Tuesday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to turn an engineer into a quant.
Quote of the Day
"Mr. Sharpe’s arithmetic relies on an assumption that passive investors never trade and simply buy and hold forever. This is an unrealistic assumption that thoughtful market commentators and researchers are now criticizing."
(Wes Gray)
Factors
- Why do we keep using book/market when enterprise value is a better value measure? (blog.alphaarchitect.com)
- Five concerns with the 5-factor model. (papers.ssrn.com)
- Low priced stocks tend to underperform. (etf.com)
- Is variance risk priced? (etf.com)
Portfolio management
- There is a bigger rebalancing bonus for concentrated value and momentum portfolios. (blog.alphaarchitect.com)
- On the relationship between fund turnover and performance. (papers.ssrn.com)
- What risks are diversifiable and what risks aren't. (gestaltu.com)
- TAA success depends in part on asset-class correlations. (blog.thinknewfound.com)
