Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how the pandemic has affected quant investing, not just value.
Quote of the Day
"The barrier to entry is lower and the barrier to success [in quant] is much higher...You don't need to write your own sophisticated tools - there are plenty of off-the-shelf Python packages and complex machine libraries you can use."
(Boris Lerner)
Quantopian
- How Quantopian's open-source investment dream died. (businessofbusiness.com)
- Lessons learned from the Quantopian experiment. (quantrocket.com)
Rebalancing
- Why risk-parity strategies benefit from the rebalancing premium. (investresolve.com)
- How target date fund rebalancing is affecting return dynamics between stocks and bonds. (privpapers.ssrn.com)
Quant stuff
- A lot of discretion goes into building quant models. (blog.validea.com)
- Why you should always test your assumptions about financial markets. (robotwealth.com)
Research
- No matter how you slice it, large cap growth is expensive. (mailchi.mp)
- When it comes to asset pricing models, US Treasury bills may not be the correct risk-free asset. (alphaarchitect.com)
- CFOs are overconfident in their stock market forecasts. (privpapers.ssrn.com)
- Trending fundamentals seem to help forecast future returns. (sr-sv.com)
- Putting some numbers on how the global market portfolio performed from 1970 to 2017. (alphaarchitect.com)
- Third-party company emissions data just isn't all that useful. (papers.ssrn.com)
