Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at just how mean-reverting momentum stocks are.
Quant stuff
- Phil Huber talks with Patrick O'Shaughnessy about "the first operating system for investing" Canvas. (bpsandpieces.com)
- Quant firms are wooing big data experts based on their access to novel data sets. (qz.com)
Factors
- Factors have worked historically, but investors have not benefited. (alphaarchitect.com)
- A review of some recent research on factor investing. (capitalspectator.com)
Research
- Not all investment styles may necessarily be appropriate for investors at all points in their investment lifecycle. (blog.thinknewfound.com)
- A little smart beta goes a long way. (factorresearch.com)
- What do risk-parity returns look like over the really long run? (twocenturies.com)
- More evidence showing day trading for a living is really, really difficult. (papers.ssrn.com)
