Weekend Reads - May 18, 2024

Managing Regret Risk: The Role of Asset Allocation; Can Machines Time Markets? The Virtue of Complexity in Return Prediction; Are You an Investment Historian or a Futurist?; and more...

• Managing Regret Risk: The Role of Asset Allocation (Enterprising Investor)

• Can Machines Time Markets? The Virtue of Complexity in Return Prediction (AQR)

• Are You an Investment Historian or a Futurist? (Morningstar)

• The Great Flattening (Stratechery)

• Managed Futures Carry: A Practitioner’s Guide (ReSolve Asset Management)

• Momentum and the Clarity of the Trend (Alpha Architect)

• The Rise of the Forever Renter Class (Of Dollars and Data)

• Optimal Trend-Following Rules In Different Regimes with Dr. Tom Starke (📺 Quantopian)

• Quality or Value – Why Not Both? (Verdad)

• The Weaponisation of Commodities; and the Yen Conundrum (Man Institute)

• Walter Schloss on Not Trying to Be Warren Buffett (Novel Investor)

• Maximum Ulcer Performance Index (UPI) Portfolios (Allocate Smartly)

• Options Trading with Cross-Sectional Volatility Factors (Robot Wealth)

• Gary Antonacci - Absolute & Relative Momentum: Trading ETFs & Mega Caps (🎧 The Algorithmic Advantage)

• Markku Kurtti – Diversification is a Negatively Priced Lunch (🎧 Flirting with Models)

• Do sell-side analysts say “buy” while whispering “sell”? by Hirshleifer et al. (Review of Finance)

• Is There Still a Golden Dilemma? by Erb and Harvey (SSRN)

• The Price of Downside and Upside Correlation Risk: cross-sectional evidence by Li et al. (SSRN)