Performance of Mutual Funds in the Period

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Think Twice: Harnessing the Power of Counterintuition by Michael J. Mauboussin

affirmative action, Alan Greenspan, asset allocation, Atul Gawande, availability heuristic, Benoit Mandelbrot, Bernie Madoff, Black Swan, butter production in bangladesh, Cass Sunstein, choice architecture, Clayton Christensen, cognitive dissonance, collateralized debt obligation, Daniel Kahneman / Amos Tversky, deliberate practice, disruptive innovation, Edward Thorp, experimental economics, financial engineering, financial innovation, framing effect, fundamental attribution error, Geoffrey West, Santa Fe Institute, George Akerlof, hindsight bias, hiring and firing, information asymmetry, libertarian paternalism, Long Term Capital Management, loose coupling, loss aversion, mandelbrot fractal, Menlo Park, meta-analysis, money market fund, Murray Gell-Mann, Netflix Prize, pattern recognition, Performance of Mutual Funds in the Period, Philip Mirowski, placebo effect, Ponzi scheme, power law, prediction markets, presumed consent, Richard Thaler, Robert Shiller, statistical model, Steven Pinker, systems thinking, the long tail, The Wisdom of Crowds, ultimatum game, vertical integration

Weinstein, “Unrealistic Optimism about Future Life Events,” Journal of Personality and Social Psychology 39, no. 5 (1980): 806–820. 11. Ellen J. Langer, “The Illusion of Control,” Journal of Personality and Social Psychology 32, no. 2 (1975): 311–328. 12. Michael C. Jensen, “The Performance of Mutual Funds in the Period 1945–1964,” The Journal of Finance 23, no. 2 (1968): 389–416. Also, Burton G. Malkiel, “Returns from Investing in Equity Mutual Funds 1971–1991,” The Journal of Finance 50, no. 2 (1995): 549–572. For the paucity of funds that outperform due to skill, see Laurent Barras, O. Scaillet, and Russ R.

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Nature Neuroscience 5, no. 5 (2002): 485–490. James, William. The Principles of Psychology, vol. 1. New York: Henry Holt & Co., 1890. Janis, Irving. Groupthink: Psychological Studies of Policy Decisions and Fiascoes. 2nd ed. Boston: Houghton Mifflin, 1982. Jensen, Michael C. “The Performance of Mutual Funds in the Period 1945–1964.” The Journal of Finance 23, no. 2 (1968): 389–416. Johnson, Eric J., and Daniel Goldstein. “Do Defaults Save Lives?” Science 302 (November 21, 2003): 1338–1339. Johnson, Steven. Emergence: The Connected Lives of Ants, Brains, Cities, and Software. New York: Scribner, 2001.

More Than You Know: Finding Financial Wisdom in Unconventional Places (Updated and Expanded) by Michael J. Mauboussin

Alan Greenspan, Albert Einstein, Andrei Shleifer, Atul Gawande, availability heuristic, beat the dealer, behavioural economics, Benoit Mandelbrot, Black Swan, Brownian motion, butter production in bangladesh, buy and hold, capital asset pricing model, Clayton Christensen, clockwork universe, complexity theory, corporate governance, creative destruction, Daniel Kahneman / Amos Tversky, deliberate practice, demographic transition, discounted cash flows, disruptive innovation, diversification, diversified portfolio, dogs of the Dow, Drosophila, Edward Thorp, en.wikipedia.org, equity premium, equity risk premium, Eugene Fama: efficient market hypothesis, fixed income, framing effect, functional fixedness, hindsight bias, hiring and firing, Howard Rheingold, index fund, information asymmetry, intangible asset, invisible hand, Isaac Newton, Jeff Bezos, John Bogle, Kenneth Arrow, Laplace demon, Long Term Capital Management, loss aversion, mandelbrot fractal, margin call, market bubble, Menlo Park, mental accounting, Milgram experiment, Murray Gell-Mann, Nash equilibrium, new economy, Paul Samuelson, Performance of Mutual Funds in the Period, Pierre-Simon Laplace, power law, quantitative trading / quantitative finance, random walk, Reminiscences of a Stock Operator, Richard Florida, Richard Thaler, Robert Shiller, shareholder value, statistical model, Steven Pinker, stocks for the long run, Stuart Kauffman, survivorship bias, systems thinking, The Wisdom of Crowds, transaction costs, traveling salesman, value at risk, wealth creators, women in the workforce, zero-sum game

