Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at implementation shortfalls in factor investing.
Quote of the Day
"It does appear that the average returns associated with firms sorted along hedge fund crowdedness exhibit important differences that are not fully explained by extant risk-based factors."
(Gregory Brown, Philip Howard and Christian Lundblad)
Low vol
- Low vol strategies don't require a lot of turnover. (alphaarchitect.com)
- On the subtle differences between low volatility and minimum volatility strategies. (factorresearch.com)
Quant
- Jack Forehand talks with Kevin Zatloukal about the application of machine learning to investing. (blog.validea.com)
- Successful quants are innovators, not data-miners. (twocenturies.com)
Trend following
- Trend following strategies will not catch every wiggle in the markets covered. (blog.thinknewfound.com)
- No matter how you slice it, the past decade for trend following has been disappointing. (alphaarchitect.com)
Research
- The stock-bond correlation and its implications for investors. (deshaw.com)
- On the diversification benefits of factor exposures. (etf.com)
- Some additional evidence for a risk-based argument for the value factor. (etf.com)
- On the relationship between risk-neutral skewness and momentum. (blogs.cfainstitute.org)
- Hedge funds managed by publicly traded firms underperform. (alphaarchitect.com)
- What effect has the BOJ's purchase of equities (ETFs) had on stock prices and corporate actions? (papers.ssrn.com)
- People treat realized gains and realized losses differently when it comes to reinvestment. (papers.ssrn.com)
