Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how implementing a factor portfolio requires making a whole lot of small decisions.
Quote of the Day
"The lesson here is that if you are considering investing in any factor, you should be prepared to endure long periods of negative premiums and understand the importance of staying disciplined."
(Larry Swedroe)
Research
- Smart beta ETFs don't necessary line up with factors in the academic literature. (factorresearch.com)
- What happens when you apply momentum factors to the corporate bond market. (alphaarchitect.com)
- PE/10 works better in markets that are more diverse from a sector perspective. (fortunefinancialadvisors.com)
- Portfolio optimization is rife with estimation risk. (blog.thinknewfound.com)
- Jeffrey Ptak, 'our research finds that risk-adjusted performance can play a valuable, if oft-overlooked, role in fund selection: It can indicate how much of a fund's return investors are likely to be able to actually capture.…er, eat." (morningstar.com)
- Do firms with female CEOs outperform the market? The answer is yes. (alphaarchitect.com)
- Target-date funds are a blunt instrument for a complex problem. (mathinvestor.org)
- Foreign investors do improve market efficiency. (papers.ssrn.com)
