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.’
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)