Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the case for a re-pricing of Japanese equities.
Quote of the Day
"Backtesting, in short, remains a powerful, productive tool, assuming it’s used wisely, in part by avoiding the temptation to extract econometric blood out of statistical stones."
(James Picerno)
Q&A
- A Q&A with Michael Mauboussin and Al Rappaport co-authors of "Expectations Investing: Reading Stock Prices for Better Returns, Revised and Updated." (fool.com)
- Joshua Brown and Michael Batnick talk with Kai Wu of Sparkline Capital about how intangibles have changed investing and quant. (theirrelevantinvestor.com)
Trend following
- Want to offset inflation? Think trend following. (alphaarchitect.com)
- The 'crisis alpha' story around trend following has gotten muddled. (mrzepczynski.blogspot.com)
Quant stuff
- Linear regression is played out. (mrzepczynski.blogspot.com)
- Don't discount the value of simple statistics when examining an investment strategy. (priceactionlab.com)
- Best practices on how to do quantitative research. (hudsonthames.org)
Fund managers
- Why U.S. fund managers change styles. (papers.ssrn.com)
- Why hedge fund performance is on the decline. (theblindfoldedchimp.com)
Research
- Thematic investors are essentially trading against quants. (evidenceinvestor.com)
- In the end behavior matters more than metrics. (blog.validea.com)
- On the risk/return profile of floating rate ETFs. (insights.factorresearch.com)
- Research shows that companies audited by Chinese firms face higher risks of accounting problems. (wsj.com)
- Some researching showing the effectiveness of financial education efforts. (alphaarchitect.com)
