Weekend Reads - Nov 30, 2024
CTA Index Replication and the Curse of Dimensionality; Improving Low Volatility Strategies; Deconstructing US Debt Dynamics; The Equity Risk Premium: Nine Myths; and more...
CTA Index Replication and the Curse of Dimensionality (This Blog is Systematic)
Improving Low Volatility Strategies (Alpha Architect)
Deconstructing US Debt Dynamics (Cambridge Associates)
The Equity Risk Premium: Nine Myths (Research Affiliates)
The Rise of Ponzi ETF (Klement of Investing)
Which Asset Has the Best Bubble Potential? (Behavioral Investment)
Shorting Credit (Verdad)
Trend-Following with Industry Groups - It Works (Disciplined Systematic Global Macro Views)
Strategic Market Making: An Information-Theoretic Approach (otw2)
Observing the Unusual Behavior of U.S. Treasuries during This Rate Cutting Cycle (Verus)
Commodity Kamikaze (MoonTower)
Stan Druckenmiller | Podcast | In Good Company (📺 Norges Bank Investment Management)
Russel Napier: How to Make Money in a New Investment Landscape (📺 SKAGEN Fondene)
Making Money from Market Chaos | Inside the Volatility World with Kris Sidial (📺 Excess Returns)
Making Sense of Markets in a Post-Election World | Grant Williams and Ben Hunt (🎧 Excess Returns)
Machine Learning in Portfolio Decisions by Guidolin et al. (SSRN)
A Unified Framework for Value and Momentum by Boudoukh et al. (SSRN)
Fear in the "Fearless" Treasury Market by Wang et al. (SSRN)