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)
Fixed income
- Why are the aggregate bond indices easier bogeys for active managers to beat? (morningstar.com)
- Two explanations for the long-term decline in global safe interest rates. (sr-sv.com)
- A historical look at the first 80 years of the US bond market. (quantpedia.com)
Data
- A heartfelt appreciation for the work of Meb Faber and Wes Gray. (theirrelevantinvestor.com)
- "At the University of California, Berkeley, the fastest-growing class on campus is introduction to data science." (wsj.com)
- Do SumZero analysts get paid according to the quality of their research? (ftalphaville.ft.com)
- Even if a lottery ticket has a positive expected value, should you still play? (elmfunds.com)
Research
- "In this piece, we showed that it's possible to generate alpha within the value factor by shifting its allocation in the direction of stocks with better future earnings outcomes." (osam.com)
- Overly focusing on short-term correlations misses the point of international diversification. (alphaarchitect.com)
- You can introduce fragility into a model with too-simple indicators. (blog.thinknewfound.com)
- Fund capacity should be measure on the margin not at the fund level. (alphaarchitect.com)
- Happy 50th anniversary, put-call parity. (allaboutalpha.com)
