My #1 Read of the Year & $185k in Prizes

I'm taking the red-eye to Colombia tonite, so I have printed out a big stack of papers for the plane.  I am super excited to be reading probably my favorite update of the year, the Credit Suisse Global Investment Returns Yearbook 2013 (previous versions 2012, 2011) which are all updates to the excellent DMS book Triumph of the Optimists: 101...

Jan Holiday Buying List Follow Up

Mid December I posted an article on the Jan Effect and a few lists of stocks that may outperform.  This system is one of the more reliable alpha anomalies there is.  Once again, small caps beat large caps for a market neutral profit of 4%, and 3 of our lists outperformed SPY by an average of 1.9%.  I'm updating...

The Market is Already at All Time Highs

I'm on the Amtrak Surfliner heading down to San Diego to give a talk on Shareholder Yield at the TD Ameritrade conference.   I am taking the train because a) I love trains, and b) my last drive to SD took over 7 hours and the trauma of SoCal traffic haunts me. Anyways, I've noticed a lot of media lately...

Mutual Funds & TA

Head and Shoulders Above the Rest? The Performance of Institutional Portfolio Managers Who Use Technical Analysis - Smith, Faugere, and Wang Abstract:        This study takes a novel approach to testing the efficacy of technical analysis. Rather than testing specific trading rules as is typically done in the literature, we rely on institutional portfolio managers’ statements about whether and how intensely they...

Travel & Slides

I'll be heading to San Diego Wed-Fri for the TD Ameritrade conference to give a talk on our Shareholder Yield ideas.    I'm then headed to Colombia for another talk in Bogota.  (Suggestions on what to do while there greatly appreciated, considering a side trip to Cartagena or Medellin...) Then onto Miami for the IndexUniverse conference. Drop me a line...

Sovereign High Yield

I was chatting the other day about forming portfolios by sorting country government 10-year bonds based on various metrics, and we took a look at simple sorting based on nominal and real yields.  (Plenty of shops do it by metrics such as GDP, issuance, etc.) Have you seen any research or indexes in this space?  Below is a chart from...

Sitting at the Poker Table

From Jay at MarketFolly: Lastly, Dalio made an excellent analogy comparing investing to poker: "The bets are zero sum.  In order for you to beat me in the game, it's like poker, it's a zero sum game.  We have 1,500 people that work at Bridgewater, we spend hundreds of millions of dollars on research, and so on.  We've been doing this...

Twitter Links

More and more people seem to be joining Twitter these days.  And while it is a (un)pleasant distraction for me, I often come across great articles or links.  You can follow along on the right sidebar of the blog, but also on my Twitter profile here: https://twitter.com/MebFaber A few fun links from the last month are below, including a chart from...

Market Outlook

I mentioned the other day that I would be updating the old QTAA paper this month along with expanding my quant research writing to be more frequent and in depth.  We already have some really fun and interesting pieces lined up, and if you have any burning q's or ideas, send them over! As a precursor to the QTAA update...

Pay 2% and 20%, or $45?

A lot of "alpha" strategies can be deconstructed into simple rules based portfolios (that some call alternative beta).  I'm not referring to the factor based or distribution based (which I don't like...) So, after the Broncos loss I figured what better way to get out of a funk than to read some finance books?  (If you're already depressed reading boring...