Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the Popularity Asset Pricing Model.
Quote of the Day
"Institutions do not seek to maximize potential long-term returns, without regard to risks. They often seek to maximize the likelihood that they can meet their payout obligations."(Michael A. Mendelson, Charles E.F. Millard and Zach Mees)
Chart of the Day
A look at how Morningstar’s fund ratings have performed.
- A new study uses a handful of passive ETFs to model the performance of active managers and outperforms along the way. (institutionalinvestor.com)
- There is little positive to be said about liquid alternative funds over the past decade. (factorresearch.com)
- Will smart beta investors ever get comfortable with more concentrated exposures? (mrzepczynski.blogspot.com)
- Does leverage explain the investment premium? (alphaarchitect.com)
- An examination of low vol performance over time. (indexologyblog.com)
- Tweaking a factor model to work better in emerging market equities. (alphaarchitect.com)
- Comparing moving averages to momentum, model-wise. (mrzepczynski.blogspot.com)
- If interest rates ever start increasing again, demand for tactical asset allocation strategies will increase. (allocatesmartly.com)
- Research exploring the value generation of IPO liquidity. (papers.ssrn.com)