Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out including a look at whether the size factor is worth the bother.
Quote of the Day
"Winning at the inattention problem is focusing in on the right information and reducing noise at the right time."
(Mark Rzepczynski)
Quant stuff
- Ben Carlson, "The biggest problem I have with most backtests is that it’s always going to be easier to find a strategy that worked well in the past than to discover one that works well in the future." (awealthofcommonsense.com)
- A round-up of recent research on ETFs including 'On the Anomaly Tilts of Factor Funds.' (capitalspectator.com)
- On the dangers of data mining and selection bias. (priceactionlab.com)
Global
- How closely does the Fed pay attention to global monetary policies? (papers.ssrn.com)
- The U.S. still drives the main driver of the global financial cycle. (papers.ssrn.com)
- Why the London stock market has losing relative share. (realreturns.blog)
Active management
- There's very little evidence in favor of active management. (mathinvestor.org)
- Multi-strategy funds are no great diversifier. (insights.finominal.com)
Research
- Why isn't the value spread coming in more quickly? (alphaarchitect.com)
- What's the deal with low volatility? (blog.validea.com)
- How salience theory helps explain the momentum effect. (alphaarchitect.com)
- Want to find a financial fraud? Focus on the auditors first. (institutionalinvestor.com)
- What you need to know about factor returns. (kitces.com)
