Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the ’emotional quant curve.’
online pharmacy zithromax for sale no prescription
online pharmacy buy cozaar no insurance with best prices today in the USA
online pharmacy rybelsus over the counter with best prices today in the USA
online pharmacy purchase cellcept no prescription with best prices today in the USA
Quote of the Day
"When data are limited, economic foundations become more important."
(Arnott, Harvey and Markowitz)
Factors
- A look back at the dismal past decade for value strategies. (alphaarchitect.com)
- How have factors performed in China? (factorresearch.com)
Research
- There is no single risk-free rate for all investors and why that matters. (blog.thinknewfound.com)
- It's hard to argue against global diversification, but many still do. (etf.com)
- Research shows the $VIX is a tricky beast: mean-reverting in normal periods, persistent in crises. (sciencedirect.com)
- How to reduce portfolio strategy 'fragility.' (blog.thinknewfound.com)
- In public pension plans the pricing of annuity payment options vary widely. (papers.ssrn.com)
- Is CEO performance persistent across companies? Not so much. (mailchi.mp)
Quant stuff
- "A Backtesting Protocol in the Era of Machine Learning" by Rob Arnott, Campbell Harvey and Harry Markowitz. (researchaffiliates.com)
- Five specific job descriptions in data science. (towardsdatascience.com)
- Shockingly, there is no relationship between sunspot activity and the stock market. (cxoadvisory.com)
