Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why the low vol effect is fading.
Quote of the Day
"Low volatility equity ETFs provide investors with valuable building blocks when constructing risk-managed portfolios. Yet, low volatility is not low risk."
(Nathan Faber)
Research links
- Who is the sucker in the active investing game? (econompicdata.blogspot.com)
- Some skepticism about low vol strategies. (capitalspectator.com)
- The momentum anomaly survives transaction costs. (blog.alphaarchitect.com)
- Risk parity allows investors to generate the highest risk/return ratio. (gestaltu.com)
- Investors are easily fooled by headline dividend yields. (etf.com)
- Dividends are irrelevant. Why do we act otherwise? (etf.com)
- Why you shouldn't buy the best-performing funds from the past 3 years. (papers.ssrn.com)
- If your historical database doesn't deal with delistings then it is pretty much worthless. (blog.alphaarchitect.com)
- Should you build your own backtester? (quantstart.com)