Weekend Reads - Dec 30, 2023

When Investors Ruin a Great Asset Class; The Dispersion Delusion; Pattern Recognition. Opportunities and Limits; A Quant Winter’s Tale; and more...

• When Investors Ruin a Great Asset Class (Klement on Investing)

• The Dispersion Delusion (Verdad)

• Pattern Recognition. Opportunities and Limits (Morgan Stanley)

• A Quant Winter’s Tale (FT)

• Google’s True Moonshot (Stratechery)

• The Quality Anomaly (GMO)

• Liquidity Needs during Market Drawdowns (Verus)

• Sharpe’s Arithmetic and the Risk Matters Hypothesis (Elm)

• Lindy Effect in Investing (Market Sentiment)

• It Turns Out the Fed Doesn’t Matter (📺 The Compound)

• Trend Following vs Commodities: Which is Better for Your Portfolio? (📺 Ironclas Asset Management)

• “Demystifying Factor Investing for Modern Markets” with Anish Teli (🎧 Stoic Talks)

• Portfolio Optimisation, Uncertainty, Bootstrapping, and Some Pretty Plots (This Blog is Systematic)

• Managed Futures Rotation (Return Sources)

• Spearman's Rank Correlation of Technical Indicators (Grzegorz Link)

• The Evolution of Work from Home by Barrero et al. (JEP)

• Does peer-reviewed theory help predict the cross-section of stock returns? by Chen et al. (arXiv)

• A Tale of Two Risks: The Role of Time in the Decomposition of Total Risk into Systematic and Idiosyncratic Risks by Stanford and Ma (SSRN)