Meb Faber Research – Stock Market and Investing Blog

AQR out with a couple new risk parity funds (targeting 10% and 15% vol).  I think when the SEC gets comfortable with derivatives an ETF could easily replicate the risk parity funds for 50 bps or so...but nice to AQR launching lots of interesting funds. We track a handful of  alternative funds (this list is a bit outdated) and below...

As a follow up to our valuation work, this is a fun table of countries and their CAPE values as well as current drawdowns (total returns). Not surprising if you've read our last few blogs, but low value correlates highly to high drawdowns for the most part.  ie the average drawdown for CAPE values: less than 10:  -60% 10 to 15:  -25% >15:...

Article & video here on Hedge Fund Letters on some hedge funds doing great this year.  Two  funds mentioned are Appaloosa & Lone Pine. Tracking these funds long only stock picks is also doing well, as: Tepper's top 10 holdings, equal weighted and rebalanced quarterly 50 days after the quarter end is up ~38% YTD. Mandel's top 10 holdings, equal weighted and rebalanced...

What is a simple way to generate more alpha?  Take your alpha strategy, and do the opposite!   The Surprising 'Alpha' from Malkiel's Monkey and Upside-Down Strategies Summary from CXO Fantastic table on page 16, click to enlarge... Abstract:       The latest index literature is bursting with new innovations based on quantitative strategies that are predicated on sensible investment beliefs. Empirical studies confirm that these...

From the folks at Orgami out with a new investment $130,000 contest. ---- Also, another fun Idea Farm email went out last week that has an issue of Manual of Ideas....included is a reading list from de Vaulx that features some books I have never heard of like City of London: 1815-2000 by Kynaston and A Financial History of Western Europe by Kindelberger.  Both in the...

Two factors that have consistently worked over time are value and momentum.  Lots and lots of research in the archives as well as our work here.  We also emailed out a must read debate between Arnott and Asness this weekend on GTAA and factor investing... On the sector front, the three most undervalued sectors relative to their valuation over the...

We have posted a lot on reversion and counter trend systems on the blog over the years.  One idea Prabhat and I were working on was taking a look at future returns to sectors and industries based on their drawdown level. Below are a few tables that look at total returns, value weighted, to investors at various timeframes since the...

If you haven't been to Hedge Fund Letters in awhile, stop by.  I've found a solid group of writers for the site, and in addition to the 200 or so hedge fund profiles we now have a blog that updates a few times a week. Here is a good summary and video of the always entertaining Hugh Hendry. If you have...

It looks like the 5th! Edition of Stocks for the Long Run will be out in a month or two.  I am highly curious to see if Jeremy will admit that trendfollowing works in this edition.  He has a chapter in the book where he examines trends on stocks, shows statistical evidence that it does work then concludes it...

To all our friends on the east coast, please be safe! We sent out an issue of The Idea Farm that is related to catastrophe bonds, an area that has always fascinated me (Buffett and PIMCO are investors in these esoteric bonds.) Check out the issue here as we added a blog/archive at the request of subscribers. From the email, below are...