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” – FundAdvice.com
“Modern Tactical Asset Allocation” – Harindra de Silva
“Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes” – Blitz and Van Vliet
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
“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”
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
“Skewing Your Diversification” – Mark Shore
Hedge Fund Managers
“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
Michael Steinhardt
Kenneth Griffin
Alfred Winslow Jones
Paul Tudor Jones
Behavioral Finance
Applying Behavioral Finance to Value Investing – Whitney Tilson
Behavioural Finance – Martin Sewell
“Psychology of Human Misjudgement” – Munger
13Fs
Newsletters
Data
