Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the role of testosterone in risk-taking.
Chart of the Day
Evidence that alternative beta strategies have been overfit.
Research links
- Three academic papers that changed how Wes thinks about investing. (blog.alphaarchitect.com)
- More complex strategies are more at risk of backtest overfitting. (papers.ssrn.com)
- A new four-factor pricing model that seems to work better. (etf.com)
- The case for volatility managed portfolios. (papers.ssrn.com)
- How portfolio construction affects value funds. (blog.alphaarchitect.com)
- How idiosyncratic volatility makes it difficult to correct overpricing. (etf.com)
- Why pension funds are using the wrong discount rate. (focus262.com)
