Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the so-called ‘demise of value.’
Quote of the day
“So this is the stark choice that many organizations now face: Go with big data and machine learning, combined with other advanced quantitative technology, or leave finance to those who do.” – David H. Bailey
Chart of the day
High momentum stocks seem to be mean-reverting in the short-term. (CSS Analytics)
Managed futures
- An examination of poor CTA performance over the past decade. (springvalleyam.com)
- Managed futures are not all about 'crisis alpha.' (mrzepczynski.blogspot.com)
- Why do managed futures ETFs and mutual funds underperform their private competitors? (factorresearch.com)
- AHL's co-founders now have very different beliefs about the efficacy of trend-following strategies. (ft.com)
Research
- The waiting is the hard part: even conservative allocations beat dollar-cost-averaging. (ofdollarsanddata.com)
- Why long-duration bonds are the best hedge against equity risk. (morningstar.com)
- Do alternative weighting schemes actually generate alpha? (mrzepczynski.blogspot.com)
- On the relationship between low vol and value. (factorresearch.com)
- Why high yield bond ETFs have a tendency to underperform their benchmarks. (mailchi.mp)
- How low-frequency measure misprice transaction costs. (papers.ssrn.com)
- Fund managers under 'weather risk' become more risk averse. (klementoninvesting.substack.com)
- A comparison of two different endowment spending methodologies. (alphaarchitect.com)
