Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what happens when a factor gets overcrowded.
Quote of the Day
"But out-of-sample, live money in real portfolios is what matters. Not recognizing the real tolerance our clients have to return streams that can deviate from their long-term averages for very long periods of time isn’t being a good fiduciary, and it isn’t being a good steward."
(Rusty Guinn)
Research links
- Implementing a factor portfolio requires making a bunch of small decisions. (alphaarchitect.com)
- When forming momentum portfolios what is the optimal combination of lookback and holding period? (blog.thinknewfound.com)
- It's hard to find evidence in favor of active management. (etf.com)
- The low-vol factor is "redundant." (alphaarchitect.com)
- Why we really only care about correlations when a tail-risk event occurs. (cfapubs.org)
- On the differences in buyback yields in the US and around the world. (fortunefinancialadvisors.com)
- An example of how you measure things can change the result of a paper. (alphaarchitect.com)
- On the relationship between elevation and risk-taking. (wsj.com)
