Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the risk of a stock underperforming T-bills.
Quote of the Day
"Factor products that generate several hundreds of basis points of difference in a single year are not a commoditized product, and should not be chosen for investment in because of a few basis points in fees. "(Christopher Meredith)
Chart of the Day
A handful of stocks have created 20% of all stock wealth.
- Factor investing is more art, less science. A review of factor models through time. (blog.alphaarchitect.com)
- How to build a multi-factor smart beta portfolio strategy. (researchaffiliates.com)
- An introduction to algorithmic trading. (robotwealth.com)
- The skills you need to have a career in algorithmic trading. (quantinsti.com)
- Value stocks have a tendency to outperform during market declines. (quantpedia.com)
- Just how connected is volatility across asset classes? (papers.ssrn.com)
- How to measure the performance of a trading strategy. (signalplot.com)
- How survivorship bias happens in real life. (etf.com)
- More responsibility equals worse performance for portfolio managers. (papers.ssrn.com)
- Accounting data-based anomalies are mostly spurious due to data snooping. (papers.ssrn.com)
- When shareholders are distracted managers misbehave. (review.chicagobooth.edu)