Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at lumpy factor returns.
Momentum
- Momentum can work for buy-and-hold investors as well. (dualmomentum.net)
- On the challenge of combining value and momentum factors in a portfolio. (blog.thinknewfound.com)
- Why you should combine value and momentum strategies at the portfolio level. (blog.alphaarchitect.com)
Research
- In praise of the 60/40 portfolio. (eranraviv.com)
- More evidence that trading at mutual funds detracts from returns. (etf.com)
- A chapter on the challenge of backtesting from "Adaptive Asset Allocation: Dynamic Portfolios to Profit in Good Times – and Bad."* (gestaltu.com)
- Should North Carolina's state employee pension fund index its equity portfolio? (papers.ssrn.com)
- Hedge funds help keep markets efficient but do little for their investors. (etf.com)
- How skewness explains asset returns. (etf.com)
- A guide to stock price calculations. (quandl.com)