Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at assessing ‘fake alpha.’
Factors
- Return factors, as constructed, are not beta-neutral. (blog.thinknewfound.com)
- Can you combine factor and sector strategies? (quantpedia.com)
- Why are managers unable to capture, in real-time, returns from the major factors? (dualmomentum.net)
- Return factors are not a free lunch. How to assess their risk under realistic assumptions. (blog.thinknewfound.com)
- The case for the value premium remains strong. (etf.com)
- How factor diversification can help reduce drawdowns. (blog.alphaarchitect.com)
Membership
Research
- A test of “Classical Asset Allocation” strategy from the paper "Momentum and Markowitz: A Golden Combination" shows great promise. (allocatesmartly.com)
- When international diversification doesn't make sense. (blog.alphaarchitect.com)
- An explanation for the asset growth anomaly. (papers.ssrn.com)
- Noise traders prefer low priced stocks. (papers.ssrn.com)
- How activists actually influence company decisions. (papers.ssrn.com)
- Does the 4% retirement withdrawal rate work outside the US? (portfoliocharts.com)