Informational Portfolios

Nice article out of Morningstar’s ETFInvestor where they are now tracking six new quant models of ETFs.  Many of these use the 12-month SMA and various combinations of value and momentum.

The white paper can be found here:  Model_Portfolios by Samuel Lee

Stocks to Rebound in …..2027?

I posted the below charts about a year ago.  They are often used to justify a generational buying opportunity in stocks.

Both charts show the 10 year rolling returns of stocks vs. 10 year govt bonds.

As you can see, bull markets tend to top out at around 300-400% outperformance over bonds.  Bear markets rarely get up to 100% bond outperformance.

 

However (and there always seems to be a however in investing), in Japan, this bond outperformance has dragged on for decades.  Below is the same chart in Japan since the early 1980s.  (Long time readers know I spend a lot of time referencing Japan, recent article on Japan here: What if 8% is Really 0%? )  Currently, after a brief resurfacing a few years ago in 2006/2007, the bond outperformance is continuing.

Now, can you imagine having this conversation in 15 years after 15 MORE years of bond outperformance?  If you cannot fathom that, then you are not prepared for all of the potential outcomes and how they might affect your portfolio.

Looking For Something Volatile to Trade? How About Bonds?

Zeros up a whopping 50% in 2011.  I know there has been a lot of 2011 year end lists but figured some would like to see some of the main asset class groupings and 2011 returns:

 

New Year Reads

I have spent quite a bit of time churning out some new research in-house and hope to publish it all in the next few months as it all gets FINRA approved.

In the meantime, below are a few of my favorite books from 2012:

Empire of Wealth: The Epic History of American Economic Power  - Gordon (my favorite, though it was published in 2005)

Jackass Investing: Don’t do it. Profit from it - Dever (unfortunate title, good book)

What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time - O’Shaughnessy (good update and review of quant stock screens)

 

as well as a few I’m looking forward to in the next few months:

Vanished Kingdoms: The Rise and Fall of States and Nations - Davies

Abnormal Returns: Winning Strategies from the Frontlines of the Investment Blogosphere - Viskanta

The Alpha Masters: Unlocking the Genius of the World’s Top Hedge Funds - Ahuja

Backstage Wall Street: An Insider’s Guide to Knowing Who to Trust, Who to Run From, and How to Maximize Your Investments - Brown

Baffin Island Journey

Baffin Island: A Skier’s Journey EP2 [Season 2] from Jordan Manley Photography on Vimeo.

Travel

I will be in Colorado for the week starting Saturday.  While I imagine most will be busy with family, feel free to drop me a line if you are around (or at the Broncos game)!

The Stock Idea Farm

If my friend Wes keeps it up he will soon be publishing more than Harry Kat (whose titles, including some Spice Girls themed, are the academic versions of Altucher’s blog posts).  He just put out another paper on whether buy side ideas from SumZero have any value ( Do Buy-Recommendations Have Investment Value?).  This follows up an earlier paper on the value of picks (Do Fund Managers Identify and Share Profitable Ideas?) from Greenblatt’s Value Investing Club site.  Short answer is they both do.

Some good resources places to look to expand your stock screening ideas and building out your stock idea farm.

Conferences

AFG Research (Summer)

Ira Sohn (Summer)

Value Investing Congress (Spring Omaha/LA, Fall NYC)

 

Blogs and Newsletters:

Hedge Fund Letters

Market Folly

AlphaClone

James Altucher

CXO Advisory

Dealbreaker

Zero Hedge

ValueInvestor and SuperInvestor Insight

Books and Further Readings

 

Reading Lists

 

 

 

 

FX and Value Strategies

We’re finishing up a fun little paper internally on currencies and just saw this  paper from the folks at BIS this weekend (via Alea):  FX Strategies in Periods of Distress.  We’ve mentioned before one of the reasons for the negative carry skew is the valuation of the basket at times…

Also there is a new paper out from our buddies Wes and Jack at Turnkey Analyst on which valuation metric performs the best historically?

 

A Few Site Updates

1.  Since I assume most of you are not on Twitter, I’ve added a Twitter box on the right side of the page that will post my (re)tweets.  Often I’ll link to good reads that never make it onto the blog so now you can find them here.  If you’re on Twitter you can find me @MebFaber.

2.  I created Hedge Fund Letters to serve as a rescource for information on hedge funds.  I never had time to work on the site so it always just sat there.  After a few unsuccessfull attempts at outsourcing running the site, I have found a few great writers that are working on it now.  They will be cleaning up some of the old/poor profiles as well as adding content to about 50 new ones in the next month or two.  (For example, they recently finished the Hayman, Eclectica, and Bridgewater profiles.)

If you have any more ideas here or want to get involved please let me know.

3.  I plan on doing a (recorded) webinar for a number of new research pieces we plan on putting out soon.  I feel like so much context is lost with just the printed word.  If anyone has suggestions on what is best software/website for putting on a webinar that can be recorded for archived playback please let me know.

Recs so far:

Webex (up to 3000, but have heard it gets blocked by firewalls.  $49/month up to 25 people.  Unknown cost after that since you have to talk on phone with sales specialist.)

GoToWebinar ($99/month up to 100 attendees, $499/month up to 1000 attendees)

No webinar, but recording by Camtasia ($300 one time).  Leaning towards this but would not allow for Q&A.

MeetingBurner (in Beta, < 50 attendees)

 

Requirements:

Can record a webinar of a PowerPoint, then allow playback on demand.

Can open the webinar up to questions from participants.

Cannot be blocked by firewalls, etc.

Unlimited attendees (within reason)

Who Isn’t Getting Coal in Their Stockings?

QVT Financial, Carl Icahn, Rentech, Scout, and Ruane, Cunniff, and Goldfarb are all up over 15% YTD (top 10 holdings, long only via AlphaClone).

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