Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the impact of tax-managing factor strategies.
Quote of the Day
"Extracting lessons from the past is a tricky endeavor. The researcher may apprehend what never was there, or what once was present, but is no longer."
(John Rekenthaler)
Jim O'Shaughnessy
- Five questions about factor investing with Jim O'Shaughnessy author of "What Works on Wall Street." (blog.validea.com)
- Part two of a Q&A with Jim O'Shaughnessy about the 'death of value investing' and more. (blog.validea.com)
Equity selection
- Do stocks trading 10x revenue perform worse that the overall market? (alphaarchitect.com)
- What happens when short sellers and insiders agree on a stock? (alphaarchitect.com)
Quant stuff
- We all know the issues with backtests, but what are the limitations of live track records? (sr-sv.com)
- Thoughts on the hot-hand debate in basketball. (global.pimco.com)
- The problem with behavioral economics is that it is by nature atheoretical. (mrzepczynski.blogspot.com)
- Some recent research papers on tail risk. (capitalspectator.com)
Research
- Don't use factor strategies without thinking about taxes. (alphaarchitect.com)
- A look at how the passing of the GFC from 10-year returns is affecting fund ratings. (markovprocesses.com)
- The historical equity risk premium is not a good guide for the future. (etf.com)
- What happens when you swap REITs for gold in the Permanent Portfolio? (demonetizedblog.com)
- A look at the evidence in favor of trend following as an 'insurance-like strategy.' (etf.com)
- Catastrophe bonds are not necessarily a portfolio hedge. (institutionalinvestor.com)