Malkiel, “The Efficient Market Hypothesis and Its Critics,” Journal of Economic Perspectives 17, no. 1 (Winter 2003): 78. This is not a new finding. See also Burton G. Malkiel, “Returns from Investing in Equity Mutual Funds, 1971-1991,” Journal of Finance 50, no. 2 (June 1995): 549-72; Michael C. Jensen, “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance 23 (1968): 389-416. 2 Special thanks to Gary Mishuris for creating the initial list and prompting this line of inquiry. 3 Jack Bogle, using John Maynard Keynes’s terminology, contrasts speculation (“forecasting the psychology of the market”) with enterprise (“forecasting the prospective yield of an asset”).

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New York: North-Holland, 1977. Innocentive. Web site. http://www.innocentive.com. Iowa Electronic Markets. Web site. http://www.biz.uiowa.edu/iem.. Janis, Irving Lester. Groupthink: Psychological Studies of Policy Decisions and Fiascoes . New York: Houghton Mifflin, 1982. Jensen, Michael C. “The Performance of Mutual Funds in the Period 1945- 1964.” Journal of Finance 23 (1968): 389-416. Jilek, Paddy, Bradford Neuman, and Arbin Sherchan. “U.S. Investment Digest: Five Tidbits.” Credit Suisse First Boston Equity Research, September 5, 2003. Johnson, Norman L. “Biography.” http://ishi.lanl.gov.. ——. “Collective Problem Solving: Functionality Beyond the Individual.”

Investment: A History by Norton Reamer, Jesse Downing

activist fund / activist shareholder / activist investor, Alan Greenspan, Albert Einstein, algorithmic trading, asset allocation, backtesting, banking crisis, Bear Stearns, behavioural economics, Berlin Wall, Bernie Madoff, book value, break the buck, Brownian motion, business cycle, buttonwood tree, buy and hold, California gold rush, capital asset pricing model, Carmen Reinhart, carried interest, colonial rule, Cornelius Vanderbilt, credit crunch, Credit Default Swap, Daniel Kahneman / Amos Tversky, debt deflation, discounted cash flows, diversified portfolio, dogs of the Dow, equity premium, estate planning, Eugene Fama: efficient market hypothesis, Fall of the Berlin Wall, family office, Fellow of the Royal Society, financial innovation, fixed income, flying shuttle, Glass-Steagall Act, Gordon Gekko, Henri Poincaré, Henry Singleton, high net worth, impact investing, index fund, information asymmetry, interest rate swap, invention of the telegraph, James Hargreaves, James Watt: steam engine, John Bogle, joint-stock company, Kenneth Rogoff, labor-force participation, land tenure, London Interbank Offered Rate, Long Term Capital Management, loss aversion, Louis Bachelier, low interest rates, managed futures, margin call, means of production, Menlo Park, merger arbitrage, Michael Milken, money market fund, moral hazard, mortgage debt, Myron Scholes, negative equity, Network effects, new economy, Nick Leeson, Own Your Own Home, Paul Samuelson, pension reform, Performance of Mutual Funds in the Period, Ponzi scheme, Post-Keynesian economics, price mechanism, principal–agent problem, profit maximization, proprietary trading, quantitative easing, RAND corporation, random walk, Renaissance Technologies, Richard Thaler, risk free rate, risk tolerance, risk-adjusted returns, risk/return, Robert Shiller, Sand Hill Road, Savings and loan crisis, seminal paper, Sharpe ratio, short selling, Silicon Valley, South Sea Bubble, sovereign wealth fund, spinning jenny, statistical arbitrage, survivorship bias, tail risk, technology bubble, Teledyne, The Wealth of Nations by Adam Smith, time value of money, tontine, too big to fail, transaction costs, two and twenty, underbanked, Vanguard fund, working poor, yield curve

Cowles Foundation for Research in Economics, “Alfred Cowles, 3rd (1891–1984),” Yale University, accessed 2013, http://cowles.econ.yale .edu/archive/people/directors/cowles.htm. 37. Alfred Cowles III, “Can Stock Market Forecasters Forecast?,” Econometrica 1, no. 3 (July 1933): 309–323. 38. Ibid., 323. 372 7. The Emergence of Investment Theory 39. Michael C. Jensen, “The Performance of Mutual Funds in the Period 1945–1964,” Journal of Finance 23, no. 2 (May 1968). 40. Ibid. 41. Eugene F. Fama, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance 25, no. 2 (May 1970): 383. 42. Benjamin Graham and David L. Dodd, Security Analysis (New York: McGraw-Hill, 1934). 43.

