Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the tracking error of a trend following strategy.

Quote of the Day

"Relying on one model, and the same signals/factors, is fatal. Over time, signals lose their edge. It may not be caused by drinking too much sake, but you should be prepared for anything…"

(Jamie Catherwood)

Chart of the Day

The investment factor has had a rough couple of decades.