Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the challenging intuition behind multi-factor portfolio returns.
Factors
- A look at implementation shortfalls in factor investing. (papers.ssrn.com)
- Where investors go wrong when it comes to factor investing. (researchaffiliates.com)
- Defining quality, as a factor, depends on who you ask. (morningstar.com)
- Can factor strategies be successfully applied to REITs and MLPs? (factorresearch.com)
Size
- Is there a size effect? Yes and no. (alphaarchitect.com)
- Most investors are unable to invest in micro-caps. (mailchi.mp)
- The SML slopes downward in China. (papers.ssrn.com)
Research
- Michael Mauboussin explores four potential categories of market inefficiencies. (bluemountaincapital.com)
- Trend-following systems can vary in performance depending on whether they use daily or monthly signals. (priceactionlab.com)
- Long backtests do not prevent overfitting. (sr-sv.com)
- Why casino stocks have been relative underperformers among 'sin stocks.' (fortunefinancialadvisors.com)
- A round-up of some recent whitepapers on asset allocation. (allocatesmartly.com)