When Do Systematic Strategies Decay? (2022)
This paper investigates the determinants of the performance decay of known investment strategies after their…
Performance Analysis
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Podcast: Interview with legendary finance professor Eugene Fama (Rational Reminder Podcast, 2022)
Gene covers market efficiency, and its competing theories. Also discussed are inflation, cryptocurrencies, and the…
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The Role of Net Income Growth in Explaining Long-Horizon Stock Returns (2022)
This study assesses relations between decade-horizon compound returns to U.S. common stocks and contemporaneous…
150 Years of Return Predictability Around the World: A holistic view across assets (2022)
Using new annual data of 16 developed countries across bond, equity, and housing markets, the authors studies the…
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Strategic Asset Allocation: Beyond mean and variance
This Special Report seeks to identify optimal methods for constructing, evaluating strategic asset…
Attribution Analysis and Risk-Adjusted Returns - getting under the hood
Savvy Investor has curated this list of the top white papers on performance attribution, factor…
Rethinking Portfolio Risk and Performance Attribution - the top papers
These white papers examine portfolio risk and attribution. They cover themes such as:…