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)
Research links
- 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)
