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)