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“The UK Population: Past, Present and Future.” Office for National Statistics (UK). Last modified December 2005. http://www .ons.gov.uk/ons/rel/fertility-analysis/focus-on-people-and-migration /december-2005/focus-on-people-and-migration---focus-on-people-and -migration---chapter-1.pdf. Jensen, Michael C. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance 23, no. 2 (May 1968): 389–416. “Jewish Reaction to Madoff Scandal” (transcript). Religion and Ethics Newsweekly. Produced by Thirteen/WNET New York, PBS. March 20, 2009. http://www.pbs.org/wnet/religionandethics/2009/03/20 /march-20-2009-jewish-reaction-to-madoff-scandal/2474.

Finding Alphas: A Quantitative Approach to Building Trading Strategies by Igor Tulchinsky

algorithmic trading, asset allocation, automated trading system, backpropagation, backtesting, barriers to entry, behavioural economics, book value, business cycle, buy and hold, capital asset pricing model, constrained optimization, corporate governance, correlation coefficient, credit crunch, Credit Default Swap, currency risk, data science, deep learning, discounted cash flows, discrete time, diversification, diversified portfolio, Eugene Fama: efficient market hypothesis, financial engineering, financial intermediation, Flash crash, Geoffrey Hinton, implied volatility, index arbitrage, index fund, intangible asset, iterative process, Long Term Capital Management, loss aversion, low interest rates, machine readable, market design, market microstructure, merger arbitrage, natural language processing, passive investing, pattern recognition, performance metric, Performance of Mutual Funds in the Period, popular capitalism, prediction markets, price discovery process, profit motive, proprietary trading, quantitative trading / quantitative finance, random walk, Reminiscences of a Stock Operator, Renaissance Technologies, risk free rate, risk tolerance, risk-adjusted returns, risk/return, selection bias, sentiment analysis, shareholder value, Sharpe ratio, short selling, Silicon Valley, speech recognition, statistical arbitrage, statistical model, stochastic process, survivorship bias, systematic bias, systematic trading, text mining, transaction costs, Vanguard fund, yield curve

Journal of Finance 48, no. 1: 65–91. Jegadeesh, N. and Titman, S. (2001) “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.” Journal of Finance 56, no. 2: 699–720. Jegadeesh, N. and Titman, S. (2011) “Momentum.” Annual Review of Financial Economics 3: 493–509. Jensen, M. (1967) “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance 23, no. 2: 389–416. Jin, W., Livnat, J., and Zhang, Y. (2012) “Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?” Journal of Accounting Research 50, no. 2: 401–432. 278References Jung, M., Wong, M., and Zhang, F. (2015) “Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns.”

The Power of Passive Investing: More Wealth With Less Work by Richard A. Ferri

Alan Greenspan, asset allocation, backtesting, Benchmark Capital, Bernie Madoff, book value, buy and hold, capital asset pricing model, cognitive dissonance, correlation coefficient, currency risk, Daniel Kahneman / Amos Tversky, diversification, diversified portfolio, endowment effect, estate planning, Eugene Fama: efficient market hypothesis, fixed income, implied volatility, index fund, intangible asset, John Bogle, junk bonds, Long Term Capital Management, money market fund, passive investing, Paul Samuelson, Performance of Mutual Funds in the Period, Ponzi scheme, prediction markets, proprietary trading, prudent man rule, random walk, Richard Thaler, risk free rate, risk tolerance, risk-adjusted returns, risk/return, Sharpe ratio, survivorship bias, Tax Reform Act of 1986, too big to fail, transaction costs, Vanguard fund, yield curve, zero-sum game

Sharpe, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance 19, no. 3 (1964): 425–42. 11. Jack L. Treynor, “How to Rate Management of Investment Funds,” Harvard Business Review 43 (1965): 63–75. 12. William F. Sharpe, “Mutual Fund Performance,” Journal of Business 39 (1996): 119–138. 13. Michael C. Jensen, “The Performance of Mutual Funds in the Period 1945–1964,” The Journal of Finance 23, no. 2 (1967): 389–416. Chapter 3: The Birth of Index Funds 1. Burton Malkiel, A Random Walk Down Wall Street (New York: W.W. Norton, 1973). 2. Paul A. Samuelson, “Challenge to Judgment,” Journal of Portfolio Management 1, no. 1 (1974): 17–19. 3.

