Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the flowering of return factors.
- Two tests for analyzing historical manager track records. (blog.alphaarchitect.com)
- More statistical evidence that high fee funds are a bad bet. (cfapubs.org)
- Quantitative multi-factor investing explained. (gersteinfisher.com)
- Dilution and the performance of minimum variance portfolios. (researchaffiliates.com)
- Some basics on backtesting in Excel. (adamhgrimes.com)
- Common investor biases and where they come from. (doc.research-and-analytics.csfb.com)