Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the cost of obtaining positive skewness.
Quote of the Day
"AQR Capital Management LLC calculates that black swan events need to happen, on average, at least once every decade for tail-risk strategies to break even. The fund defines such an event as a 20% drop in the S&P 500 in one day."
(Jon Sindreu and Laurence Fletcher)
Research links
- Currently optimized portfolios would skew heavily towards 'weird' asset classes. (blog.thinknewfound.com)
- Tactical asset allocation strategies can be dependent on the day of the month they are executed. (allocatesmartly.com)
- Smart-beta funds are not all that distinctive return-wise. (beta.morningstar.com)
- Short-term momentum and long-term reversals can coexist. (alphaarchitect.com)
- The returns from anomalies often cluster. (quantpedia.com)
- Morningstar fund ratings are limited but point investors toward "cheaper funds that are easier to own..." (beta.morningstar.com)
- Personality traits affect our portfolio choices. (papers.ssrn.com)
- Is there a trade-off between liquidity and efficiency? (bloomberg.com)
