bonds – and they often add more cost and complexity."
(Ben Henry-Moreland)
Quant stuff
- 'A Century of Profitable Trends' by Carlo Zarattini and Gary Antonacci is the winner of the 2025 Charles H. Dow Award. (cmtassociation.org)
- A round-up of recent academic research including 'Bond-Stock Comovements.' (alphainacademia.substack.com)
- A round-up of recent research including 'Rethinking Measures of Sentiment: A New Approach.' (quantseeker.com)
Research
- There are a lot of hidden costs in maintaining so-called passive strategies. (morningstar.com)
- Downside protection ETFs offer limited protection with higher cost and complexity. (kitces.com)
- Has private equity permanently changed the landscape for small cap stocks? (morningstar.com)
- Why the convenience yield on U.S. Treasuries has declined. (nber.org)
- What are the use cases for tokenized investment funds? (libertystreeteconomics.newyorkfed.org)
- A look at gold exposure as a portfolio overlay. (alphaarchitect.com)
- CEOs facing personal scandals are more likely to leave than those facing financial scandals. (theconversation.com)
