Weekend Reads - Jan 11, 2025
The “Sharpe” Point of Securities Lending; Do As I Say, Not As I Did; Momentum and Trading Costs; Aging Populations Demand Urgent Pension Reforms; Portable Alpha: Finding the Right Match; and more...
The “Sharpe” Point of Securities Lending (State Street)
Do As I Say, Not As I Did (Of Dollars And Data)
Momentum and Trading Costs (EAM Investors)
Aging Populations Demand Urgent Pension Reforms (Enterprising Investor)
Portable Alpha: Finding the Right Match (Aspect Capital)
An Allocator Looks Back over the Last 10 Years (AQR)
On Bubble Watch (Oaktree)
From Gold to Bitcoin: Exploring the Oldest and Newest Asset Classes (Relative Value Arbitrage)
Mark Rzepczynski on Wicked Markets and Understanding Risk (🎧 Macro Hive Conversations With Bilal Hafeez)
The One Factor That Explains the Struggles of Value, International and Small-Cap Stocks | Kai Wu (📺 Excess Returns)
Asset Allocation in Current Environment : by Mr Rajeev Thakker (📺 LSS Parle)
A "New" Way to Smooth Price (Dekalog Blog)
Linear Congruential Generators in Python (Quantstart)
Sentiment Trading with Large Language Models by Kirtac and Germano (ScienceDirect)
End-of-Day Reversal by Soebhag et al. (SSRN)
Variable Selection for Minimum-Variance Portfolios by Santos et al. (SSRN)
Monetary Policy and Business Cycles in the Data Economy by Groh et al. (SSRN)
Robust Portfolio Optimization using GOPALS: Geospatial Optimization and Portfolio Allocation using Landscape Segmentation by Patni and Bhattacharyya (SSRN)