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)