Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether US return factors work in Europe as well.
Chart of the Day
The efficient frontier is collapsing.
- Consistent momentum is better than rapid momentum. (blog.alphaarchitect.com)
- Is the acceleration factor a better way to measure momentum? (capitalspectator.com)
- What matters more valuation or momentum? (econompicdata.blogspot.com)
- Value, as measured by enterprise multiples, works well in international markets. (blog.alphaarchitect.com)
- ETF sponsors launch funds in strategies that have performed well recently. (researchaffiliates.com)
- How to maximize the chances of active fund outperformance. (institutional.vanguard.com)
- Rethinking fund outperformance. (papers.ssrn.com)
- There are two ways to think about hedge funds from a overall portfolio perspective. (dailyalts.com)
- Riskier currencies have not generate higher returns. (etf.com)