Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what happens when an asset class is declared ‘broken.’
Quote of the Day
"Prices impute probabilities. By taking the extra effort to make this explicit we can de-fog our relative value goggles. This improves our decision making in trading and life."
(Kris Abdelmessih)
Quant stuff
- How much are money managers willing to pay for alternative data sets? (institutionalinvestor.com)
- Why comparing two price patterns doesn't really mean anything. (priceactionlab.com)
- A nice review of "Smart(er) Investing: How Academic Insights Propel the Savvy Investor" by Elisabetta Basilico and Tommi Johnsen. (blogs.cfainstitute.org)
Downside protection
- Corey Hoffstein, "In managing risk, there are three primary trade-offs to consider: degree, cost, and certainty." (blog.thinknewfound.com)
- "Tail Risk Hedging: Contrasting Put and Trend Strategies" by Antti Ilman et al. (aqr.com)
- A four-point checklist for discussing downside protection strategies. (mrzepczynski.blogspot.com)
Research
- Equal weighted portfolios simply provide you with exposure to the size and small cap factors (morningstar.com)
- Why investing in the highest Sharpe ratio funds doesn't work. (mrzepczynski.blogspot.com)
- Why low vol failed to much of a buffer during the pandemic. (institutionalinvestor.com)
- Another take on the overnight return anomaly showing it to be profitable after transaction costs. (alphaarchitect.com)
- The evidence on the performance of day traders is not great. (mathinvestor.org)
- Under what circumstances do shareholders react better to lockdowns? (voxeu.org)