Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why stated private equity returns are likely way off.
Quote of the Day
"Portfolio construction says just as much about our beliefs as it does our objective. The choice of mean-variance versus risk-parity versus equal-weight is not just a technical decision: it is one founded deeply in our beliefs about return, volatility, and correlation."
(Corey Hoffstein)
Quant
- How to integrate quantitative and qualitative data in a modern AI system. (blogs.cfainstitute.org)
- Why you can't learn quant trading solely out of a book. (priceactionlab.com)
Research
- Nearly every other asset class or factor has paled in comparison to megacap stocks of late. (alphaarchitect.com)
- On the rise of 'zombie stocks.' (allaboutalpha.com)
- How worried do we need to be about the ubiquity of volatility selling strategies? (alphaarchitect.com)
- How starting yield serves as an anchor for fixed income returns. (blog.thinknewfound.com)
- The long-term case for managed futures. (thehedgefundjournal.com)
- Lifestyle 'shocks' play a bigger role than psychological inclinations in explaining savings regret. (papers.ssrn.com)
- A round-up of some recent pieces on asset allocation. (allocatesmartly.com)
