Reviewed February 2021
BEYOND QUANTITATIVE INVESTMENT ANALYSIS
Our website presents extensive quantitative research documenting the advantages of passive and index investing over active investing, applications of DFA's factor based diversification models, and other research on designing and enhancing portfolio performance. The reading list presented here includes books examining banking, economic theory and history, manias, panics and crashes, historical returns studies, Wall Street corruption, investment models, financial elites, commodity markets, debt markets, derivative markets, high frequency trading, quants, private equity, and hedge funds.
EAM believes that it is important for all investors to clearly understand that all quantitative investment models, including passive and index models, ultimately rest on applying correlations, multiple regressions and other statistics which ultimately rest on historical economic and financial data and market prices. The numbers that are analyzed to produce these statistics come from the real world which is very complex, unpredictable and always changing. We discuss this in another article on our website, "Financial Superstructures". Therefore, historically based quantitative investment analysis cannot predict with high certainty what will happen in the future even though it sometimes may predict with good statistical confidence what is likely to happen. Many of the books listed below complement the "Financial Superstructures" article on our website.
Acemoglu, D. and Robinson, J. "Why Nations Fail: The Origins of Power, Prosperity, and Poverty. How man-made political and economic institutions, either inclusive or extractive, underlie economic success or failure.
Adams, Charles. "For Good and Evil: The Impact of Taxes on the Course of Civilization", 1993. A tax lawyer's detailed and well-researched account of the abuse of tribute and taxation from the earliest times to the present and government extraction of wealth from citizens.
Ahamed, L. "Lords of Finance", 2009. How central bank heads in the1920's created the conditions that led to the 1929 market crash, the Great Depression, and WWII finances.
Akerlof, George & Shiller, Robert. "Animal Spirits", 2009. How human psychology drives the economy and capitalism.
Altorfer, S. ed. "History of Financial Disasters, 1763-1995", 2006. A three volume history with original and highly detailed source materials, a monumental work of scholarship.
Anderson, B. "Economics and the Public Welfare", 1949, first ed. An analysis of US economic history from 1913 through 1945 with much quantitative data on the causes of the 1929 crash and policy errors during the Great Depression.
Ang, A. "Asset Management", 2014. A business professor at Columbia provides a largely quantitative analysis of factor risk premiums, mean-variance portfolios, "real assets" and other topics of importance to investors.
Applebaum, E. and Batt, R. "Private Equity at Work". Critically examines private equity, equity extraction and leverage, junk bonds, performance histories and examples, LBO's, regulatory failure, and other aspects of private equity.
Bair, S. "Bull by the Horns", 2012. The former chairman of the FDIC and her stinging indictment of how regulators and highly placed individuals within investment banks worked against the public interest during 2008.
Barofsky, N. "Bailout", 2012. The special inspector general in charge of oversight on the TARP program offers an irrefutable insider indictment of the mishandling of TARP money by Treasury Secretary Geithner, Washington and Wall Street.
Berenson, A. "The Number: How the Drive for Quarterly Earnings Corrupted Wall Street and Corporate America", 2003. An examination of earnings and accounting fraud.
Bernstein, P. "Capital Ideas", 1992. The history of ideas that shaped modern finance.
Bernstein, Peter. "Capital Ideas Evolving", 2007. Major investment ideas and concepts.
Bill, W. "The Best Way to Rob a Bank is to Own One: How Corporate Executives and Politicians Looted the S & L Industry", 2005. A detailed examination of control fraud and white collar crime in the S&L collapse in the 1980's by an attorney and academic.
Bookstaber, R. "A Demon of our own Design", 2007. A hedge fund rocket scientist examines how quants and technology have made markets more risky.
Cameron, R. and Neal, L. "A Concise Economic History of the World from Paleolithic Times to the Present", 2003. A fact filled history of economic development from ancient times to the present.
Chancellor, E. "Devil Take the Hindmost", 1999. An outstanding history of financial speculation and its catastrophes from Roman times to the rise of derivatives.
Cohan, W. "Money and Power": How Goldman Sachs Came to Rule the World, 2011. How Goldman operates.
Cole, B. "The Pied Pipers of Wall Street", 2001. How Wall Street securities analysts and financial journalism provide biased self-serving information to investors.
