1. Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds by Martijn Cremers (University of Notre Dame), Jon A. Fulkerson (University of Dayton), Timothy B. Riley (University of Arkansas – Department of Finance)
The financial media often portrays academic research as categorically finding little reason to choose active management. That apparent consensus has helped build the ‘conventional wisdom’ that active managers do not create value for their investors, which has fueled the rise of passive management. However, as academic researchers ourselves, we were aware of many studies not aligned with the conventional wisdom. In our paper, we surveyed the literature on active management—focusing primarily on mutual funds—to determine the extent to which the conventional wisdom was supported. Put simply, we found that the conventional wisdom has judged the performance of active managers too harshly. The debate between active and passive is far from settled, but the current evidence shows that active management is more promising for investors than the conventional wisdom claims. — Jon Fulkerson
2. Pulling the Goalie: Hockey and Investment Implications by Clifford S. Asness (AQR Capital Management, LLC), and Aaron Brown (New York University (NYU) – Courant Institute of Mathematical Sciences)
This is a 257-page preview version of a brand new book “151 Trading Strategies”, which provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation , global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students. The book is being published by Palgrave Macmillan, an imprint of Springer Nature.
I got the idea and was inspired to write this book following the success of my paper “101 Formulaic Alphas” (https://ssrn.com/abstract=2701346), which provides explicit formulas – that are also computer source code – for 101 real-life quantitative trading signals (alphas). “151 Trading Strategies” takes this concept to the next level: instead of focusing on quant trading alphas or any particular asset class, it goes across essentially all asset classes and a number of trading styles, so it comes as no surprise that it took almost 9 months to write it. — Zura Kakushadze
4. How a Botched Study Fooled the World About the U.S. Share of Mass Public Shootings: U.S. Rate is Lower than Global Average by John R. Lott (Crime Prevention Research Center)
A paper on mass public shootings by Adam Lankford (2016) has received massive national and international media attention, getting coverage in the New York Times, the Wall Street Journal, plus hundreds of other news outlets spanning at least 35 different countries. Former President Obama regularly cited it when he frequently claimed that the United States is unique in terms of these attacks. Lankford’s claim was that over the 47 years from 1966 to 2012, an enormous amount of the world’s mass public shooters — 31% — occurred in the United States. Lankford attributed this to America’s gun ownership. Lankford claims to have “complete” data on such shooters in 171 countries.
Lankford’s study reported that from 1966 to 2012, there were 90 public mass shooters in the United States and 202 in the rest of world. However, he has neither identified the cases nor their location nor even a complete description on how he put the cases together. Using his definition, we find that Lankford’s data represent a gross undercount of foreign attacks. Our list contains 1,448 attacks and at the very least 3,081 shooters outside the United States over just the last 15 years of the period that Lankford examined. We find at least fifteen times more mass public shooters than Lankford in less than a third the number of years. By our count, the US makes up less than 1.43% of the mass public shooters, 2.11% of their murders, and 2.88% of their attacks. All these are much less than the US’s 4.6% share of the world population. — John R. Lott, Jr., PhD.