Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why smart beta funds are overpriced.
Quote of the Day
"Parsimonious models or trading systems are often robust, while overly complex models with too many assumptions are not."
(David Varadi)
Research links
- Has the value premium gone away? (etf.com)
- How does the value stock effect hold up globally? (alphaarchitect.tumblr.com)
- Value is not a savior during a bear market. (advisorperspectives.com)
- What if there is no small cap premium? (awealthofcommonsense.com)
- What if there are no reliable risk factors? (pragcap.com)
- Does active share tell us anything about future fund performance? (etf.com)
- Active share matters less than turnover to fund performance. (blog.alphaarchitect.com)
