Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how not to ‘model noise.’
Quote of the Day
"Valuations are helpful for gauging expected returns, so it isn't prudent to completely ignore them. If they're unusually high, future returns will likely be lower than normal, and vice versa. However, it probably isn't a good idea to use them to make big tactical adjustments among fund investments."
(Alex Bryan)
Research links
- When a few outliers drive the returns to a strategy it's not worth pursuing further. (blog.thinknewfound.com)
- The 'factor zoo' is better described as the 'factor museum.' (twocenturies.com)
- History is on the side of time-series momentum. (mrzepczynski.blogspot.com)
- How to measure diversification: if not correlation, then what? (capitalspectator.com)
- Why stocks with high uncertainty underperform. (alphaarchitect.com)
- Activist investors are only effective when they get a company to sell itself. (mailchi.mp)
- Only 42% of equity mutual funds launched before 1999 were still standing 20 years later. (institutionalinvestor.com)
- The bond market has undergone some significant (secular) changes since the GFC. (papers.ssrn.com)
- "Data scientist" is the best job in America, per Glassdoor. (marketwatch.com)
