Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what, if anything, active share tells us about future alpha.
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Factors
- Does risk-adjusted momentum do better job than straight up momentum? (blog.thinknewfound.com)
- The quality factor has A LOT of different definitions. (alphaarchitect.com)
- There seems to be a global bond carry factor. (cfainstitute.org)
Rates
- Why do Treasury bonds perform better at the end of the month? (allocatesmartly.com)
- Traditional measures of the slope of the yield curve are dominated by near-term measure of the forward spread. (cfainstitute.org)
Quant stuff
- Every quant firm worth its salt is testing AI techniques. (mrzepczynski.blogspot.com)
- Five questions for Michael Mauboussin including whether human managers are doomed to lag systematic models. (blog.validea.com)
- How can you tell if a strategy has been overfitted? (priceactionlab.com)
Research
- High yield bonds: jewel or junk? Depends on how you fund a position. (institutional.vanguard.com)
- What can be learned from the track records of some of the most successful investors over time? (alphaarchitect.com)
- Should you pay attention the insider trades of 'star CEOs'? (finance.yahoo.com)
- Which mutual fund categories show a wider spread in pre-fee CAPM alphas? (morningstar.com)
- The market seemingly does not do a good job of systematically adjusting earnings for transitory items. (alphaarchitect.com)
