Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what macro variables help drive the stock-bond correlation.
Quote of the Day
"When it comes to equity markets, nothing is as simple as it seems. The narrative of low interest rates serving as a panacea for extremely high valuations is the latest example."
(Charlie Bilello)
Quant stuff
- The 2021 Stocks, Bonds, Bills, and Inflation yearbook is now out. (cfainstitute.org)
- A round-up of recent white papers including 'Are value stocks turning into momentum stocks?' (bpsandpieces.com)
Research
- Want to offset inflation? Think trend following. (papers.ssrn.com)
- A skeptical take on using factors in commodity strategies. (mailchi.mp)
- Value and momentum: separate portfolios or combined signals? (alphaarchitect.com)
- Why does the use of B/M persist despite its shortcomings? (papers.ssrn.com)
- A look at the explanatory power of factor momentum. (alphaarchitect.com)
- A look at the returns of single family housing as an asset class. (advisorperspectives.com)
