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 extracting lessons from past data.
Quote of the Day
"Noise gets between you and the money. It’s a random process, and it’s unlikely to repeat itself exactly the same way. If you fit your model to the noise, you’ll end up with a random model."
(Michael M)
Factors
- The value factor is highly related with inflation rates. (fortunefinancialadvisors.com)
- Is there an easy fix for the momentum factor? (factorresearch.com)
- Can we safely write off the small cap effect? (morningstar.com)
- "Forecasting Factor Returns" by Duncombe, Nigro and Kay. (twosigma.com)
Bonds
- What explains corporate bond returns? (papers.ssrn.com)
- Does factor investing work in bonds? (mailchi.mp)
Research
- On the folly of hiring winning and firing losing managers. (alphaarchitect.com)
- Hedge funds trounce mutual funds when it comes to identifying M&A targets. (papers.ssrn.com)
- How does the performance of hedge funds run by public companies differ? (etf.com)
- A look at the historical performance of put-write and buy-write options indices. (factorresearch.com)
- Fund managers who experienced early life trauma are more risk averse later in life. (institutionalinvestor.com)
- A guide to ESG portfolio construction. (alphaarchitect.com)
