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)