Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether momentum can ever be ‘rational.’
Quote of the Day
"Investing in hedge funds requires a willing suspension of disbelief in the efficient markets hypothesis."
(Matt Levine)
Research links
- Why momentum is the ultimate factor. (dualmomentum.net)
- Why truly active managers should welcome more indexing. (blog.alphaarchitect.com)
- The continued case for the low vol anomaly. (allaboutalpha.com)
- Why do these options-related strategies create so much performance drag when trying to reduce tail risk? (blog.thinknewfound.com)
- What a hedge fund manager's car says about his risk-profile. (etf.com)
- UITs demonstrate poor selection skills. (etf.com)
- A deeper dive into the so-called 'behavior gap.' (blog.thinknewfound.com)
- How stocks reacted to the Trump election. (papers.ssrn.com)
