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)
Funds
- 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)
Research
- 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)
