“Capital Ideas Evolving” by Peter Bernstein
“The Handbook of Portfolio Mathematics” by Ralph Vince
and this for a (late) Mother’s Day present so Mom can have her own Pinkberry in Colorado. . .
I’m also enjoyed this paper by Harry Kat, “Alternative Routes to Hedge Fund Replication” (PS I am convinced Dr. Kat is a robot – look at all of these papers he churns out, unbelievable! )
And check out this great post on the seasonality of microcap returns. . .(I use the free F&F data as well)
Here are the annualized micro-cap returns by month from July 1926 to December 2004:
January………159.82%
February………25.10%
March……………1.21%
April…………….12.86%
May……………….6.85%
June………………6.57%
July……………..22.64%
August………….8.16%
September…….-7.75%
October……….-14.60%
November……….7.97%
December………-1.94%
