Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the returns to single-family homes as an asset class.
Quote of the Day
"First of all not all PMs should code in Python, I don’t think they need to, but they need to understand how it enables much deeper research."
(Michael Masdea, head of Wellington Management's Investment Science Group)
Factors
- You don't need a 'zoo' to explain the majority of returns. (evidenceinvestor.com)
- A review of the factor momentum literature. (sr-sv.com)
- Enough with book-to-market as a valuation measure. (alphaarchitect.com)
Alternatives
- How best to include managed futures into a portfolio. (wisdomtree.com)
- Liquid alternative mutual funds never really made a dent in the market. (insights.factorresearch.com)
Portfolio management
- Research shows leverage works in theory, in practice not so much. (institutionalinvestor.com)
- Performance persistence is fleeting at best. (allaboutalpha.com)
Research
- Some research into just how predictable government bond yields are, "Predicting Bond Returns: 70 Years of International Evidence." (cfainstitute.org)
- More venture capital is invested when rates are low. (tomtunguz.com)
- How much of ETF fees are due to payments to index providers? (papers.ssrn.com)
- How to time crude oil futures. (mailchi.mp)
