Links

White Papers

• “A Quantitative Approach to Tactical Asset Allocation" – Faber

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
• 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
• The Capitalism Distribution
• Current Long Positions
• Notable Blow-ups in 2008
• Notable Failed Companies
• Notable Recent Trades

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

 

13Fs

• AlphaClone
• SEC EDGAR Database
• SuperInvestor Insight

  

Newsletters

• Formula Research
• Gloom, Boom, and Doom

 

Data

• Kenneth French’s data library