Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to be a smart consumer of social science research.
Quote of the Day
"Many people only use data to feel better about decisions they’ve already made."
(Cassie Kozyrkov)
Momentum
- An attractive feature of the momentum factor is its robustness. (factorresearch.com)
- How momentum strategies can help protect safe withdrawal rates in retirement. (dualmomentum.net)
- How to combine low vol and momentum strategies to create better return streams. (fortunefinancialadvisors.com)
Research
- Summary statistics without an equity curve can be highly misleading. (priceactionlab.com)
- Modeling mean reversion in bond ETF returns. (blog.thinknewfound.com)
- What variance swaps tell us about risk premia? (sr-sv.com)
- It's hard to find evidence of manager persistence in the data. (etf.com)
- Analyzing emojis helps classify social media sentiment. (sciencedirect.com)
- What is 'sequestered capital'? (marginalrevolution.com)
