Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to build a multi-factor portfolio.
Chart of the Day
The distribution of month stock market returns since 2000.
- Is the low-vol effect a function of leverage constraints or lottery effects? Yes. (papers.ssrn.com)
- Are hedge funds betting against low-vol stocks? (quantpedia.com)
- Who was a better investor: Peter Lynch or Warren Buffett? (blog.alphaarchitect.com)
- On the gap between academic research and investment implementation. (beta.morningstar.com)
- No too bull (or bear) markets are alike. How they break down along four quadrants. (blog.thinknewfound.com)
- How retirement plans have changed the valuation on public equities. (fortunefinancialadvisors.com)
- Hedge funds take advantage of anomalies, unfortunately they capture most of the rents. (etf.com)
- What factors drive currency returns? (etf.com)
- TAA funds are just the worst. (etf.com)
- How to calculate futures rolls. (adamhgrimes.com)
- Some recent papers on portfolio strategy. (capitalspectator.com)