Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the challenges of good statistical design.
Factors
- Using the business cycle to rotate among factors does little for performance. (blog.thinknewfound.com)
- A look at the performance of a model using "volatility, momentum and net buyback yield." (blog.validea.com)
- Tax-management can add significant value to factor strategies. (cfainstitute.org)
- A deep dive into the value factor. (alphaarchitect.com)
Research
- How has a 90/60 portfolio performed over time? (blog.thinknewfound.com)
- Holding onto trend strategies requires a deep reservoir of belief. (rivershedge.blogspot.com)
- There does seem to be a return to credit risk when it comes to sovereign bonds. (ftalphaville.ft.com)
- Different index providers use different definitions of small cap. (morningstar.com)
- Hedge funds don't put forth the same effort in the second half of the year as they do in the first half. (linkedin.com)