Weekend Reads - Jul 13, 2024

Quiet Compounding; The Penny Stock Anomaly; Negative Crisis Beta and the Hidden Market Timing Ability of Trend-Following CTAs; and more...

• Quiet Compounding (Collaborative Fund)

• The Penny Stock Anomaly (Verdad)

• Negative Crisis Beta and the Hidden Market Timing Ability of Trend-Following CTAs (Quantica Capital)

• The Case For Portfolio Rebalancing Looks Compelling (The Capital Spectator)

• Dissecting Factor Returns in Bull and Bear Markets (Outcast Beta)

• When Shorts Don’t Short (Alpha Architect)

• CTAs: With or Without Trend Following in Equities? (Finominal)

• Mean Reversion, or Extreme Aversion? (Albert Bridge Capital)

• What Might the Future Path of Inflation Look Like? (Verus)

• Accuracy, Complexity, Robustness, Variance, and Bias in One Chart (Disciplined Systematic Global Macro Views)

• Investigation of Lead-Lag Effect in Easily-Mistyped Tickers (Quantpedia)

• John Elkann - CEO of Exor | Podcast (📺 Norges Bank Investment Management)

• Jeffrey Sherman on a Mathematician's Journey Into Finance (🎧 Masters in Business)

• Carry On: Demystifying the Carry Trade with Rodrigo Gordillo & Adam Butler of ReSolve (🎧 The Derivative)

• Hidden Dangers of Writing an OMS (Quantitative Trading)

• Volatility Forecasting: HAR Model (Portfolio Optimizer)

• Same-Weekday Momentum by Da and Zhang (SSRN)

• Investor Disagreement, Liquidity, and Informational Efficiency at the 52 Week High by Della Vedova et al. (SSRN)