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Research links: micro factors

October 9, 2018

Research links: micro factors

October 9, 2018

Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how Vanguard does factors.

Quant

  • An easy-to-read guide on the many flavors of quant investing. (bloomberg.com)
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  • How the language surrounding data analysis has changed. (mrzepczynski.blogspot.com)
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Diversification

  • Diversification works in theory and in practice...until it doesn't. (alphaarchitect.com)
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  • AQR's most recent research: "It Was the Worst of Times: Diversification During a Century of Drawdowns." (aqr.com)
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  • A round-up of some recent research on asset allocation. (allocatesmartly.com)
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Research

  • Can you use fundamental variables to time equity factors? (alphaarchitect.com)
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  • What factors work best among micro-caps? (factorresearch.com)
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  • Why risk-free rates differ across asset classes. (sr-sv.com)
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  • Public and private firms in the US DO invest differently. (federalreserve.gov)
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More Posts This Week

Monday links: your investing compass
Tuesday links: single indicators

For disclosure information please visit: https://ritholtzwealth.com/blog-disclosures/

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Abnormal Returns, since its launch in 2005, has brought the best of the finance and investment blogosphere to its readers. I am also the Director of Investor Education at Ritholtz Wealth Management LLC. More here.  For disclosure information please see here.

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