Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the the problem of data-snooping.
Quote of the Day
"Correlations are "living" relationships that change with capital flows, opportunities, structural changes, and market events."
(Mark Rzepczynski)
Commodities
- Commodity futures investing: complicated but worth it. (blog.alphaarchitect.com)
- How to build a better commodity index. (researchaffiliates.com)
Options
Research
- Phi: the hidden variable of performance. (cfainstitute.org)
- Trying to make sense of the factor zoo. (etf.com)
- Is is worth trying to time market factors? (blog.thinknewfound.com)
- How simple momentum can unskew returns. (econompicdata.blogspot.com)
- Sustainable alpha is only sustainable because of persistent behavioral biases. (kitces.com)
- Active management doesn't work any better in international markets. (etf.com)
- Mergers don't on average increase productivity but they do help increase prices. (promarket.org)
