Meb Faber Research – Stock Market and Investing Blog

Just came across his blog - it's a good read. He is a much more sophisticated and academic (I consider myself a quant lite), but does a good job of distilling complex ideas into simple explanations. He is also the author of "My Life as a Quant".

Readers of this blog will have already seen the material, but I have an article this month in the British publication, The Technical Analyst.Link to the article - "Comparing Returns: Market Timing vs. Hedge Fund Indices".I'm on the East Coast (DC, NC, SC) for a week of work and fun.PS Here is a good list of investment blog sites...

"Money won is twice as sweet as money earned" - Fast Eddie Felson, The Color of MoneyMy first exposure to arbitrage was while attending school at Virginia. We were bottom of the barrel in basketball all 4 of my years there. At most ACC schools, alumni live and die by their hoops team. My family had season...

As always, CXO does an exemplary job summarizing a new paper out titled, "The Volatility Effect: Lower Risk without Lower Return". Bottom line (from CXO): In summary, investors overpay for volatile stocks over the long haul, most dramatically during bear markets.In an unrelated note, Hulbert pens a great column on market newsletter "Douglas Fabian's Successful Investing". ...

Mohnish Pabrai is a hedge fund manager in the style of Warrenn Buffett, and his hedge fund has reported annualized returns of over 28% net of fees since inception in 1999. I recently read Mohnish Pabrai's book titled "Mosaic: Perspectives on Investing", which is mainly a collection of articles that had been published in the past five...

As usual, CXO does a great job distilling a long academic paper into the key points. This paper is worth a read and can be found here.Abstract: We investigate more than a dozen of factors formed on firm characteristics and risk measures that have been claimed to be able to explain cross-sectional asset...

Backtested results may not reveal the effects of unanticipated shocks to the system.Most managed futures trendfollowing systems have seen historical declines that exceed their CAGR, with many approaching 50% or more. Flipping through the new book on the Turtles, I came across a great chapter on price shocks. In the passage Curtis Faith describes how his $20M trading account...

Hedge fund elite rankings.

World Beta listens to reader questions and pens the responses over the Easter holiday.It is gratifying to see that my paper on tactical asset allocation just broke into the Top 300 downloaded papers on SSRN (out of over 116,000 papers). I receive a few questions fairly consistently, and I thought I would address the most common below.Have you tested...

If you could come up with a short list of former Internet high fliers, CMGI would certainly be near the top of the list. Trading as high as the 160s in the late 1990s, the stock currently goes for ~$2.3 after going as low as $0.3 .What is interesting about this stock is that it started popping up on...