Joined Nov 11, 2007
1,458 Blog Posts

What I’m Reading This Weekend

Timing Method Performance over Ten Decades

Equity Performance Optimization with Factor Tilts — (Geeky title, Great article!)

Mean Reversion revisited: S&P 500 (What changed in 1987?)

Is Diversification Really a Free Lunch?

The Value of Stop-Losses and Stop-Gains in Enhancing Risk-Adjusted Return


Some of these articles, and more, can be found over at The Whole Street.

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  1. Bozo on a bus

    Pretty good list, Wood.
    Since you didn’t assign enough homework for this weekend, here’s a few more papers on stop loss strategies. SSRN abstracts:
    1214737, 968338, 2277722, and 2126476.

    The study on mean reversion jibes with a bunch of other stuff I’ve read that shows that market regimes change often enough to frustrate people that are expecting what worked before to continue to work in the future. Good stuff to keep in mind when using historical data for trading.

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  2. charlie

    Hey buddy. Any HTFs on the radar?

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  3. Rob

    Woody has been absent for a while. I wonder if he really was taken by the NSA??

    Just kidding…

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