Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s edition including a look at the history of factor investing.
Quote of the Day
"One anomaly is not enough; successful trading requires using several and also discovering new ones to replace the dying ones."
(Michael Harris)
Quant stuff
- You don't want your AI model to 'hallucinate' when analyzing SEC filings. (cnbc.com)
- A round-up of recent research on portfolio design including 'Outperforming Equal Weighting.' (capitalspectator.com)
- Regime changes happen in markets. (priceactionlab.com)
Research
- Can machine learning help select outperforming mutual funds? (alphaarchitect.com)
- The Achilles heel of momentum strategies is tail risk. (morningstar.com)
- Options momentum is a thing. (alphaarchitect.com)
- Hong Kong went from a standout on economic freedom to laggard. (cato.org)
- Some of the best books of 2023 including "Chaos Kings: How Wall Street Traders Make Billions in the New Age of Crisis" by Scott Patterson. (capitalspectator.com)