Asset Allocation
- Asset Allocation by Roger Gibson
- All About Asset Allocation by Richard Ferri
- The Intelligent Asset Allocator by William Bernstein
- Mastering the Art of Asset Allocation by David Darst
- The Fundamental Index – Arnott and Hsu
- Index Funds – Hebner
- The Little Book of Common Sense Investing – John Bogle
Endowment Investing
- Unconventional Success and Pioneering Portfolio Management by David Swensen
- When Markets Collide by Mohamed El-Erian
- Foundation & Endowment Investing by Lawrence Kochard and Cathleen M. Rittereiser
- Trustee Investment Strategy for Endowments and Foundations by Chris Russell
History of Markets
- Triumph of the Optimists: 101 Years of Global Investment Returns by Elroy Dimson, Paul Marsh, and Mike Staunton
- 2008 GIRY – by Elroy Dimson, Paul Marsh, and Mike Staunton
- Stocks for the Long Run by Jeremy Siegel
- Reminiscences of a Stock Operator by Edwin LeFèvre
- When Genius Failed by Roger Lowenstein
- Capital Ideas, Capital Ideas Evolving, and Against the Gods by Peter Bernstein
- Ibbotson Yearbook by Ibbotson Associates
- The CRB Commodity Yearbook by Commodity Research Bureau
- The Essays of Warren Buffett by Warren E. Buffett and Lawrence A. Cunningham
- Fortune’s Formula by William Poundstone
- The Myth of the Rational Market – Justin Fox
Stock Distributions
- Why Stock Markets Crash: Critical Events in Complex Financial Systems – Didier Sornette
- The Misbehavior of Markets by Benoit Mandelbrot
- Fooled by Randomness and by Nassim Nicholas Taleb
- Finding Alpha – by Eric Falkenstein
- Market Volatility – Robert Shiller
- Optimal Portfolio Modeling – Philip McDonnell
- Fractal Market Analysis – Edgar Peters
- More Than You Know: Finding Financial Wisdom in Unconventional Places – Michael Mauboussin
Market Bubbles
- Manias, Panics, and Crashes by Charles Kindleberger
- Extraordinary Popular Delusions and the Madness of Crowds by Charles MacKay
- The Prize: The Epic Quest for Oil, Money, & Power by Daniel Yergin
- The First Tycoon: The Epic Life of Cornelius Vanderbilt by TJ Stiles
- Irrational Exuberance – by Robert Shiller
Behavioral Psychology and Evolutionary Biology
- Dr. Tatiana’s Sex Advice to All Creation by Olivia Judson
- Your Money and Your Brain by Jason Zweig
- Behavioral Investing: A Practitioners Guide to Applying Behavioral Finance by James Montier
Hedge Funds
- All About Hedge Funds by Robert Jaeger
- Absolute Returns by Alexander Ineichen
- Handbook of Alternative Investments by Mark Anson
- Rocking Wall Street by Gary Marks
Profiles of Fund Managers
- Hedge Hunters by Katherine Burton
- 20/20 Vision by Harry Liem
- The New Investment Superstars by Lois Peltz
- Market Wizards, The New Market Wizards by Jack Schwager
- Inside the House of Money by Stephen Drobny
Quantitative and Technical Analysis
- The Research Driven Investor by Tim Hayes
- Being Right or Making Money by Ned Davis
- The Little Book That Beats the Market by Joel Greenblatt
- The Handbook of Portfolio Mathematics by Ralph Vince
- Quantitative Investment Analysis by Richard DeFusco, Dennis McLeavey, Jerald Pinto, and David Runkle
Private Equity
- Private Equity as an Asset Class by Guy Fraser-Sampson
- J-Curve Exposure by Pierre-Yves Mathonet and Thomas Meyer
Research
Often, I link to research papers and other sites of interest. They are categorized below:
Tactical Asset Allocation & Market Timing
- “Does Trendfollowing Work on Stocks?” – Blackstar Funds
- “On the Nature and Origins of Trendfollowing“ – Ostgaard
- “The 52-Week High and Momentum Investing” – George and Hwang
- “Global Tactical Asset Allocation” – Goldman Sachs “Manufacturing Alpha from Beta” – Integra Capital “TAA Comes Back from the Dead” – Goldman Sachs
- “Evaluating a stock market timing strategy: the case of RTE Asset Managment” by Tezel and McManus [2001].
