Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the long term case for managed futures.
Quote of the Day
"Strategies like Value or Momentum are like staples that deserve a permanent allocation in investors portfolios. In contrast, other strategies are more like sunscreen, which is mainly used tactically to minimize the risk of getting a sunburn when going to the beach."
(Nicolas Rabener)
Research links
- The global market portfolio is unobservable but we can try to make better estimates. (alphaarchitect.com)
- A closer look at the performance of the S&P 500 Reverse-Weighted index. (exponentialetfs.com)
- Why the 'index effect' has been tamped down. (ft.com)
- Active managers like to purchase stocks they have had prior gains in. (evidenceinvestor.com)
- Negative audit findings provide insiders an opportunity to trade on the news. (papers.ssrn.com)
- An initial look at the performance of private credit-type assets. (etf.com)
- The term premia of CDS have some predictive power for forex. (sr-sv.com)
- When activist investors get involved, bondholders take notice. (papers.ssrn.com)
- Slides from a graduate level course on machine learning in finance. (cxoadvisory.com)
