Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why most venture capital funds are underdiversified.
Quote of the Day
"A true quant is eternally skeptical, willing to let new data challenge any assumption."
(Aaron Brown)
Chart of the Day
Using principal component analysis to assess the diversification benefits of various asset classes.
Research
- The Japanese and US stock markets are a study in contrasts, valuation-wise. (mailchi.mp)
- The Covid-related market drop was unique in its speed and depth. Making it hard for trend following strategies to take advantage. (pionline.com)
- Why you can't exploit the $SPY overnight anomaly: trade frictions. (priceactionlab.com)
- Research into how to Improve the Piotroski F-Score Measure. (alphaarchitect.com)
- Richard Ennis on the failure of the standard model of investing. (papers.ssrn.com)
- My co-authored paper, "Gold, the Golden Constant, and Déjà Vu" will soon be appearing in the Financial Analysts Journal. (tandfonline.com)
- Why "Modern Asset Allocation for Wealth Management" by Dr. David Berns, PhD. is a 'must read.' (quantstrattrader.wordpress.com)
- Are sports betting markets efficient? Pretty much so. (advisorperspectives.com)