- “Equity Timing Models Explained” – FundAdvice.com
- “Modern Tactical Asset Allocation” – Harindra de Silva
- “Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes” – Blitz and Van Vilet
- “Value and Momentum Everywhere” – Asness
Macro
- “The Next Decade” – Bridgewater
- “The First Day of the New Decade…” – Bridgewater
- The Perfect U.S. Economic Storm: Asset Deflation, Commodity Inflation and the Expiration of the “Greenspan Put” – Epoch Partners
- Our View of the World (and Oil) – Bridgewater
- What Makes Us Different – Bridgewater
Portfolio Theory
- “Attack of the Clones” – Man Investments
- “Adaptive Market Hypothesis” – Andrew lo
- Technical Analysis: An Academic Perspective – Andrew Lo
- “Emphasizing Low Correlated Assets: The Volatility of Correlation“, and “The Volatility of Correlation” – Coaker
- “The Biggest Mistake In Investing” – Bridgewater
- “Risk Parity Portfolios” – PanAgora
- Risk Parity PPT– PanAgora
- “The Evolving Relation between Earnings, Dividends, and Stock Repurchases” – Skinner
- “Engineering Targeted Returns and Risks” – Bridgewater
- The Ultimate Buy and Hold Portfolio – FundAdvice.com The Perfect Portfolio – FundAdvice.com
- Vanguard We Believe #1 Vanguard We Believe #2 Vanguard We Believe #3 Vanguard We Believe #4 Vanguard We Believe #5 Vanguard We Believe #6 Vanguard We Believe #7 Vanguard We Believe #8 Vanguard We Believe #9
- “The Rewards of Multi-Asset-Class Investing” – Gibson
- “Models for Beating the Market” – Thorp
- “Multiple Alpha Sources and Risk Management” – Edward Qian
- “GFD Guide to Total Returns”
- “Ten Lessons for the Twenty-first Century Investor” by Dr. Bryan Taylor
Hedge Funds + Private Equity
- “Hedge Funds Levering Betas” – Bridgewater
- “Factor Modelling of Hedge Funds” – Partners Group
- (Hedge Funds: Risk and Return – Malkiel and Saha
- “Alternative Routes to Hedge Fund Replication” – Harry Kat
- “The Hedge Fund Elite” – New Yorker
- “100 Hedge Funds to Watch” – Financial Times
- “The Advantage of Persistence – How the Best Private Equity Firms Beat the Fade”
- Top 50 Private Equity firms.
- Alpha Hedge Fund Hall of Fame
- Alpha’s top 100 hedge funds.
- “Sharpe Ratios of Top Managers” – Ziemba
- “Negative Compounding” – Gogerty
Randoms
- “Congress and the Stock Market” – Ferguson and Witte
- “Does the “Dow-10 Investment Strategy” Beat the Dow Statistically and Economically?” – McQueen et al
- “Are Cover Stories Effective Contrarian Indicators?” – Arnold, Earl, North
- Why Do We Do What We Do? – Acadian Asset Management
Stock Picking
- “How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings” – John Griffin
- “Hedge Fund Activism, Corporate Governance and Firm Performance” – Brav et al
- “On the Importance of Payout Yield” – Boudoukh, Michaely, Richardson, and Roberts
- “Extreme Returns From Extreme Value Stocks: Enhancing the Value Premium” – Keith Anderson, Chris Brooks
- “Asset Growth and the Cross-Section of Stock Returns” – Schill, Gulen, and Cooper
- “Is Dividend Yield Dead?” – Acadian Asset Management
- “Stock Selection – A Test of Relative Stock Values Reported Over 17-1/2 Years” – Kirkpatrick
Commodities
- “Strategic Asset Allocation and Commodities” – Ibbotson Associates
- Q&A with Bob Greer from PIMCO
- “Facts and Fantasies about Commodity Futures“, Gorton and Rouwenhorst
- “The Strategic and Tactical Value of Commodity Futures“, Erb and Harvey
- “Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation”, Mulvey, Kaul, and Sims
- Morningstar Commodity Indexes Fact Sheet
- Comparison of Commodity Indexes
- The Next Generation of Commodity Indexes
- Construction Rules for Morningstar Commodity Indexes
Price Distributions
- “A Tail of Two Worlds“
- “Skewing Your Diversification” – Mark Shore
Hedge Fund Managers
- Jim Simons
- “Manager Frets Over the Market, but Still Outdoes It” – New York Times on Seth Klarman
- The King of Quants GTAA Q2 Risk Parity Q3 Risk Parity Q2
- Bruce Kovner
- James Simons
- Julian Robertson
- George Soros
- Michael Steinhardt
- Kenneth Griffin
- Seth Klarman
- David Swensen
- Steven Cohen
- Leon Levy
- Jack Nash
- Louis Bacon
- Alfred Winslow Jones
- Paul Tudor Jones
Behavioral Finance
- Applying Behavioral Finance to Value Investing – Whitney Tilson Behavioural Finance – Martin Sewell
- Munger at Harvard
- “Psychology of Human Misjudgement” – Munger
- Seven Sins of Fund Management – James Montier
