Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the many ways backtests can go bad.
Chart of the Day
“Still, the best-known factors have been too successful for too long for it to be a statistical quirk.”
Trend
- How often does a simple trend following system outperform the standard 60/40 portfolio? (econompicdata.blogspot.com)
- What to expect from TAA strategies during a bear market. (allocatesmartly.com)
- How to avoid three traps of momentum investing. (quantpedia.com)
Oddities
- It's hard to understand just how skewed US companies are size-wise. (crossingwallstreet.com)
- All of the S&P 500's gains since 1993 have occurred while the market was closed overnight. (nytimes.com)
- Why you should select a fund manager who was among the oldest in their school class. (wsj.com)
Research
- A decomposition of low US stock volatility. (fiduciary-matters.russellinvestments.com)
- Factor investing should work in fixed income. (alphaarchitect.com)
- How to leverage a 60/40 portfolio by using ETFs not leverage. (blog.thinknewfound.com)
- A look at a put-write strategy with the Russell 2000. (wisdomtree.com)
- Why focus on the best (or worst) performing sectors when you can buy them both? (wsj.com)
- 10 steps to becoming a better quant. (cxoadvisory.com)
