Weekend Reads - Feb 22, 2025
The “Rebalance Drag” Myth in Leveraged ETFs; US’s Petrostate versus China’s Electrostate; Déjà bubble: Can bubbles repeat?; A New Paradigm in Active Equity; and more...
The “Rebalance Drag” Myth in Leveraged ETFs (Return Stacked)
US’s Petrostate versus China’s Electrostate (Climate & Capital)
Déjà bubble: Can bubbles repeat? (Acadian)
A New Paradigm in Active Equity (AQR)
Current Constituents CAPE (Research Affiliates)
Markets: A Tug of War between Inflation Fears and Optimism (Amundi)
How Much Risk Can You Handle? (Market Sentiment)
Show Us Your Portfolio: Mike Taylor (🎧 Excess Returns)
Ignore Momentum at Your Own Peril (🎧 Robeco)
Clayton Christensen | How Will You Measure Your Life? (📺 LinkedIn)
Hedging Efficiently: How Optimization Improves Tail Risk Protection (Relative Value Arbitrage)
Better Backtesting (Quantamental Investing)
Coding Trend Factor (Quant Trading Rules)
The Mathematics of Portfolio Return: Simple Return, Money-Weighted Return and Time-Weighted Return (Portfolio Optimizer)
Classifying and Predicting Stock Market States Using HMM and XGBoost (Xiyao Fan)
Optimizing Portfolio Performance through Clustering and Sharpe Ratio-Based Optimization: A Comparative Backtesting Approach by Park (arXiv)
On the Predictive Power of Food Commodity Futures Prices in Forecasting Inflation by Agarwal et al. (SSRN)
The Fed and the Wall Street Put by Harren et al. (SSRN)