Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why institutional investors are willing to load up on illiquid private equity stakes.
Quote of the Day
"Everybody should use machine learning to develop theories and test theories, but once the theory is uncovered, you should run the machine, not the machine."
(Marcos López de Prado)
Factors
- How to integrate factor insights into an asset allocation framework. (alphaarchitect.com)
- Transaction costs vary widely across factor strategies. (alphaarchitect.com)
- Checking in on the international evidence for factor premiums. (alphaarchitect.com)
Momentum
- Why did trend following underperform this past decade? (quantpedia.com)
- How big a deal is 'specification risk' for momentum models? (blog.thinknewfound.com)
Research
- Even when you have news ahead of time you can't trade perfectly. (wsj.com)
- Professional investors are prone to the same behavioral biases as amateurs. (evidenceinvestor.com)
- What has been the welfare benefit of the mutual fund structure? (personal.vanguard.com)
- Has fossil fuel divestment hurt university endowments? (institutionalinvestor.com)
- "Financial Econometrics" by Oliver Linton "will be useful for the small, focused group of quants engaged in extensive financial research." (blogs.cfainstitute.org)
