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Remember we are in a forest

Sometimes I spend so much time looking at something so closely that I get stuck in a mindset and lose objectivity and creativity. The papers I link below (and others) help me step back and look from farther away and remind me that I am in a forest, not just looking at a bunch of independent trees. Another benefit is that stepping back for a while often helps me regain perspective and creativity.

In these papers, you will see the development process of a collection of models currently used to manage investment levels in the market as a whole for ~$150MM (ETF and managed accounts). While not directly applicable to getting an algo funded, they offer insights on workflow and provide food for thought. Additionally, some of the variables used for the market as a whole (short interest, book to market, etc.) are also available and applicable to individual names.

A Practitioner’s Defense of Return Predictability

Return Predictability and Market-Timing: A One-Month Model

Seasonal Effects and Other Anomalies