112 Year Holding Period Not Enough

This is a great chart from Patrick O’Shaughnessy on worst case returns for stocks.  As you can see, the US had pretty good returns for the past 112 years, but even then there was a 20 year period where you still lost money.  In fact, MOST countries had a 30 year period where you could have lost money- ouch!

PS you may as well go ahead and pre-order his book, out in October.  I’ve read it, and it’s great!


Hacking the Top Hedge Funds

Long time readers know that I’ve been publicly writing about tracking the top hedge funds through 13F filings since 2006 (but following them since 2000).  I’m mostly done with book #4 on the topic, and thought it would be fun to share the 25 fund profiles. I’m going to send these out once a week on The Idea Farm for the next few months on Sundays to get some feedback, and hopefully eventually on the blog when the book comes out.  

Any last minute favorites I should include?



“The S&P 500 is a trading system…

…and by the way, not a very good one” -David Harding, Winton (HT: @Covel)

Fun video below



Important News Reminder – GTAA ETF

Below is an email letter we sent to shareholders in June.  While I strive to avoid discussing work related matters on social media such as this blog and Twitter, sometimes it is important as a delivery mechanism to ensure all investors are informed.  Lots of our investors are not on our work email list, and the below news potentially impacts their investments, especially since many are on summer vacation!  The short summary is that we are separating with AdvisorShares and will no longer be running the GTAA ETF as of the end of the day on July, 25th.  

You can find the full letter below from early June:

Cambria Investment Management, LP and AdvisorShares issued notice today that the two parties plan on separating, and Cambria will move on from sub-advising the Cambria Global Tactical ETF (GTAA) pending board and shareholder approval.

Cambria, as a fiduciary, is committed to offering the best possible investment portfolios to our investors. Cambria will be launching the successor to the Cambria Global Tactical ETF (GTAA), the Cambria Global Momentum ETF (GMOM), at a management fee of 0.59% in the coming months.   GMOM is currently subject to an effective registration statement, and we are finalizing the terms of the listing with the NYSE and the SEC.
Cambria has been managing global tactical portfolios since 2007, and together with GMOM we will continue to manage these strategies in separate accounts and private funds.  
Cambria has launched three ETFs under our own sponsorship, including the Cambria Shareholder Yield ETF (SYLD), the Cambria Foreign Shareholder Yield ETF (FYLD), and the Cambria Global Value ETF (GVAL). 
You can find more information on Cambria at www.cambriafunds.com.  Please feel free to email us with any questions.




Buffet’s Favorite Indicator (for Japan)

Two fun charts below comparing mkt cap to GDP in the US and Japan.  Interesting to see they have similar medians, as well as peaks and troughs.  From VectorGrader

(You can also find more info at the World Bank..Would be fun to test the historical performance for developed and emerging mkts based on this indicator.  Not sure how well it would do across the two since emerging likely has much less of economy as public stocks?)



and US



My Talk at Authors@Google

Fun (lonngggg) talk at Google if you have an hour to spare.  This is sort of a nice audio companion to the book Global Value.


Railroad CAPE Ratios – In 1929?

This was a fun paper I sent to The Idea Farm a few weeks ago.  A few tidbits:

Changing Times,Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013


“We plot the CAPE ratio for the overall market as well as for the three sectors Industrials, Utilities, and Railroads
in Figure 4. Note that the CAPE ratio of the three sectors shows a relatively similar pattern across sectors through
time, but there are significant differences. Notably, in the 1929 peak, the Utilities sector stood out, because of a sharp  increase in the numerator of the ratio, and Utilities’ CAPE ratio set the all-time high record in the third quarter of that year with slightly more than 60. In that same quarter, the CAPE ratio for the Industrials sector was high, but much less so, only slightly more than 36. In comparison, the Railroads sector’s CAPE ratio at that time was around 20. The other dramatic peak, in the fourth quarter of 1999, was dominated not by the Utilities sector but by Industrials, when the Industrials sector’s CAPE ratio reached nearly 58 then. In comparison, the CAPE ratio for Railroads at that time varied between somewhat more than 30 and approximately 15 and the ratio for Utilities barely exceeded 30 at its peak. The all-time record low in our sample was set by Railroads, in the second quarter of 1932, with the CAPE ratio dropping below 2.5. During that time, Industrials’s CAPE ratio was also low at close to 6 and Utilities’ CAPE ratio came close to 10. We venture that these broad swings in entire sectors of our economy are not entirely due to changes in rational expectations for the future dividends and earnings, and must mean something for subsequent returns.”

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Valuation and Sentiment, You Say Potato…

I had not seen the website Street Talk Live before, but it has some nice charts.  One was a long term chart of the AAII stock allocations.  Nut surprisingly, but sentiment correlates pretty highly with valuations.  But then again both of those are dominated by the P.  

Below I recreated the chart with valuations on the left axis (CAPE), and stock allocation on the right (AAII).  


This IS the Global Market Portfolio

Any deviations and you’re an active investor…Rounded these numbers from this earlier piece.

40% stocks (20% US, 20% foreign)

20% Corporate Bonds

30% Government Bonds

5% Real Estate

2% each TIPs, emerging bonds, high yield



June Tweetstream

Some fun tweets and favorites from the past month over at @MebFaber

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