Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at gender imbalances in the money management business.
Quote of the Day
"Machine learning is a valuable tool to analyse vast data sets . . . But it really is just data mining to find patterns."
(Anthony Lawler, co-head of Gam Systematic)
Momentum
- Momentum is by far and away the highest turnover factor strategy. (factorresearch.com)
- Why trend-following strategies should continue to perform. (etf.com)
Portfolio management
- Life is not a Monte Carlo simulation. Why you need to focus on risk management. (blog.thinknewfound.com)
- Is your alpha big enough to cover your taxes? (researchaffiliates.com)
- Is 5% the right return target for institutional investors? (personal.vanguard.com)
- On the returns to a small cap put-writing strategy. (wisdomtree.com)
Research
- The disposition effect is dependent on the state of overall portfolio gains/losses. (papers.ssrn.com)
- On the damaging effects of overdoing performance measurement. (researchaffiliates.com)
- On the limits of deep learning from financial data. (allaboutalpha.com)
- Women with parents in STEM are more likely to become CFAs. (alphaarchitect.com)
