Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at diversifying factors globally.
Quote of the Day
"Investors would be well served to think long and hard about market efficiency versus their internal resources when determining to which asset classes they should - or shouldn't - allocate active risk."
(Christopher Schelling)
Factors
- Five takeaways about implementing factor-based strategies. (alphaarchitect.com)
- How a diversified portfolio of factors could take on the S&P 500. (investresolve.com)
- Factor-wise, dividend yield should be avoided. (factorresearch.com)
- How to measure your factor exposure. (etf.com)
- A handful of factor research paper summaries. (quantpedia.com)
Sponsored link
Career
- How universities fail finance students. (institutionalinvestor.com)
- The state of data science and machine learning. (kaggle.com)
Research
- On the allure of alternative data sources. (blog.thinknewfound.com)
- How to combine TAA strategies in a portfolio. (allocatesmartly.com)
- Relative returns are more predictable than absolute reutrns. (papers.ssrn.com)
- A big deep dive into the must-read 'Replicating Anomalies' paper with its co-author Lu Zhang. (alphaarchitect.com)
- SEC employees are surprisingly good traders. (institutionalinvestor.com)
- Is 'boycott risk' a priced factor? (alphaarchitect.com)