Understanding Asset Allocation: An Intuitive Approach to Maximizing Your Portfolio by Victor A. Canto

accounting loophole / creative accounting, airline deregulation, Alan Greenspan, Andrei Shleifer, asset allocation, Bretton Woods, business cycle, buy and hold, buy low sell high, California energy crisis, capital asset pricing model, commodity trading advisor, corporate governance, discounted cash flows, diversification, diversified portfolio, equity risk premium, financial engineering, fixed income, frictionless, global macro, high net worth, index fund, inflation targeting, invisible hand, John Meriwether, junk bonds, law of one price, liquidity trap, London Interbank Offered Rate, Long Term Capital Management, low cost airline, low interest rates, market bubble, merger arbitrage, money market fund, new economy, passive investing, Paul Samuelson, Performance of Mutual Funds in the Period, Phillips curve, price mechanism, purchasing power parity, risk free rate, risk tolerance, risk-adjusted returns, risk/return, rolling blackouts, Ronald Reagan, Savings and loan crisis, selection bias, seminal paper, shareholder value, Sharpe ratio, short selling, statistical arbitrage, stocks for the long run, survivorship bias, systematic bias, Tax Reform Act of 1986, the market place, transaction costs, Y2K, yield curve, zero-sum game

Kaplan. “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal 56, No. 1 (January/February 2000): 26–33. Jeffrey, Robert H. “The Folly of Stock Market Timing.” Harvard Business Review (July/August 1984): 102–10. Jensen, Michael C. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance 23 (May 1968): 389–416. La Jolla Economics. “The Rise of the en Y Is Bullish for the World Economy.” Economic Study (September 28, 1999). La Porta, Rafael, Josef Lakonishok, Andrei Shleifer, and Robert Vishny. “Good News for Value Stocks: Further Evidence on Market Efficiency.”

Capital Ideas Evolving by Peter L. Bernstein

Albert Einstein, algorithmic trading, Andrei Shleifer, asset allocation, behavioural economics, Black Monday: stock market crash in 1987, Bob Litterman, book value, business cycle, buy and hold, buy low sell high, capital asset pricing model, commodity trading advisor, computerized trading, creative destruction, currency risk, Daniel Kahneman / Amos Tversky, David Ricardo: comparative advantage, diversification, diversified portfolio, endowment effect, equity premium, equity risk premium, Eugene Fama: efficient market hypothesis, financial engineering, financial innovation, fixed income, high net worth, hiring and firing, index fund, invisible hand, Isaac Newton, John Meriwether, John von Neumann, Joseph Schumpeter, Kenneth Arrow, London Interbank Offered Rate, Long Term Capital Management, loss aversion, Louis Bachelier, market bubble, mental accounting, money market fund, Myron Scholes, paper trading, passive investing, Paul Samuelson, Performance of Mutual Funds in the Period, price anchoring, price stability, random walk, Richard Thaler, risk free rate, risk tolerance, risk-adjusted returns, risk/return, Robert Shiller, seminal paper, Sharpe ratio, short selling, short squeeze, Silicon Valley, South Sea Bubble, statistical model, survivorship bias, systematic trading, tail risk, technology bubble, The Wealth of Nations by Adam Smith, transaction costs, yield curve, Yogi Berra, zero-sum game

“Financial Market Simulation,” The Journal of Portfolio Management, 30th Anniversary Issue (September), pp. 142–152. Jacobs, Bruce, Kenneth Levy, and Harry Markowitz, 2006. “Trimability and Fast Optimizations of Long-Short Portfolios,” Financial Analysts Journal, March/April. bern_z02bbiblio.qxd 3/23/07 9:13 AM Page 255 Bibliography 255 Jensen, Michael, 1965. “The Performance of Mutual Funds in the Period 1945–1964,” Journal of Finance, Vol. 23 ( December), pp. 587– 616. Jones, Bob, 2006. Pensions & Investments, April 3, p. 20. Jung, Jeeman, and Robert Shiller, 2005. “Samuelson’s Dictum and the Stock Market,” Economic Inquiry, Vol. 43, No. 5, pp. 221–228. Kahneman, Daniel, 2002. Autobiography and Nobel Address.

