Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the factor zoo.
Bonds
- Vanguard makes the case for currency-hedged global bond portfolios. (advisors.vanguard.com)
- Cliff Asness of AQR talks about the use of factors in bond investing. (bloomberg.com)
- Why have real interest rates declined since the early 1980's. (ritholtz.com)
Trend-following
- What is the appropriate benchmark for a trend-following strategy? (blog.thinknewfound.com)
- What happens when you add leverage to a trend-following strategy. (blog.thinknewfound.com)
Earnings estimates
- How a quantitative model can help boost earnings estimates. (academicinsightsoninvesting.com)
- When analyst coverage goes away, hedge funds step up their research game. (papers.ssrn.com)
Research links
- Diseconomies of scale are real for hedge funds. (papers.ssrn.com)
- Why does the 'volatility risk premium' or VRP exist? (aqr.com)
- Alpha momentum vs. price momentum: which one works better? (factorresearch.com)
- Surprisingly few shares are available for short selling. (etf.com)
- What you should know about how commodity futures work. (alphaarchitect.com)
- Does the IPO quiet period really help investors? (papers.ssrn.com)
- 'Digital footprints' are equal to or better than FICO scores for assessing creditworthiness. (papers.ssrn.com)
- A review of fund manager selection white papers. (linkedin.com)