GMO Letters :  MAY 2011


Modern Portfolio Theory

1. MPT is harming your portfolio : Summary, Academic Paper
2. More Risk brings less returns : Academic article

Risk Management

1. Avoiding Losses Is One of the Keys to Managing Money (on Howard Marks of Oaktree Capital Management)
Understanding risk beyond volatility.
2. How concentrated should you be ?


The formation of tops Presentation on position sizing

Behavioural Finance

The seven sins of fund management


Bank of Japan – Recent Surge in Global Commodity Price
BoJ report on the major causes for the commodity prices run-up : ETFs, QE, Supply demand imbalance.


This Time is Different (Reinhart / Rogoff) – Outstanding charts & data. Text itself on the boring side.

The Intelligent investor Ben Graham – Classic. Slow reading, but worthwile.

The Ascent of Money (Niall Ferguson) – Excellent explanation of the birth of the modern financial system.

Reminiscence of a stcok operator (Edwin Lefèvre)

Margin of Safety

The Crowd – A Study of the Popular Mind (1895) [Gustave Lebon]

Memoirs of extraordinary popular delusions and the madness of crowds. [Charles Mackay]

Beating the Street

The bubble that broke the world [Garet Garrett] – On the 1931-1932 German credit bubble.


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