Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look why factor picking is the new stock picking.
Quote of the Day
"Commodities aren't an asset class."
(Atul Lele)
Chart of the Day
The stock-bond correlation has a tendency to jump around.
Quant
- Market anomalies have been over-mined. (bloomberg.com)
- Market anomalies fail to replicate at a surprisingly high rate. (marginalrevolution.com)
- Can popularity eliminate factor returns? (etf.com)
- There is a large number of pseudo-quants out there. (financial-math.org)
Membership
Research
- What commodity investing is (and is not) about. (mrzepczynski.blogspot.com)
- Idiosyncratic momentum has a tendency to avoid momentum crashes that affect absolute momentum. (blog.alphaarchitect.com)
- Does the "Magic Formula" work globally? (papers.ssrn.com)
- Sell in May works in theory, but not in practice. (cxoadvisory.com)
