Meb Faber Research – Stock Market and Investing Blog

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...

"A savvy collector who purchased a first edition of a Fantastic Four comic book for 10 cents and kept it in pristine condition over the past 45 years could sell it today for $36,000. That comes to a compounded average annual return of 32 percent" - Kevin Hassett, American Enterprise Institute, posted on American.comAmerican.com takes a look at historical...

Is it time to buy an asset class or industry when everyone else is puking it up?Following up on our posts on mean reversion in equity markets and asset classes (here and here), I examine the properties of industry level mean reversion. The data used is yearly industry data from Standard and Poor's (thanks to Sam Stovall), and includes...

KKR is buying First Data Corp for $34 per share, or a 26% premium to the closing price on Friday. Monday's deal was unanimously approved by First Data's board of directors but the company will entertain other bids for the next 50 days. The company said it "intends to actively solicit proposals during this period."The Hedge Fund Consensus...