Research links: the costs of index replication
Tadas Viskanta
Abnormal Returns
2 days ago
1 MIN READ
Round-ups
- Five new economics papers worth reading including “A Matter of Time? Measuring Effects of Public Schooling Expansions on Families.” (npr.org)
- A round-up of recent research on risk factors including ‘Factoring in the Low-Volatility Factor.’ (capitalspectator.com)
Risk measures
- Volatility is a good proxy for downside risk. (alphaarchitect.com)
- The case for using conditional betas. (mrzepczynski.blogspot.com)
Private assets
- What publicly traded private equity tells us about risk and returns. (mailchi.mp)
- Growth equity are the midcaps of private assets. (larryswedroe.substack.com)
Research
- How large are global financial assets? A visualization. (on.ft.com)
- Why the recent performance of the 60/40 portfolio of late has been unique. (morningstar.com)
- Index replication is not simple nor cheap. Why execution matters. (larryswedroe.substack.com)
- Why the data on active equity fund performance can be misleading. (morningstar.com)
- How stock liquidity affects short term momentum (and reversal). (mrzepczynski.blogspot.com)
- Robin Wigglesworth talks about the future of bond indices with index pioneer Steve Berkley. (ft.com)
- Companies, all around the world, have a more global revenue stream. (morningstar.com)
- Does the popular ‘behavior gap’ actually measure anything? (advisorperspectives.com)
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