Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why you should be skeptical of backtests showing 30% returns.
Quote of the Day
"Smart portfolio managers may use their knowledge to support and convince themselves of their views. They often advocate for their position and not seek the truth in data."
(Mark Rzepczynski)
CTAs
- As trend following strategies grow they lose the ability to invest in less liquid markets. (mrzepczynski.blogspot.com)
- Are CTA portfolios losing their convexity? (priceactionlab.com)
Quant stuff
- Why you should push back against dual y-axis charts. (blogs.uoregon.edu)
- Machine learning techniques can also be useful on monthly data. (alphaarchitect.com)
- There is a big difference between academic studies and the results you get in real life. (allocatesmartly.com)
Research
- "How a factor is defined and how a factor portfolio is constructed play important roles in the results achieved." (blog.thinknewfound.com)
- A cluster analysis of various alternative strategies. (mrzepczynski.blogspot.com)
- Some new evidence on the power of idiosyncratic volatility to explain returns. (alphaarchitect.com)
- Private equity underperformance may be due more to mean reversion than size effects. (institutionalinvestor.com)
- Simple alphabetical ordering affects investment choices in a retirement plan setting. (pionline.com)
