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Research links: variance drain

May 8, 2018

Research links: variance drain

May 8, 2018

Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the problem of selection bias in finance.

Quote of the Day

"Well-diversified portfolios minimize "variance drain" which contributes to less risk (less volatility) and more gain."

(W. Scott Simon)

Research links

  • How much attention should you pay to the factor wars? (bloomberg.com)
    TweetPocketInstapaper
  • Only a handful of factors stand out in the 'factor zoo.' (papers.ssrn.com)
    TweetPocketInstapaper
  • What 'repeatable market behavior' does your strategy exploit? (mrzepczynski.blogspot.com)
    TweetPocketInstapaper
  • Larry Swedoe, "That is why active management is a loser’s game—the costs of exploiting mispricings are greater than the pricing errors." (etf.com)
    TweetPocketInstapaper
  • Some sell-side analysts are demonstrably better than others. (alphaarchitect.com)
    TweetPocketInstapaper
  • A review of recent research on the equity risk premium. (capitalspectator.com)
    TweetPocketInstapaper

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More Posts This Week

Having enough: the case for donating appreciated securities
Tuesday links: avoiding mistakes

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Abnormal Returns, since its launch in 2005, has brought the best of the finance and investment blogosphere to its readers. I am also the Director of Investor Education at Ritholtz Wealth Management LLC. More here.  For disclosure information please see here.

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