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems by Irene Aldridge

algorithmic trading, asset allocation, asset-backed security, automated trading system, backtesting, Black Swan, Brownian motion, business cycle, business process, buy and hold, capital asset pricing model, centralized clearinghouse, collapse of Lehman Brothers, collateralized debt obligation, collective bargaining, computerized trading, diversification, equity premium, fault tolerance, financial engineering, financial intermediation, fixed income, global macro, high net worth, implied volatility, index arbitrage, information asymmetry, interest rate swap, inventory management, Jim Simons, law of one price, Long Term Capital Management, Louis Bachelier, machine readable, margin call, market friction, market microstructure, martingale, Myron Scholes, New Journalism, p-value, paper trading, performance metric, Performance of Mutual Funds in the Period, pneumatic tube, profit motive, proprietary trading, purchasing power parity, quantitative trading / quantitative finance, random walk, Renaissance Technologies, risk free rate, risk tolerance, risk-adjusted returns, risk/return, Sharpe ratio, short selling, Small Order Execution System, statistical arbitrage, statistical model, stochastic process, stochastic volatility, systematic trading, tail risk, trade route, transaction costs, value at risk, yield curve, zero-sum game

Titman, 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance 48, 65–91. Jagannathan, R. and Z. Wang, 1996. “The Conditional CAPM and the Cross-Section of Expected Returns.” Journal of Finance 51, 3–53. Jensen, Michael, 1968. “The Performance of Mutual Funds in the Period 1945–1968.” Journal of Finance 23 (2), 389–416. Jobson, J.D. and Korkie, B.M., “Performance Hypothesis Testing with the Sharpe and Treynor Measures.” Journal of Finance 36, 889–908. Jones, C., G. Kaul and M. Lipson, 1994. “Transactions, Volume and Volatility.” Review of Financial Studies 7, 631–651.

Trillions: How a Band of Wall Street Renegades Invented the Index Fund and Changed Finance Forever by Robin Wigglesworth

Albert Einstein, algorithmic trading, asset allocation, Bear Stearns, behavioural economics, Benoit Mandelbrot, Big Tech, Black Monday: stock market crash in 1987, Blitzscaling, Brownian motion, buy and hold, California gold rush, capital asset pricing model, Carl Icahn, cloud computing, commoditize, coronavirus, corporate governance, corporate raider, COVID-19, data science, diversification, diversified portfolio, Donald Trump, Elon Musk, Eugene Fama: efficient market hypothesis, fear index, financial engineering, fixed income, Glass-Steagall Act, Henri Poincaré, index fund, industrial robot, invention of the wheel, Japanese asset price bubble, Jeff Bezos, Johannes Kepler, John Bogle, John von Neumann, Kenneth Arrow, lockdown, Louis Bachelier, machine readable, money market fund, Myron Scholes, New Journalism, passive investing, Paul Samuelson, Paul Volcker talking about ATMs, Performance of Mutual Funds in the Period, Peter Thiel, pre–internet, RAND corporation, random walk, risk-adjusted returns, road to serfdom, Robert Shiller, rolodex, seminal paper, Sharpe ratio, short selling, Silicon Valley, sovereign wealth fund, subprime mortgage crisis, the scientific method, transaction costs, uptick rule, Upton Sinclair, Vanguard fund

Center for Research in Security Prices, “James Lorie: Recognized the Importance of CRSP for Future Research,” 50th Anniversary Issue: Rates of Return of Investments in Common Stocks, www.crsp.org/research/james-lorie-recognized-importance-crsp-future-research. 30. Lorie, “Current Controversies on the Stock Market.” 31. Michael Jensen, “The Performance of Mutual Funds in the Period 1945–1964,” Journal of Finance, May 1968. 32. Paul F. Miller Jr., “The Dangers of Retrospective Myopia,” in The Book of Investing Wisdom: Classic Writings by Great Stock-Pickers and Legends of Wall Street, ed. Peter Krass (New York: Wiley, 1999), 49. 33. Edward Renshaw and Paul Feldstein, “The Case for an Unmanaged Investment Company,” Financial Analysts Journal, 1960. 34.