Credit Suisse Global Investment Returns Yearbook. Summary version is free online and updated annually. Data in the report is continuously gathered by Dimson et al's research teams and is considered the gold standard on market returns and financial and economic variables. It covers 25 countries since 1900 and includes country returns, dividends, factor and asset class comparisons, dividends, exchange rates, seasonality and risk premiums. It was first presented to the investment public in Dimson et al., "Triumph of the Optimists", 2002.
Das, Satyajit. "Masters of the Universe and the Cult of Risk", 2011. The author is a former insider and specialist in derivatives, risk management and markets.
Ferguson, Niall. "The House of Rothschild", 1998. A history of the wealthiest family in the world and how they became that way.
Foster, R. "Fiat Paper Money", 1991. A detailed history of the repeated collapses of fiat government currencies.
Freeland, C. "Plutocrats", 2012. The rise of the global super-rich, wealth disparity and income inequality.
Geisst, C. "Wheels of Fortune", 2002. A history of speculation and scandal in the commodity and gold and futures markets.
Geisst, Charles. "Wall Street: From Its Beginnings to the Fall of Enron", 1997. The history of Wall Street involvement with Washington and Wall Street's self-interest and self-dealing.
Gillispie, John & Zweig, D. "Money for Nothing", 2010. How CEO's, Boards of Directors and Wall Street are engaged in self-dealing and equity extraction.
Goodman, L. "The Asylum", 2011. An entertaining analysis of corruption and decadence in America's commodity markets with a focus on oil traders.
Grant, J. "Money of the Mind: Borrowing and Lending in America from the Civil War to Michael Milken", 1st ed. 1992. A history of borrowing, debt, and defaults.
Hiatt, Steven, ed. "A Game as Old as Empire", 2007. Global economic entities and self-dealing.
Ilmanen, A. "Expected Returns", 2011. This book offers a comprehensive encyclopedia of quantitative investment research, extensive references, and covers quantitative research on efficient market theory, risk premiums, factors, credit spread risk, real estate, commodities, hedge funds, private equity, currency carry, volatility selling, economic growth, forecasting models, risk management and other topics.
Kay, John. "Other People's Money", 2015. A Wall Street insider with over two decades of high level experience discusses moral hazard, leverage, intermediation, the deposit channel, derivatives, regulatory capture, economic policy and related topics.
Kindleberger, C. "Manias, Panics, and Crashes", 1996, 3rd ed. A Harvard professor examines financial market excesses from the 1700's through the early 1990's. A classic.
Klein, M. "Rainbow's End: The Crash of 1929", 2001. A well-researched and entertaining history of what created the 1929 crash.
Kosman, J. "The Buyout of America", 2009. How private equity extracts wealth from company balance sheets and how it harms companies and their customers.
Lack, Simon. "The Hedge Fund Mirage", 2012. A JPM insider examines "the truth about hedge fund returns", fees and costs and other aspects of the hedge fund industry.
Lebor, A. "The Tower of Basel: The Shadowy History of the Secret Bank that Runs the World", 2013. The history of the Bank of International Settlements (BIS). Also, see the section on the BIS in the "Financial Superstructures" article on our website.
Lessig, L. "Republic, Lost", 2011. A Harvard Law professor examines how lobbyists and campaign contributions have corrupted Congress and the financial system.
Lewis, H. "Where Keynes Went Wrong", 2009. A critical analysis of today's dominant central banking theory.
Lewis, M. "Liar's Poker", 1989. A hilarious journey with the author through his rise at Salomon Brothers in the 1980's and self-dealing and greed on Wall Street.
Lewis, Michael. "Flash Boys", 2015. An entertaining and critical examination of the history of high frequency trading, HFT. HFT dominates major exchanges and markets today and "invests" for milliseconds to a few days as computers trade with each other.
Lewis, Michael. "The Big Short: Inside the Doomsday Machine", 2010. The mortgage bubble and the 2008 financial crisis and a trader who profited from it.
Lowenstein, R. "When Genius Failed", 2000. The spectacular failure of Long-term Capital Management and its quant models in 1998. LTCM required massive Federal Reserve and private investment bank bailouts to avoid a global financial crisis.
Luyendijk, J. "Swimming with Sharks", 2015. A journalist penetrates the world of high end investment bankers in the City of London and reveals the values that drive them.
Morgenson, Gretchen & Rosner, J. "Reckless Endangerment", 2011. Washington, Wall Street, regulatory failure and the 2008 mortgage crisis.
