Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why so many portfolios are so inefficient.
Quote of the Day
"Know your manager beyond the numbers."(Mark Rzepczynski)
Chart of the Day
Three phases for the US equity risk premium since 1980.
- The math of speculation catches up to just about everyone. (ofdollarsanddata.com)
- Don't confuse factor exposures with skill. (etf.com)
- Don't forget, factors have seasonal tendencies. (factorresearch.com)
- How equity factors have performed in the US and UK post-crisis. (mrzepczynski.blogspot.com)
- How to use principal component analysis (PCA) to calculate portfolio weights. (capitalspectator.com)
- Meb Faber looks back ten years later at his paper "A Quantitative Approach to Tactical Asset Allocation." (mebfaber.com)
- Do Morningstar fund analyst ratings add value? (beta.morningstar.com)