Research and Publishing

Right now I get most of my ideas out through a few channels, namely:

Twitter – for (very) short comments and links (follow @MebFaber).

Blog – For short comments and links.

Cambria Quant Research – For longer (10-50) page research pieces (you can sign up on the blog or Cambria website to get email notices when they get published).  These are archived on SSRN, the blog, and the Cambria website.  As we launch more funds we plan on doing a much more frequent commentary (at least monthly) on positioning, market thoughts, etc.  The first six are below:

Book  – We published the first book in the heart of the last crisis, but I get a lot of requests and questions about updates as well as extensions.  I’ve been thinking about cranking out one (or maybe a few) books here shortly, and wanted to ping my audience to see what most interests them.

So, what would you like to read about?  The three biggest areas we have considered are below, so vote and or email in your thoughts.

The next question is the format (go traditional route, self publish, eBook, SSRN, or some combination of the four)…

Two of the Best Months for Bonds, Ever

August and September are turning out to be two of the top ten best months for the long bond.  Ever.  Both had double digit returns.

In general, there is not a lot of statistical predictability if you look at just the return series.  However, many of these great months came as the US was turning the corner on inflation in the early ’80s and at the early stages of a bull market.  This hasn’t been the case since 2000 and you see a lot more reversion six months out after these big months…

World’s First CTA ETF

I got excited when I saw this headline run across my screen, especially right after our post on ETFs people want to see.  Unfortunately, it’s not true.  It may be the world’s first CTA FOF ETF but there are already a number of CTA ETFs and ETNs out there (LSC, WDTI, etc).  The biggest problem with this fund (listed on Deutsche Börse), is the fees.  A whopping 1.1% fee on the ETF on top of 1.79% and 22% performance on the underlying funds.  Goes along with all the academic research that shows CTAs do a great job in generating alpha, but take all of it (and more) in fees.

Hat Tip: Gokhan Kula


New ETF Suggestions

I got a lot of interesting ETF suggestions from readers over the weekend and this week.  Below is a list of some of the more interesting responses – I’m omitting the few that we plan on persuing as to not give the competition any sort of runway.

Some are improbable, others are great ideas, while some totally unnecessary…but keep the ideas coming!

-US Nickel Arb ETF -  Long U.S. nickels (that hedge fundie Kyle Bass concludes are worth $.068 each) and short nickel futures. Tongue-in-cheek as this is pure LP strategy land…not really sure what he plans to do with them as it is illegal to melt them down…

-Housing (and other illiquid assets like Timber/PE/Art) ETF -  Would be great but the futures never worked out for volume…not sure how it would be structured otherwise…ETNs seem to be gaining in popularity at least until we have another Lehman.

-Gold Coin ETF –  Consisting of PCGS-graded MS 64 and above gold coins, US double eagles.

-Macro Rotation/CTA ETF – Still shocked there isn’t more managed futures ETFs, but I guess 2/20 hard to give up.

-Mean Reversion/Contrarian Macro ETF - One that exists in the equity space currently, none really in macro space.

-Closed End Fund Arb ETF - Buys CEFs at discount and hedges it out with shorts.

-Non-US High Yield, Corporate, and Junk ETFs

-13F Tracking ETFs

-Tail Risk / Black Swan ETF – Universa is launching one at a whopping 1.5%, but I haven’t heard much more about it lately…

-Put Write ETF - Fund that writes uncovered puts on various indexes (ie similar to CBOE S&P Index)

Endowment Fund Performance (cont.)

As usual, I’ll update performance for some of the endowments as the numbers come in.  Below is an update from an earlier post (endowment fiscal year end is June 30th, makes for a tough start to year end 2012)…here is also a fantastic must read from Bogle – The Lessons of History. ( I was considering titling this post “The Revenge of 60/40” in reference to an old post from 2009).

I wrote a month ago that the endowments and real money funds would face a high hurdle this past year (ending June 30th), and it looks like at least the initial numbers are pretty good.

60/40:  18.33%

Ivy buy and hold allocation from book:  24.27%

Dook: 25%

Columbia 23.6%

Stanford:  22%

Yale 22%

Harvard: 21%

Cornell 20%

Penn 19%

MIT: 18%

Bloomberg:  ” Endowments and foundations gained an average of 20 percent in the year ended June 30, their best performance in 14 years, according to consultant Wilshire Associates Inc.”

More Fee Absurdity

This is a nice post by a newly minted mutual fund manager.  Quint touches on the benefits and drawbacks of launching a new fund (something we can certainly relate to) and mentions one of the more ridiculous mutual fund fees baked into their bloated cost structure – the supermarket fee charged by custodians.

Fidelity, Schwab etc charge funds an absurd 0.4% just for the privlidge of listing on their platform.  0.4%!

This is one of the main reasons the ETF structure is superior, and I expect that over time custodians will be forced to eliminate this fee to stay competitive with ETFs.  It may not happen this year or next but it will happen eventually.  They simply can’t compete with ETFs when the supermarket fee is larger than most ETFs TOTAL expense ratio.  Don’t even get me started on 12b-1s….

High fee funds are not on their deathbed, but this is the end of the beginning of their demise…

Barr Rosenberg Banned from Securities Industry for Life

I mentioned this a few times on Twitter (often I’ll post short reads and links on there that never make it to the blog.)  Follow @MebFaber to keep in the loop.

This story isn’t getting much play but it should.  Most young investors don’t know who Barr is but he is one of the most famous people in the investment industry.  He is even one of 9 investors listed in the AllAboutAlpha Hall of Fame as entrepreneurs.  He was a Cal professor, developed one of the first index funds at Wells Fargo, founded BARRA (sold to MSCI), and eventually merged his money mgmt firm with AXA Rosenberg that manages now manages over $30b.

Anyways, sad news but incentive to get (another) SEC mock audit this month.

The Genomic Revolution (Ten Years Later)

Once upon a time I was a grad student at Johns Hopkins while working as a biotech equity analyst.

Anyways, hard to watch this and not be optimistic (or scared depending on your point of view).

Have a great weekend!


What ETFs are Missing?

Readers of WB likely saw our annoucement last week : Cambria Files to Launch its Own ETFs.

While we have a few great ideas in the works (and keeping a lid on what exactly for a few months), I would like to hear from my readers what strategies (or asset classes, although these are mostly commoditized) they feel are not represented in the marketplace?

Shoot me an email and I’ll compile and post in the coming weeks….

Arnott Speech Summary

Great notes from my friend Josh at the Reformed Broker blog re: Arnott’s recent presentation in NYC.  One especially interesting note is that he mentions what happens to PE Ratios when inflation increases > 4% (ie they get hammered).  Some nice graphics from a recent post we did below.   Also interesting is his mention of his favorite pairs trade:  long BAC and short AAPL – likely the only person on the planet with that trade on…more on that and AAPL from this older post.


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