Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the value of creativity for quants.
Quote of the Day
"Still, if there is dispersion in returns, both good and bad across asset in the portfolio, then the diversification is doing its job. Learn to relax about differences in correlation."
(Mark Rzepczynski)
Trend following
- Does the day of the month matter for TAA strategies? (blog.alphaarchitect.com)
- How big a difference is there between different measures of momentum? (investresolve.com)
- Another look at the long-term evidence on trend following. (papers.ssrn.com)
Alpha
- Even institutional investors have a hard time generating alpha. (etf.com)
- Some research on alpha-generating strategies. (capitalspectator.com)
- When even quant hedge funds have a hard time outperforming. (financial-math.org)
