Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at three applications for trend equity.
Low vol
- Low vol strategies are not high turnover. (alphaarchitect.com)
- On the relationship of a low volatility environment and heightened tail risk. (mrzepczynski.blogspot.com)
Research
- It takes a long time to distinguish skill from luck in manager returns. (blog.thinknewfound.com)
- A deep dive into the historical performance of US-based GARP strategy. (blogs.cfainstitute.org)
- A simple trend model for equities. (marketfox.org)
- Active share isn't a very high power measure of tracking error and active returns. (abwinsights.com)
- Do the returns to various anomalies vary by day of the week? (alphaarchitect.com)
- Traditional tax-loss harvesting is not the only potential tax strategy: on accelerated realization. (elmfunds.com)
- Going way back in time to measure price reversals in commodities. (alphaarchitect.com)