Research Papers

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

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” –

“Modern Tactical Asset Allocation” – Harindra de Silva

“Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes” – Blitz and Van Vliet


“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 –
The Perfect Portfolio –

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


“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


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
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



SEC EDGAR Database


Formula Research

Gloom, Boom, and Doom

SuperInvestor Insight


Kenneth French’s data library