The Four Pillars of Investing: Lessons for Building a Winning Portfolio by William J. Bernstein

Alan Greenspan, asset allocation, behavioural economics, book value, Bretton Woods, British Empire, business cycle, butter production in bangladesh, buy and hold, buy low sell high, carried interest, corporate governance, cuban missile crisis, Daniel Kahneman / Amos Tversky, Dava Sobel, diversification, diversified portfolio, Edmond Halley, equity premium, estate planning, Eugene Fama: efficient market hypothesis, financial engineering, financial independence, financial innovation, fixed income, George Santayana, German hyperinflation, Glass-Steagall Act, high net worth, hindsight bias, Hyman Minsky, index fund, invention of the telegraph, Isaac Newton, John Bogle, John Harrison: Longitude, junk bonds, Long Term Capital Management, loss aversion, low interest rates, market bubble, mental accounting, money market fund, mortgage debt, new economy, pattern recognition, Paul Samuelson, Performance of Mutual Funds in the Period, quantitative easing, railway mania, random walk, Richard Thaler, risk tolerance, risk/return, Robert Shiller, Savings and loan crisis, South Sea Bubble, stock buybacks, stocks for the long run, stocks for the long term, survivorship bias, Teledyne, The inhabitant of London could order by telephone, sipping his morning tea in bed, the various products of the whole earth, the rule of 72, transaction costs, Vanguard fund, yield curve, zero-sum game

Random House, 1979. Fama, Eugene, “The Behavior of Stock Prices.” The Journal of Business. January 1965. Graham, John R., and Harvey, Campbell R., “Grading the Performance of Market Timing Newsletters.” Financial Analysts Journal, November/December 1997. Jensen, Michael C., “The Performance of Mutual Funds in the Period 1945–64.” Journal of Finance, 1965. Leinweber, David, “Stupid Data Miner Tricks.” Annotated slide excerpts, First Quadrant Corporation. Morningstar Principia Pro Plus, April 2001. Nocera, Joseph, A Piece of the Action. Simon and Schuster, 1994. Surz, Ronald, Unpublished data, 2001.

Transaction Man: The Rise of the Deal and the Decline of the American Dream by Nicholas Lemann

"Friedman doctrine" OR "shareholder theory", "World Economic Forum" Davos, Abraham Maslow, Affordable Care Act / Obamacare, Airbnb, airline deregulation, Alan Greenspan, Albert Einstein, augmented reality, basic income, Bear Stearns, behavioural economics, Bernie Sanders, Black-Scholes formula, Blitzscaling, buy and hold, capital controls, Carl Icahn, computerized trading, Cornelius Vanderbilt, corporate governance, cryptocurrency, Daniel Kahneman / Amos Tversky, data science, deal flow, dematerialisation, diversified portfolio, Donald Trump, Elon Musk, Eugene Fama: efficient market hypothesis, Fairchild Semiconductor, financial deregulation, financial innovation, fixed income, future of work, George Akerlof, gig economy, Glass-Steagall Act, Henry Ford's grandson gave labor union leader Walter Reuther a tour of the company’s new, automated factory…, Ida Tarbell, index fund, information asymmetry, invisible hand, Irwin Jacobs, Joi Ito, Joseph Schumpeter, junk bonds, Kenneth Arrow, Kickstarter, life extension, Long Term Capital Management, Mark Zuckerberg, Mary Meeker, mass immigration, means of production, Metcalfe’s law, Michael Milken, money market fund, Mont Pelerin Society, moral hazard, Myron Scholes, Neal Stephenson, new economy, Norman Mailer, obamacare, PalmPilot, Paul Samuelson, Performance of Mutual Funds in the Period, Peter Thiel, price mechanism, principal–agent problem, profit maximization, proprietary trading, prudent man rule, public intellectual, quantitative trading / quantitative finance, Ralph Nader, Richard Thaler, road to serfdom, Robert Bork, Robert Metcalfe, rolodex, Ronald Coase, Ronald Reagan, Sand Hill Road, Savings and loan crisis, shareholder value, short selling, Silicon Valley, Silicon Valley ideology, Silicon Valley startup, Snow Crash, Social Responsibility of Business Is to Increase Its Profits, Steve Jobs, TaskRabbit, TED Talk, The Nature of the Firm, the payments system, the strength of weak ties, Thomas Kuhn: the structure of scientific revolutions, Thorstein Veblen, too big to fail, transaction costs, universal basic income, War on Poverty, white flight, working poor

