Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at how investment transfers (or not) across asset classes.
Quote of the Day
"We believe a high and sustained stock-bond correlation is certainly a reason for investors to revisit their strategic allocations, but it does not mean Treasurys are to be avoided altogether."
(Greg Obenshain)
Macro stuff
- It's hard building macro models given all the data revisions. (mrzepczynski.blogspot.com)
- Why revisions to price indices can be large. (libertystreeteconomics.newyorkfed.org)
Fixed income
- A look at bond market returns during a yield curve inversion. (thinkadvisor.com)
- There are different ways to measure fixed income factors. (insights.finominal.com)
Liquid alts
- How to replicate managed futures funds. (institutionalinvestor.com)
- The fees on liquid alternative funds are too high. (caia.org)
Research
- The stock-bond correlation isn't stable. (alphaarchitect.com)
- What investors get wrong about the 'Yale Model.' (capitalallocators.com)
- Do fast, slow or medium-term momentum models work best? (alphaarchitect.com)
- Value stocks are historically cheap in Europe. (mailchi.mp)
- Do short-term anomalies survive transaction costs? (alphaarchitect.com)
- How the beauty effect influences stock ownership. (sciencedirect.com)
