Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether household equity preferences forecast future returns.
Quote of the Day
"Value investing has rotated into a massive bet against technological disruption."
(Kai Wu)
Chart of the Day
“Never before have I seen a market so highly valued in the face of overwhelming uncertainty.” – James Montier
Alternative data
- Beware the CEO using cliches on an earnings conference call. (alphaarchitect.com)
- Can jobs posting data be used to forecast company returns? Looks like it. (wsj.com)
Trend following
- Can trend following be used to reduce sequence-of-returns risk? (alphaarchitect.com)
- Managed futures funds love a trending US dollar. (rcmalternatives.com)
Publishing
- Why Epsilon Theory is happy to "publish academic research of merit pertaining to financial and political markets." (epsilontheory.com)
- Check out their first published piece: "Rebalance Timing Luck: The Dumb (Timing) Luck of Smart Beta," by Corey Hoffstein, Nathan Faber and Steven Braun. (epsilontheory.com)
Research
- Stephan Kessler, "Size is a factor that we would say is potentially not present any more." (ft.com)
- A deep dive into the performance of a Ray Dalio-like All-Weather Portfolio. (ofdollarsanddata.com)
- A look at the varied performance of post-bankruptcy re-listings. (mailchi.mp)
- In the mutual fund space performance persistence is fleeting, at best. (institutionalinvestor.com)
- Who knew there were this many different measures of uncertainty? (sr-sv.com)
- CFOs think they know more than they do. (institutionalinvestor.com)