Navidi, S. "Superhubs: How the Financial Elite and their Networks Rule our World", 2016. An attorney with insider experience in investment banking, corporate and finance law examines the exclusive clubs of the global financial elite including the World Economic Forum in Davos, the International Monetary Fund, the Fed and Washington political elites.
Palen, Ronen et al. "Tax Havens", 2010. Globalization and tax reduction by global elites.
Patterson, S. "Dark Pools", 2012. A reporter for the Wall Street Journal examines how global financial markets have been distorted by high frequency trading and dark pools outside the major exchanges.
Phillips, K. "Wealth and Democracy", 2002. A historical examination of wealth, power and political corruption in America and the many dangers of debt, speculative finance and income polarization.
Pikkety, T. "Capital in the Twenty-First Century", 2014. A historical and data filled examination of economic inequality and the distribution of income and wealth.
Portnoy, Frank. "Infectious Greed", 2003. Derivatives and financial industry self-dealing.
Prins, Naomi. "All the Presidents' Bankers: The Hidden Alliances that Drive American Power", 2014. A comprehensive 100 year history of how financial elites and Washington functioned interdependently and influenced the US economy and government policies.
Prins, Naomi. "Collusion: How Central Bankers Rigged the World", 2018. An examination of the influence of central bankers around the world as of 2018.
Reinhart, C. and Rogoff, K. "This Time is Different: Eight Centuries of Financial Folly", 2009. A largely quantitative analysis of banking, currency, real estate and debt crises. A review is on our website.
Roose, K. "Young Money: Inside the Hidden World of Wall Street's Post-crash Recruits", 2014. Examines the "id-driven testosterone-filled" culture of investment banks populated by recent Ivy school graduates, cutthroat business models, and ethical failures.
Rothbard, M. "A History of Money and Banking in the United States: The Colonial Era to World War II", 2005. An examination of the relentless self-interest, manipulation and deceit of Wall Street, investment banks, and financiers.
Rothkopf, D. "Superclass: The Global Power Elite and the World They are Making", 2008. An analysis of the interests of the 6000 wealthiest families on the planet and how they influence social policies, corporations, markets and generate rising inequality.
Schilit, H. "Financial Shenanigans: How to Detect Accounting Gimmicks and Fraud in Financial Reports", 2nd ed., 2002. A Ph.D. and CPA deconstructs revenue tricks, expense traps, and liability scams in corporate financial reports.
Schlichter, D. "Paper Money Collapse", 2011. Examines why fiat government currency systems always end up worthless and always lead to financial crises.
Schultz, E. "Retirement Heist", 2011. An examination of how corporations plunder and profit from pension plans and underfunding in US pension plans.
Sedgwick, J. "Rich Kids: America's Young Heirs and Heiresses, How They Love and Hate Their Money", 1985. The author, a member of the elites, interviewed 57 young heirs and heiresses to America's greatest fortunes between the ages of 20 and 40. He largely finds self-absorption and a lack of achievement.
Segarra, C. "Noncompliant, A Loan Whistle Blower Exposes the Giants of Wall Street", 2018 Written by an attorney with a distinguished Wall Street and banking career. An insider's view on how things work at Goldman Sachs,
Shaxson, Nicholoas. "Treasure Islands", 2011. Offshore tax strategies and tax havens.
Sheehan, F. "Panderer to Power", 2010. How Alan Greenspan's policies as chairman of the Federal Reserve enriched Wall Street, redistributed wealth and harmed the US economy.
Soll, J. "The Reckoning", 2014. Presents a multi-millennia history of accounting and reveals how accounting has shaped kingdoms, empires and civilizations and their rise and fall.
Stockman, D. "The Great Deformation", 2013. David Stockman is a two-time Congressman and was President Reagan's chief economic advisor. This is an important book and a review is on our website. It primarily focuses on debt and the corruption of capitalism by the Fed, Washington and Wall Street.
Suskind, R. "Confidence Men", 2011. How Wall Street and financiers took control of Washington and influenced President Obama to serve their self-interest.
Weatherford, J. "The History of Money", 1997. A thorough history of the stages of evolution of money from cacao beans to the creation of coins to electronic money.
Whalen, R.C. "Inflated: How Money and Debt Built the American Dream", 2011. A history of inflation in the United States and the dangers debt creates.