Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at a long-term history of risk parity strategy returns.
Factors
- How is the quality factor best defined? (alphaarchitect.com)
- Why diversifying across value factors makes sense. (blog.validea.com)
- The evidence in favor of the low-vol effect is pretty compelling. (alphaarchitect.com)
Investor preferences
- How home bias affects global market cap weights. (elmfunds.com)
- Investors have a strong preference for 'short duration' stocks. (alphaarchitect.com)
Research
- Do active investment managers as a group successfully time the stock market? (cxoadvisory.com)
- Tactical investment algorithms can't be effectively tested using the walk-forward method. (papers.ssrn.com)
- Too much diversification can obliterate the benefit of alternatives. (institutionalinvestor.com)
- The rise of indexing is a bit of a mixed bag when it comes to systemic risks. (institutionalinvestor.com)
- Ever wonder how inverted yield curves have played out in Belgium over the past 178 years? (twocenturies.com)
