Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the case against the S&P 500.
Quote of the Day
“The quant term is kind of useless...It’s a sloppy description, which like ‘hedge fund’ can mean almost anything.”
(Anthony Morris, head of quantitative strategies at Nomura)
Research links
- Equity factor-based investing: a practitioner's guide. (americas.vanguard.com)
- Want positive skewness? Expect lower average returns. (etf.com)
- Why you need to discount the results from smart beta backtests. (researchaffiliates.com)
- The case for unconstrained value investing. (alphaarchitect.com)
- The definitive guide to momentum trading. (signalplot.com)
- How to tell is a fund company is based on competition or cooperation. (papers.ssrn.com)
