Research links: disappointing backtests
Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at...
Quant stuff
- A round-up of recent research including 'Nocturnal Trading.' (alphainacademia.substack.com)
- A round-up of recent research including 'Regimes.' (capitalspectator.com)
Alternatives
- How hedge fund fees eat up alpha. (caia.org)
- Would adding alternatives to 401(k) plans actually move the performance needle? (blogs.cfainstitute.org)
- Researching private and semi-private funds is more complicated. (citywire.com)
Economics
- Competition matters: the case of gas stations. (papers.ssrn.com)
- On the marriage (happiness) premium. (papers.ssrn.com)
Diversity
- How changes to DEI policies affect company risk. (morningstar.com)
- Mixed news for women in portfolio management. (morningstar.com)
Research
- Tracking an index is not costless. (alphaarchitect.com)
- Trend following is great in theory, more difficult in practice. (ofdollarsanddata.com)
- Why simplicity in strategy matters. (mrzepczynski.blogspot.com)
- Long term asset class correlations are not static. (larryswedroe.substack.com)
- Why do investors, despite the evidence, covet dividends? (alphaarchitect.com)
- How nocturnal trading affects price discovery. (papers.ssrn.com)
