Works we have read that we would recommend to all investors:


  • Peter L. Bernstein

The Last Tycoons: The Secret History of Lazard Frères & Co.

  • William D. Cohan

Lords of Finance: The Bankers Who Broke the World

  • Liaquat Ahamed

A Random Walk Down Wall Street

  • Burton G. Malkiel

Reminiscences of a Stock Operator

  • Edwin Lefèvre

 

Arnott, R. et al, “The Folly of Hiring Winners and Firing Losers”, The Journal of Portfolio Management, Fall 2018.

Asness, C., “Using Derivatives and Leverage to Improve Portfolio Performance”. AQR, May 2010

Bali, T. et al, “Maxing Out: Stocks as Lotteries and the Cross Section of Expected Returns”. National Bureau of Economic Research, March 2009

Barberis, N., “A Model of Investor Sentiment”. The Journal of Financial Economics, January 1997

Barberis, N., et al, “Stocks as Lotteries: The Implications of Probability Weighting for Security Prices”. National Bureau of Economic Research, February 2007.

Brightman, S., “Systematic Global Macro”. Research Affiliates, October 2016

Connor, M., “Is Timing Everything? Practical Implementation of Tail Risk Hedging”. PIMCO, July 2014

D’Souza, I. et al, “The Enduring Effect of Time-Series Momentum on Stock Returns over nearly 100-Years”. SSRN 2720600, January 2016

Dao, T., “Tail Protection for Long Investors: Trend convexity at work”. SSRN 2777657, April 2016

Doeswijk, R. et al, “Historical Returns of the Market Portfolio”. SSRN 2978509, June 2017

Drechsler, I., “The Shorting Premium and Asset Pricing Anomalies”. National Bureau of Economic Research, July 2014

Faber, M., “A Quantitative Approach to Tactical Asset Allocation”. The Journal of Wealth Management, February 2009

Fama, E., French, K., “Luck versus Skill in the Cross-Section of Mutual Fund Returns”. The Journal of Finance, October 2010.

Gulen, H. et al, “Absolute Strength: Exploring Momentum in Stock Returns”. SSRN 2638004, September 2015

Haghani, V., “A Case Study for Using Value and Momentum at the Asset Class Level”. The Journal of Portfolio Management, Spring 2016

Han, Y. et al, “Taming Momentum Crashes: A Simple Stop-Loss Strategy”. SSRN 2407199 January 2014.

Harvey, C. et al, “Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance”. SSRN 2880641, December 2016

Harvey, C. et al, “The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?”. SSRN 3383173, May 2019

Hillebrand, E., “Mean Reversion Models of Financial Markets”. Universitat Bremen, May 2003

Jank, S. et al, “Dissecting Short-Sale Performance: Evidence from Large Position Disclosures”, SSRN 2631266, July 2015

Jorda, O. et al, “The Rate of Return on Everything, 1870–2015”. Bundesministerium fur Bildung und Forschung (BMBF) and the Institute for New Economic Thinking, June 2017

Jurczenko, E. et al, “Active Risk-Based Investing”. The Journal of Portfolio Management, Winter 2018

Kandasamy, N. et al, “Cortisol shifts financial risk preferences”. Proceedings of the National Academy of Sciences, February 2014

Kaplan, P. et al, “Are Relative Peformance Measures Useless?”. The Journal of Investing, June 2019.

Kritzman, M. et al, “Skulls, Financial Turbulence, and Risk Management”. Financial Analysts Journal, Vol. 66, No. 5, 2010

Liu, B. et al, “Does Past Performance Matter: The Persistence Scorecard”. S&P Dow Jones Indices Research, July 2019.

Masturzo, J., “Pricing Stocks and Bonds”. Research Affliates, June 2017

Mathews, T. “A History of Australian Equities”. RBA Research Discussion Paper, April 2019.

Moskowitz, T. et al, “Momentum Crashes”. Swiss Finance Institute Research Paper, SSRN 2371227, September 2013

Moskowitz, T., “Time Series Momentum”. August 2010

Newfound Research, “Macro and Momentum Factor Rotation”. Newfound Research LLC, September 2019

Novy-Marx, R., “Fundamentally, momentum is fundamental momentum”. National Bureau of Economic Research, February 2015

Sharpe, W. et al, “Dynamic Strategies for Asset Allocation”. Financial Analysts Journal, January/February 1988

Sun, Z. et al, “Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions”. SSRN 2249033, April 2013

Thaler, Richard H. “Anomalies: The Winner’s Curse”. Journal of Economic Perspectives, Vol. 2, no. 1, Winter 1988 (pp. 191-202)

Wang, P., “Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation”. The Journal of Wealth Management, January 2011

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