Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether low vol strategies can be improved upon.
Quote of the Day
"Thus, low-beta/low-volatility investing, in and of itself, is not a bad idea. However, if one already has an allocation towards the investment and profitability factors, a low-beta portfolio probably adds little to the portfolio."
(Jack Vogel)
Research
- Six common misconceptions about factor-based strategies. (blog.validea.com)
- How to construct a long-only bond risk premium factor. (blog.thinknewfound.com)
- Some support for the idea of putting more into equities with a long time horizon. (alphaarchitect.com)
- Why low rates (and returns) may be here to stay. (awealthofcommonsense.com)
- High active share is irrelevant if you don't have any actual skill. (alphaarchitect.com)
- Hedge fund managers with a lot of 'skin in the game' tend to keep their funds smaller. (institutionalinvestor.com)
- Companies with an extroverted CEO have a higher cost of equity capital. (wsj.com)
