Readings
  • John Larry Kelly Jr. A new interpretation of information rate. Bell Systems Technical Journal, 27:379–423, 623–656, October 1948 Access
  • Michael Cole Jensen. The performance of mutual funds in the period 1945–64. The Journal of Finance, 23(2):389–416, May 1968 Access
  • Fischer Black and Myron Scholes. The pricing of options and corporate liabilities. Journal of Political Economy, 81(3):637–654, May–June 1973 Access
  • Bradley Efron. Better bootstrap confidence intervals. Journal of the American Statistical Association, 82(397):171–200, 1987 Access
  • Narasimham Jegadeesh. Evidence of predictable behavior of security returns. The Journal of Finance, 45(3):881–898, July 1990 Access
  • Clifford S. Asness. The power of past stock returns to explain future stock returns. Social Science Research Network (SSRN), January 1995 Access
  • Tobias J. Moskowitz and Mark Grinblatt. Do industries explain momentum? Journal of Financial Economics, 54(4):1249–1290, August 1999 Access
  • Hal Lux. The secret world of Jim Simons. Institutional Investor Magazine, November 1, 2000 Access
  • Olivier Ledoit and Michael Wolf. Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance, 15:850–859, 2008 Access
  • Victor DeMiguel et al. Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? The Review of Financial Studies, 22(5):1915–1953, May 2009 Access
  • Tobias J. Moskowitz et al. Time series momentum. Journal of Financial Economics, 104(2):228–250, May 2012 Access
  • Edward Oakley Thorp interviewed by Jack D. Schwager. Abnormal Returns (Website), June 13, 2012. Thorp is the famous author of “Beat the Dealer”, a book about his method of card counting in blackjack. He was a very successful hedge fund manager, which career he took up after quitting his first career as a professor of mathematics. Note especially that Thorp says that he found, with a trend-following scheme, that a lookback window of only about 60 days was optimal--- not anything like, say, a year. Access
  • Clifford S. Asness et al. Fact, fiction and momentum investing. Journal of Portfolio Management, Fall 2014 Access
  • David H. Bailey et al. The probability of backtest overfitting. Social Science Research Network (SSRN), July 2015 Access
  • James Harris Simons interviewed by Chris Anderson. TED2015. Simons is the founder of Renaissance Technologies LLC, a hedge fund firm whose funds have put in truly spectacular performances over the decades. He is an extremely accomplished mathematician. Access
  • Cliff Asness. Fama on momentum. AQR (Website), February 5, 2016 Access
  • Kent Daniel and Tobias J. Moskowitz. Momentum crashes. Journal of Financial Economics, 122(2):221–247, November 2016 Access
  • Michael C. O'Connor. Fund and Subportfolio Momentum. Social Science Research Network (SSRN), April 2, 2019 Access
  • Steven E. Pav. A Short Sharpe Course v0.2.999 Social Science Research Network (SSRN), Sunday 11th April, 2021 Access
  • Michael C. O'Connor. Revisiting Hypothesis Testing With the Sharpe Ratio. Social Science Research Network (SSRN), March 6, 2022 Access