Meb Faber Research – Stock Market and Investing Blog

I really look forward to Minerd's purple charts of the week in their Macro View.  Today's: "Historically, the real yield on 10-year Treasuries has closely tracked the University of Michigan Consumer Sentiment Index. The correlation broke down, however, in 4Q2011, as a result of the Federal Reserve’s asset purchase program. The yield on 10-year Treasuries would be roughly 150 basis...

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   EXTENSION 2 – ALTERNATIVE CASH MANAGEMENT STRATEGIES   On average the tactical portfolio is invested in 30% cash.  This is a drag on the portfolio, and many investors employ...

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   EXTENSIONS Other than simplicity, there is no reason to only focus on five asset classes.  (Technically, we believe there are only four real asset classes:  stocks, bonds, commodities,...

A lot of people are moving into cash "substitutes" to increase their yield, likely with unintended consequences.  Below is a nice piece from Vanguard on floating rate bonds:  

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   WHY IT WORKS - VOLATILITY CLUSTERING One of the benefits of a quantitative system is that it protects the investor from innate behavioral biases.  A discussion of some...

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   PRACTICAL CONSIDERATIONS AND TAXES There are a few practical considerations an investor must analyze before implementing these models for real-world applicability – namely, management fees, taxes, commissions, and...

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   STEP 3 - GLOBAL TACTICAL ASSET ALLOCATION   Given the ability of this very simplistic market-timing rule to add value to various asset classes, it is instructive to examine...

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   —-  STEP 2 – MANAGE YOUR RISK There are a few criteria that are necessary for a model to be simple enough for investors to follow, and mechanical enough...

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I've also chopped it up into a series of more digestible posts for the blog.   ----  Modern portfolio theory holds that there is a tradeoff for investing in assets – you get paid to assume risk.  Figure 3 shows the five asset classes...

The granddaddy of mutual fund vs. ETF fees, active and passive (courtesy of Morgan Stanley's very excellent ETF Quarterly):