Weekend Reads - Sep 28, 2024

Do It Your Way; How Time Horizon Impacts the Efficacy of Investment Factors; The Lowdown on the Risk of An(other) Equity Drawdown; Forecastability and Portfolio Optimization; and more...

• Do It Your Way (Collaborative Fund)

• Revisiting the Factor Zoo: How Time Horizon Impacts the Efficacy of Investment Factors (Enterprising Investor)

• The Lowdown on the Risk of An(other) Equity Drawdown (GS)

• Forecastability and Portfolio Optimization (Verdad)

• How Momentum Greatly Improves Allocation Models (Hush)

• The Subprime AI Crisis (Where's Your Ed At)

• Sharpe versus Sortino - It Does Not Seem to Make a Difference (Disciplined Systematic Global Macro Views)

• Kris Abdelmessih, Co-Founder, Moontower AI (🎧 Alpha Exchange)

• Corey Hoffstein - Return Stacking, ETFs & Trend Replication (📺 The Algorithmic Advantage)

• The Decreasing Number of Public Companies (Meketa)

• A Severe Case of COVIDIA: Prognosis for an AI-Driven US Equity Market (JPM)

• How Important is Keeping up with Macro News? (Robot Wealth)

• Sharpe & Sortino - Does It Matter? (CAIA Association)

• Betting Against (Bad) Beta by Herculano (Semantic Scholar)

• Performance of Commodity Futures-Based Dynamic Portfolios by Adhikari (MDPI)

• The Anatomy of Lost Stock Market Decades by Feldman and Yang (SSRN)

• Investing in Megatrends with Thematic Funds and ETFs by Carvalho (SSRN)

• The Less-Efficient Market Hypothesis by Asness (SSRN)