Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at litigation finance as an alternative asset.
Quote of the Day
"Ultimately, however, a factor’s anomaly status is never quite fixed."
(Raymond Micaletti)
Chart of the Day
Over the past decade margin change and multiple expansion have driven equity growth.
Trend
- A reminder that momentum and trend following are two distinct things. (mrzepczynski.blogspot.com)
- Comparing TAA and long volatility strategies. (insights.factorresearch.com)
Factors
Research
- Using asset duration to create an all-weather portfolio. (disciplinefunds.com)
- Does mining credit card data make for alpha? (alphaarchitect.com)
- On the role liquidity risk plays in bond returns. (papers.ssrn.com)
- A positive review of "Your Essential Guide to Sustainable Investing" by Larry Swedroe and Samuel Adams. (alphaarchitect.com)
