Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at diversification potential for statistical arbitrage strategies.
Factors
- A bet on active managers is largely a bet on the size, value and momentum factors. (citywireusa.com)
- "Accounting deficiencies" have played a role in the value effect over time but they do not tell the whole story. (levtheendofaccountingblog.wordpress.com)
- When comparing alpha and beta across funds make sure you are not comparing apples and oranges. (alphaarchitect.com)
- A round-up of recent research on risk factors. (capitalspectator.com)
Return analysis
- A comprehensive overview of 2018 performance for Ivy League endowment funds. (markovprocesses.com)
- More evidence why you can skip over bank-affiliated mutual funds. (etf.com)
Macro
- Inflation has had a big impact on the evolution of the stock-bond correlaiton. (sr-sv.com)
- Demographics is one variable that helps explain the 'safe, real rate.' (papers.ssrn.com)