Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at calculating the right real return target for institutions.
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Factor investing
- How can you tell when a factor stops working? (behaviouralinvestment.com)
- A whitepaper on factor investing and its origins in academic research. (savvyinvestor.net)
Momentum and Trend
- Two centuries of momentum: an overview. (blog.thinknewfound.com)
- Momentum in all things: including factors. (alphaarchitect.com)
- Trend following strategies are not without their own drawbacks. (blog.thinknewfound.com)
Fundamenals
- It's hard to get around the fact that companies that invest the most have lower returns. (alphaarchitect.com)
- The relationship between financial distress and returns is not consistent. (etf.com)
- A three factor model that avoids using accounting data shows strong historical performance. (papers.ssrn.com)
Research
- Vanguard on the state of indexing today. (advisors.vanguard.com)
- Hedge funds that actually access SEC reports demonstrate better performance. (cnbc.com)
- Companies that get comment letters from the SEC during the IPO process price lower. (alphaarchitect.com)
- More on the tax-inefficiency of some TAA strategies. (allocatesmartly.com)
- How long can a good fund underperform its benchmark? (corporate1.morningstar.com)
- A recap from Democratize Quant 2018 including presentation slides. (alphaarchitect.com)
