Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the waning evidence in favor of a size effect.
Rebalancing luck
- Rebalancing luck is a real thing and how to deal with it. (springvalleyam.com)
- If a model has a lot of 'timing luck' then diversify it away. (blog.thinknewfound.com)
Factor investing
- What does a history of factor investing tell us about how to invest now? (elmfunds.com)
- Just because you call something a 'factor' doesn't mean it should earn a return. (twocenturies.com)
Value
- How value and momentum interact during periods of market stress. (sr-sv.com)
- How much concentration should take to capture the value factor? (alphaarchitect.com)
Research
- 60% of global stocks, over time, underperform US T-bills. (papers.ssrn.com)
- Timing market betas is not easy. (mrzepczynski.blogspot.com)
- What strategies actually work to reduce portfolio tail risk? (alphaarchitect.com)
- How to measure the cost efficiency of TAA strategies. (allocatesmartly.com)
- Are short-term analyst trade ideas valuable? (papers.ssrn.com)
- Endowment funds with board members that have investment experience put more money into alternatives. (papers.ssrn.com)