It is really, really difficult to stay abreast of all of the white papers and academic papers that come out on a daily basis. There used to be a service called Alpha Letters (not sure what happened to it) that I read, but a regular piece from Deutsche Bank has taken its place as my go to for quick academic summaries (alongside CXO Advisory).
The crew at DB does a great job summarizing key research as well as updating a calendar of upcoming conferences, etc.
Here is a summary intro from the piece:
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2013 will be the fourth year of our “Academic Insights” research series, and today’s report is our 33rd edition. Over the three years that we have been publishing “Academic Insights” a lot has happened in the world – markets have gone up and down, economies have risen and fallen, world leaders have come and gone – but through it all academia has continued to be a tremendously useful source for new quantitative investing ideas. Indeed, viewing the world from an Ivory Tower is perhaps not such a bad thing if it allows one to sidestep the maelstrom of day-to-day noise that permeates today’s financial markets.
Key papers this month
This month we focus on five papers spanning a range of topics including alpha generation, portfolio construction, and risk management:
Exchange traded funds and asset return correlations
Factor-timing model
The enhanced risk premium factor model & expected returns
Financing asset growth
Forecasting through the rear-view mirror: Data revisions and bond
return predictability
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Download the PDF here:
Academic Insights
About
If you need any further information on any of the papers in this report, please contact the Deutsche Bank Equity Quantitative Strategy team at (+1) 212 250 8983 or (+44) 20 754 71684 or (+852) 2203 6990, or email us at DBEQS.Global@db.com.
