Meb Faber Research – Stock Market and Investing Blog

I'm chatting in NYC about risk parity (topic du jour) with a little trendfollowing, dividends, and black swans thrown in.  Hopefully they record the speech and I'll post, but if not, I'll see if I can do a webinar or such in the next month or two...

I just picked up a new copy of What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time. If you are not familiar, O'Shaughnessy takes a look at all the factors that determine stock performance. From size, to P/E, to momentum, to EBITDA/enterprise value, to multifactor models, to accruals, this is a...

I get lots of emails asking me to update my various models, and we will likely do so in the new year.  Doug Short, one of my favorite and most prolific blogs, has a nice piece here that demonstrates the real time (hypothetical) performance of the timing model we published in 2006.  He uses the great site ETFReplay and...

Wow, what a beautiful (and free) digital magazine.  Had not seen it yet: AI CIO Added to the blogroll under Institutional...        

I will be in NYC but if any readers are attending let me know -  would love to hear a summary of the event.  Solid speaker including  here.    

I was reading New Ideas from Dead Economists: An Introduction to Modern Economic Thought when I was in Berlin, and there were a few particularly interesting passages.  One commented on a proposed link between interest rates and violent crime.  Here is an except from his blog (and strangely enough he also worked at Tiger at one point): "I argue that...

Did you know French and Fama hold a Q&A on their blog (though they call it a forum) ?  Text from a recent entry here: Data from Ken French's website shows that sorting stocks on E/P or CF/P data produces a bigger spread than BtM over the last 55 years. Wouldn't it make sense to use these other factors in addition to...

I will be in NYC the week of November 7th, and as always, let me know if you want to meetup. I will also be speaking at this one day quant global macro conference.  There are going to be some interesting speakers chatting about about some timely topics including tail risk, risk parity, currencies, and TBD (mine!)  : Summary of the...

I am still shocked no one has stepped up and offered a number of solutions for managed futures packaged as ETFs.  I get that CTAs are loathe to give up their 2 and 20 fees, but CTAs (like many hedge strategies) can be distilled into a few rules based systems.  While Sperandeo's indexes (now S&P's in forms like LSC...

Great read from Rob at Research Affiliates in the recent issue of Fundamentals: "If we finish 2011 with 3% core inflation, 4–5% total inflation, and 3% three-year total inflation, the Fed’s ammunition will be tapped out. If the Fed runs the printing presses in the face of 6–10% true inflation, we are flirting with hyperinflation."