Meb Faber Research – Stock Market and Investing Blog

Glad I didn't write my book on Google docs."11.1 You retain copyright and any other rights you already hold in Content which you submit, post or display on or through, the Services. By submitting, posting or displaying the content you give Google a perpetual, irrevocable, worldwide, royalty-free, and non-exclusive licence to reproduce, adapt, modify, translate, publish, publicly perform, publicly...

Reading anything interesting? Send me your links. . .----It is always nice to see a model continue to perform out-of-sample. Below are the results of the "Quant Approach to TAA" paper since it left off in 2005. Equity-like returns with bond-like volatility and low drawdowns. Obviously much of this outperformance is due to the spectacular run...

I'm not much of a ranter, but it doesn't make any sense to me to continue to focus on dividends when there has clearly been a structural change in the market (that happened way back in 1982). (For newer readers there is background reading with lots of links at the end.) Dogs of the Dow is simply...

The Sharpe Ratio is a measure of the risk-adjusted return of an investment. While there are a lot of ways to measure risk, the Sharpe Ratio uses the volatility as measured by the standard deviation of returns. Originally developed by Stanford Professor William Sharpe, it is simply the return of an investment (R) minus cash sitting in T-bills...

Princeton-Newport is one of the best performing hedge funds of all time, and for a good review check out the great book Fortune's Formula(more in the next post). 15% per year for 20 years and 3 down months is a pretty enviable track record. Thorp has a chapter in The Best of Wilmott, and you can actually download the...

How is it that the Celtics are only trading at slightly better than even odds to win the NBA title? From Tradesports:----Brits turning down free money.----Samuel Israel clearly faked it and made a run for it. It reminds me of some the the great financial thrillers by Paul Erdman (The Set-Up).----Buffett hates fees - his bet against...

I just read El-Erian's new book When Markets Collide this past weekend. Am I the only person to notice that his allocation only adds up to 98%? Weird. (I just added 2% to cash.) I did like this quote from the book which reminded me of my post a couple months ago on optimizing happiness:"There is growing talk...

I created a Google Custom Search Gadget and added it to the World Beta toolbar. It searches only the top 50 investment blogs. Let me know what you think (and if I should add some more blogs). You can also find the search site here where you can customize the gadget or add it to your...

Just added The Capital Spectator to the Blogroll. Picerno has a great article on the global capital markets portfolio - and so far no ETF shop has gotten it right (they usually exclude commodities and REITs). My estimates for the global market portfolio are (comment if you have links or better numbers):(I consider the real estate portion...

So far it doesn't look like there have been any studies that divide factor research into bull/bear or trend periods. If there are any readers that use Factset (especially in SoCal)and would like to collaborate, let me know.----I posted back in November a simple stock screen and the top picks it returned. Since that time they have...