Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the challenge of rebalancing an alternatives-heavy portfolio.
Quote of the Day
"Quant mutual and hedge funds use much more sophisticated factor strategies, and some non-factor strategies as well. Nevertheless, it’s usually true that when Fama-French factors are doing well, quant is thriving, and when Fama-French factors falter, quant has troubles."(Aaron Brown)
Chart of the Day
Does gold do much to smooth out portfolio returns?
- Byrne Hobart, "Inverse correlations tend to go away when people rely on them. And close-to-perfect correlations are never quite as good as they look..." (thediff.co)
- Concentrated portfolios are at-risk of missing out on overall equity market gains. (evidenceinvestor.com)
- What's the best way to take distributions from a portfolio? (ofdollarsanddata.com)
- Five questions to ask about any back test including 'Does the strategy have an economic reasoning behind It?' (blog.validea.com)
- More evidence that factor momentum is a real thing. (alphaarchitect.com)
- What does changes in ESG ratings tell us about future returns? (evidenceinvestor.com)
- A look at the distribution of U.S. stock returns from 1963-2020. (papers.ssrn.com)
- Are some venture capital investments 'predictably bad'? (papers.ssrn.com)
- Do CEOs learn from analysts? (papers.ssrn.com)
- An investor's guide to crypto. (alphaarchitect.com)