Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why quant models involve a fair amount of discretion.
Quote of the Day
"A high Sharpe ratio is a simulacrum of success. Yet what gets measured may have no relationship to what we really want to know."
(Richard Wiggins)
Quant stuff
- The life cycle of investment factors. (blog.validea.com)
- Why David Biltz is still bullish on quant strategies. (robeco.com)
- Why you shouldn't use the CAPE to measure valuations across countries. (econompicdata.blogspot.com)
- A round-up of recent white papers on factor investing. (capitalspectator.com)
Research
- A simple fix to include tangibles greatly improves the value factor. (privpapers.ssrn.com)
- How analyst recommendations feed into investment anomalies. (alphaarchitect.com)
- There is no there, there, in equity market neutral hedge fund returns. (factorresearch.com)
- A look at the ten-year performance of the Ivy League endowment funds. (markovprocesses.com)
- How design choices influenced how Robinhood clients made investment choices. (finance.yahoo.com)
- Why you shouldn't take the job as CEO of an already successful company. (klementoninvesting.substack.com)
