Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether the price-to-book ratio can be fixed.
Quote of the Day
"Every corner of the professional investment industry globally is obsessed with volatility."
(Eric Lonergan)
Momentum
- A look at two centuries of time-series and cross-sectional momentum. (alphaarchitect.com)
- In a low expected return world using trend following strategies to replace bonds makes sense. (blog.thinknewfound.com)
- Trend following works best as broadly diversified as possible. (investresolve.com)
- On the costs of running momentum portfolios in the real world. (alphaarchitect.com)
Asset allocation
- How to increase the tax-efficiency of a dynamic asset allocation strategy. (elmfunds.com)
- Four different portfolio optimization schemes compared. (capitalspectator.com)
- How to use the Keller Ratio for TAA strategies. (allocatesmartly.com)
Research
- How inflation affects various investment factors. (factorresearch.com)
- Good luck trying to select top quintile hedge funds. (ftalphaville.ft.com)
- The ways in which crowdsourced economic estimates are superior to consensus numbers. (papers.ssrn.com)
- Selection bias is rampant in finance. (mathinvestor.org)
- Does higher financial literacy lead to better portfolio performance? (academicinsightsoninvesting.com)