Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how much insider traders actually make on their illegal trades.
Quant stuff
- Quants dominate the list of the highest paid hedge fund managers. (mathinvestor.org)
- As a quant when it comes to building systems, should you: buy, build or some combination? (cuemacro.com)
- Three things that advanced analytics can't solve. (mrzepczynski.blogspot.com)
- Data scientists are the new rock stars. (allaboutalpha.com)
Research
- There are still few signs that the rise in passive management has made markets less efficient. (etf.com)
- How stock-bond correlations affect risk-parity risk measures. (msci.com)
- "The risk premium puzzle is worse than you think." On housing and equities. (nber.org)
- Why the size premium should persist. (alphaarchitect.com)
- How various factors have performed post-'Black Swan' type events. (factorresearch.com)
- Investor memory is flawed. (papers.ssrn.com)
- A round-up of some recent asset allocation research including a look at a ETF bond rotation strategy. (allocatesmartly.com)
