Abstract Monitor

Research evidence excerpt

Abstract Monitor

Macquarie Equity Research

30 June 2026

Quantitative

GlobalAbstract Monitor

Keeping an eye on the latest from academia

Richard John

Key Points Lawson Conomos, CFA

• Macquarie's Academic Abstract Monitor is a monthly report

highlighting academic articles that are most relevant to investors.

• We scan a wide range of academic journals across a variety of subjects KellyKwok RyanCroft, CFA

from finance and accounting, to psychology and applied mathematics.

• Key themes from the academic community in the past month include

Passive vs Active, AI, Style Investing, and Factor Crowding.

Passive vs Active Investing

Passive Flows, Active Woes: Passive Investing and the Decline of Active

Mutual Fund Alpha: This study demonstrates that the rise of passive

investing erodes the alpha of active US mutual fund managers. Passive flows

generate asymmetric price pressures that reverse the traditional positive

relationship between active share and fund performance.

Artificial Intelligence and Machine Learning in Investment Research

The AI and machine learning revolution in financial markets: Machine

learning and generative AI models introduce novel predictors that

outperform traditional style factors by utilising adaptive methodologies like

meta-learning for market regime shifts and leveraging large language models

to unlock insights from unstructured data.

Caution Ahead: Numerical Reasoning and Look-Ahead Bias in AI Models:

Much of the documented outperformance of AI models in financial tasks

is driven by modeling artifacts rather than genuine economic mechanisms,

as commercial LLMs exhibit poor numerical reasoning and significant look-

ahead bias that artificially inflates backtested performance.

Factor Investing and Style Anomalies