Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at Buffett’s alpha after you take into account factors.
White papers
- A big Michael Mauboussin piece on the growth of indexing in the bond space. (bluemountaincapital.com)
- AQR research paper on building a systematic macro strategy combining trend and value. (aqr.com)
- Bridgewater white paper on the importance of global diversification. (bridgewater.com)
Factors
- Five factors that plague factor investors. (alphaarchitect.com)
- Factor investing is simple, but not easy. (alphaarchitect.com)
Hedge funds
- How closely can factor replicating portfolios track some big name hedge funds? (allaboutalpha.com)
- Hedge fund skill does seem to be repeatable. (alphaarchitect.com)
Quant
- Why you have to read the actual research paper and not rely on the media to summarize it for you. (morningstar.com)
- The seven reasons most econometric investment models fail. (mathinvestor.org)
