Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the performance of the combination of low vol and momentum.
Quote of the Day
"The plethora of alternative assets touted in the media is essentially a rehash of the exposure to different fundamental drivers of the economy."
(Joachim Klement)
Crises
- A big Verdad Capital report that aims to give investors "a clear understanding of what worked and didn’t work in prior crises." (mailchi.mp)
- Were managed futures strategies just lucky historically when they provided 'crisis alpha'? (blog.thinknewfound.com)
- The case for hedge funds is really built on their performance during the Dotcom bubble and crash. (institutionalinvestor.com)
Factors
- Eric Falkenstein, "Factor risk premiums do not reflect risk, they explain themselves." (falkenblog.blogspot.com)
- The value factor wasn't invented by Fama-French. A look at the long history of investors seeking out cheap assets. (osam.com)
- The Dotcom bubble has a big effect when you look at the history of a low vol strategy. (factorresearch.com)
- Crowding is playing a role in lagging factor performance. (papers.ssrn.com)
Research
- Nicholas Raebner, "Real estate stocks are just not unique enough and introduce additional, unnecessary complexity for asset allocation models." (alphaarchitect.com)
- Performance persistence in mutual funds has disappeared over time. (papers.ssrn.com)
- A look at distressed debt fund performance over time. (papers.ssrn.com)
- How to evaluate TAA strategies' sensitivity to noise. (allocatesmartly.com)
- How machine learning can be used to craft macro trading strategies. (sr-sv.com)
- Why you should check out "Smart(er) Investing: How Academic Insights Propel the Savvy Investor" by Elisabetta Basilico and Tommi Johnsen. (alphaarchitect.com)
