Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the effect of indexing on bond portfolio management.
Low vol
- What happens when you 'barbell' low vol and high momentum? (fortunefinancialadvisors.com)
- Low vol strategies do what they say they do. (indexologyblog.com)
Factors
- How the US dollar affects various factor returns. (factorresearch.com)
- "Strike the Right Balance in Multi-Factor Strategy Design" by Li and Shim. (researchaffiliates.com)
Quant stuff
- Why is good statistical design so hard to get right? (mathinvestor.org)
- A round-up of some recent asset allocation papers. (allocatesmartly.com)
- 12 books on factor investing. (twocenturies.com)
Research
- Momentum is not the only tactical allocation strategy. (morningstar.com)
- What is the CAPE good for? (etf.com)
- Investors misprice stocks with high skewness. (papers.ssrn.com)
- The benefits from tax-loss harvesting are overhyped. (alphaarchitect.com)
- The 'perfect withdrawal rate' is highly variable over time. (blog.thinknewfound.com)
- How family wealth affects manager performance. (alphaarchitect.com)
