Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what systematic traders do all day at work.
Quote of the Day
"Ensemble methods combine multiple predictive algorithms into one that is potentially more accurate."
(Julie Segal)
Research
- Why you can't rely on full period correlations. (academicinsightsoninvesting.com)
- How portfolio optimization can increase breadth. (investresolve.com)
- How to think about a equity trend strategy. (blog.thinknewfound.com)
- How Vanguard does factors. (advisors.vanguard.com)
- Marketing of actively managed mutual funds has a big impact on AUM. (nber.org)
- What are the necessary components of a risk-management system? (fiduciary-matters.russellinvestments.com)
- How to critically read a backtest. (blog.validea.com)
- A review of recent papers on hedge fund strategies. (linkedin.com)
- A review of what went down at the International Quant Championship organised by WorldQuant. (ft.com)
- What Billy Beane and Jim Chanos have in common. (institutionalinvestor.com)
