Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the overnight anomaly.
Quote of the Day
"You can call your pie chart slices whatever you want. They can display all the colors of the rainbow. It does not change the underlying nature of the things they represent."
(Nick)
Research round-ups
- A round-up of some of the best research from the past month including "Diagnosing the Recent Decade of Drawdown in Value." (bpsandpieces.com)
- A review of some recent papers on portfolio strategy including "Understanding Volatility-Managed Portfolios." (capitalspectator.com)
Rebalancing luck
- Rebalancing luck is real. The question is what to do about it. (mrzepczynski.blogspot.com)
- Why rebalancing strategies should take into account trend. (evidenceinvestor.com)
Research
- There are a number of interactions between the best-known anomalies. (papers.ssrn.com)
- When a satisfactory portfolio gets the job done. (osm.netlify.app)
- What drives the performance of the quality factor? (factorresearch.com)
- Short-term investors may not be a bad thing for companies. (institutionalinvestor.com)
- Boards of directors are no better at distinguishing CEO luck from skill. (institutionalinvestor.com)