Bernstein, Capital Ideas: The Improbable Rise of Modern Wall Street, John Wiley & Sons, 2005, and its sequel, Capital Ideas Evolving, John Wiley & Sons, 2007. “a landmark in the history of ideas”: Bernstein, Capital Ideas, 41. “Markowitz came along”: Bernstein, Capital Ideas Evolving, xii. “The mutual fund industry”: Michael C. Jensen, “The Performance of Mutual Funds in the Period 1945–1964,” Journal of Finance, Volume 23, Issue 2 (May 1968), 414. “Major corporations in most instances”: Adolf Berle, The Twentieth Century Capitalist Revolution, Harcourt, Brace and Company, 1954, 40. “the visible hand of management”: Alfred D. Chandler, The Visible Hand: The Managerial Revolution in American Business, Belknap Press, 1977, 1.

Capital Ideas: The Improbable Origins of Modern Wall Street by Peter L. Bernstein

Albert Einstein, asset allocation, backtesting, Benoit Mandelbrot, Black Monday: stock market crash in 1987, Black-Scholes formula, Bonfire of the Vanities, Brownian motion, business cycle, buy and hold, buy low sell high, capital asset pricing model, corporate raider, debt deflation, diversified portfolio, Eugene Fama: efficient market hypothesis, financial innovation, financial intermediation, fixed income, full employment, Glass-Steagall Act, Great Leap Forward, guns versus butter model, implied volatility, index arbitrage, index fund, interest rate swap, invisible hand, John von Neumann, Joseph Schumpeter, junk bonds, Kenneth Arrow, law of one price, linear programming, Louis Bachelier, mandelbrot fractal, martingale, means of production, Michael Milken, money market fund, Myron Scholes, new economy, New Journalism, Paul Samuelson, Performance of Mutual Funds in the Period, profit maximization, Ralph Nader, RAND corporation, random walk, Richard Thaler, risk free rate, risk/return, Robert Shiller, Robert Solow, Ronald Reagan, stochastic process, Thales and the olive presses, the market place, The Predators' Ball, the scientific method, The Wealth of Nations by Adam Smith, Thorstein Veblen, transaction costs, transfer pricing, zero-coupon bond, zero-sum game

“Hot Hands in Mutual Funds: The Persistence of Performance, 1974–1987.” Cambridge, MA: National Bureau of Economic Research, Working Paper #3389. Institutional Investor Staff. 1977. “Modern Portfolio Theory: How the New Investment Technology Evolved.” Institutional Investor, April. Jensen, Michael C. 1965. “The Performance of Mutual Funds in the Period 1945–64.” Journal of Finance, Vol. 23 (December), pp. 587–616. Jones, Charles P. and Jack W. Wilson. 1989. “Is Stock Price Volatility Increasing?” Financial Analysts Journal (November-December), pp. 20–26. Judson, Horace F. 1979. The Eighth Day of Creation. New York: Simon & Schuster.

Commodity Trading Advisors: Risk, Performance Analysis, and Selection by Greg N. Gregoriou, Vassilios Karavas, François-Serge Lhabitant, Fabrice Douglas Rouah

Asian financial crisis, asset allocation, backtesting, buy and hold, capital asset pricing model, collateralized debt obligation, commodity trading advisor, compound rate of return, constrained optimization, corporate governance, correlation coefficient, Credit Default Swap, credit default swaps / collateralized debt obligations, currency risk, discrete time, distributed generation, diversification, diversified portfolio, dividend-yielding stocks, financial engineering, fixed income, global macro, high net worth, implied volatility, index arbitrage, index fund, interest rate swap, iterative process, linear programming, London Interbank Offered Rate, Long Term Capital Management, managed futures, market fundamentalism, merger arbitrage, Mexican peso crisis / tequila crisis, p-value, Pareto efficiency, Performance of Mutual Funds in the Period, Ponzi scheme, proprietary trading, quantitative trading / quantitative finance, random walk, risk free rate, risk-adjusted returns, risk/return, selection bias, Sharpe ratio, short selling, stochastic process, survivorship bias, systematic trading, tail risk, technology bubble, transaction costs, value at risk, zero-sum game

