Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets (2nd Edition) - by Nassim Nicholas Taleb
After re-reading the Howard Marks' letters, I was finally able to get to Fooled by Randomness (which Marks repeatedly references). While presented in a somewhat esoteric and almost arrogant manner, the content is phenomenal and probably warrants at least two reads. (Full disclosure, I must confess that it aligns very closely with my own thoughts on risk, which are summarized in my last essay "Know Your Graph"--Apparently, I was reinventing the wheel, though mine was quite a bit more lumpy than Taleb's.)
In the book, Taleb emphasizes how easily humans fall into the trap of finding meaning in random data. For example, while it may be easy to show that a musician or chef is skilled (e.g., via repeated tests), it is not at all clear in the business world, particularly money managers. He goes so far as to compare the population of money managers to that of monkeys at typewriters--a large enough population will guarantee successful outliers, regardless of skill. That leads to the question, how does one separate the skilled from the lucky? Unfortunately, it is almost, if not completely, impossible to answer.
Taleb also focuses on the issue of "Black Swans" and their ability to cause investors with moderately large strings of success to "blow up". Black swan theory (read more about it here) relates to unexpected events, particularly those that result in large effects (e.g., 9/11, 2008 crisis, etc.). He comments that while they are relatively rare events, their magnitude can be extremely large compared to those that are more common (even enough to outweigh most or all of the common events).
Taleb also goes over many other topics, but I won't summarize them all. Additionally, it should be noted that the book is mostly philosophical and does not specifically relate to investing, though the implications are large in that area. Overall, I highly recommend.