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)