Bera. (1987) “A Test for Normality of Observations and Regression Residuals.” International Statistical Review, Vol. 55, No. 2, pp. 163–172. Jensen, G. R., R. R. Johnson, and J. M. Mercer. (2000) “Efficient Use of Commodity Futures in Diversified Portfolios.” Journal of Futures Markets, Vol. 20, No. 5, pp. 489–506. Jensen, M. C. (1968) “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance, Vol. 23, No. 2, pp. 389–416. Jorgensen, R. B. (2003) Individually Managed Accounts: An Investor’s Guide. New York: John Wiley & Sons. Jorion, P. (2001). Value at Risk: The New Benchmark for Managing Financial Risk, Second Edition. New York: McGraw-Hill.

In Pursuit of the Perfect Portfolio: The Stories, Voices, and Key Insights of the Pioneers Who Shaped the Way We Invest by Andrew W. Lo, Stephen R. Foerster

Alan Greenspan, Albert Einstein, AOL-Time Warner, asset allocation, backtesting, behavioural economics, Benoit Mandelbrot, Black Monday: stock market crash in 1987, Black-Scholes formula, Bretton Woods, Brownian motion, business cycle, buy and hold, capital asset pricing model, Charles Babbage, Charles Lindbergh, compound rate of return, corporate governance, COVID-19, credit crunch, currency risk, Daniel Kahneman / Amos Tversky, diversification, diversified portfolio, Donald Trump, Edward Glaeser, equity premium, equity risk premium, estate planning, Eugene Fama: efficient market hypothesis, fake news, family office, fear index, fiat currency, financial engineering, financial innovation, financial intermediation, fixed income, hiring and firing, Hyman Minsky, implied volatility, index fund, interest rate swap, Internet Archive, invention of the wheel, Isaac Newton, Jim Simons, John Bogle, John Meriwether, John von Neumann, joint-stock company, junk bonds, Kenneth Arrow, linear programming, Long Term Capital Management, loss aversion, Louis Bachelier, low interest rates, managed futures, mandelbrot fractal, margin call, market bubble, market clearing, mental accounting, money market fund, money: store of value / unit of account / medium of exchange, Myron Scholes, new economy, New Journalism, Own Your Own Home, passive investing, Paul Samuelson, Performance of Mutual Funds in the Period, prediction markets, price stability, profit maximization, quantitative trading / quantitative finance, RAND corporation, random walk, Richard Thaler, risk free rate, risk tolerance, risk-adjusted returns, risk/return, Robert Shiller, Robert Solow, Ronald Reagan, Savings and loan crisis, selection bias, seminal paper, shareholder value, Sharpe ratio, short selling, South Sea Bubble, stochastic process, stocks for the long run, survivorship bias, tail risk, Thales and the olive presses, Thales of Miletus, The Myth of the Rational Market, The Wisdom of Crowds, Thomas Bayes, time value of money, transaction costs, transfer pricing, tulip mania, Vanguard fund, yield curve, zero-coupon bond, zero-sum game

This Is Money, September 5, http://www.thisismoney.co.uk/money/investing/article-2742297/PROF-ROBERT-SHILLER-INTERVIEW-How-stocks-crash-2014.html. Jenkins, Holman W., Jr. 2016. “Jack Bogle: The Undisputed Champion of the Long Run.” The Wall Street Journal, September 2, https://www.wsj.com/articles/jack-bogle-the-undisputed-champion-of-the-long-run-1472855372. Jensen, Michael C. 1968. “The Performance of Mutual Funds in the Period 1945–64.” Journal of Finance 23, no. 2: 389–416. ________. 1978. “Some Anomalous Evidence regarding Market Efficiency.” Journal of Financial Economics 6, no. 2–3: 95–101. Kahneman, Daniel. 2011. Thinking, Fast and Slow. New York: Farrar, Strauss and Giroux. Kahneman, Daniel, and Amos Tversky. 1979.