Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at record-low trading costs.
Research links
- What fraction of international smart beta is dumb beta? (abwinsights.com)
- Are there capacity limits for smart beta ETFs? (papers.ssrn.com)
- Low vol isn't worth the hassle. (blog.alphaarchitect.com)
- Research shows that low priced stocks are not necessarily cheap. (etf.com)
- When does it make sense to buy put protection? (blog.alphaarchitect.com)
- Does risk-parity maximize risk adjusted returns? (markovprocesses.com)
- A link to all the Q-Group papers from their Fall conference including "Sharpening Your Forecasting Skills" by Michael Mauboussin. (q-group.org)