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)