Reading List

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” – IntegraCapital “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 #7Vanguard 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

13Fs

• AlphaClone
• SEC EDGAR Database

Newsletters

• Formula Research
• Gloom, Boom, and Doom
• SuperInvestor Insight

Data

• Kenneth French’s data library