Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether classic technical analysis can work.
Quote of the Day
"Evidence based investment professionals should also have a healthy understanding and respect for complex adaptive systems."
(investresolve.com)
Concentration
- Skilled managers SHOULD hold more concentrated portfolios. (institutionalinvestor.com)
- Diversification need not mean own the whole market. (fortunefinancialadvisors.com)
Volatility
- The case for volatility risk premium strategies remains. (etf.com)
- What happens when you combine $VIX signals and trend? (alphaarchitect.com)
- StockTwits sentiment can help identify volatility states. (alphaarchitect.com)
Memberships
- Sign-up for a new Abnormal Returns membership, get cool, exclusive benefits and we will donate 10% of proceeds to charity. (abnormalreturns.com)
- You can now give your favorite people a gift membership to Abnormal Returns. (abnormalreturns.memberful.com)
Commodities
- How to combine commodity return factors into a portfolio. (acfr.aut.ac.nz)
- Financialized commodity futures are no longer the attractive diversifier they used to be. (etf.com)
Research
- How tactical asset allocation strategies performed in September. (allocatesmartly.com)
- Historical returns can be a dangerous shortcut when forecasting returns. (researchaffiliates.com)
- The excess returns of discretionary and quantitative managers are not highly correlated. (aqr.com)
- Active manager performance mean reverts. (academicinsightsoninvesting.com)
- Why factor portfolios should be global in nature. (quantpedia.com)
- When modeling retirement income there are diminishing returns to complexity. (rivershedge.blogspot.com)
- A primer on machine learning for investors. (alphaarchitect.com)
