Meb Faber Research – Stock Market and Investing Blog

Some of my work was featured in the last issue of Formula Research. If you have not heard of this newsletter, it is the only one I subscribe to (long before this issue) and I highly recommend it. Nelson Freeburg does a great job of tackling quant systems, and has been doing so for years. For...

A wonderful paper scheduled for April publication in the Journal of Finance takes a new twist on the Dogs of the Dow strategy. The paper, by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield". SmartMoney magazine also has a good overview of the paper in their "Stockscreen" column.In an earlier post we examined a...

Here are the updated portfolios for the Hedge Fund Consensus, and Activist Consensus Portfolios. Performance from 12/31/2006 - 2/21/2007 is below:Hedge: 5.76%Activist: 2.61%SP500: 2.72%Rus2k: 4.79%AMP was the best HFC stock up 24.29%, and the worst performner was AXP at -3.66%.AKS was the best AC stock up 26.27%, and the...

In addition to the regular portfolios I track, I am going to add one that updates monthly reflecting the logic from my paper "A Quant Approach to Tactical Asset Allocation."I labeled it GTAA (Global Tactical Asset Allocation) and I will update it at Stockpickr here.

Below is a table constructed from the 2006 Annual Reports from the Harvard and Yale Endowments. Similar in content to my previous post analyzing how a simple buy and hold can replicate the returns of the top endowments, this post focuses on comparing the endowments to the timing strategy mentioned in my paper.I added a column for the "Average...

Are hedge funds the juiced up managers that deliver outsized returns to go along with their outsized fees? Or are they just mediocrity in disguise? Maybe they are former shadows of the heyday years of Tiger and Soros? Or maybe there are some great ones, and some awful ones. . .There is very little in the academic literature regarding...

One of the most often asked questions I get regarding my paper is "Why do you have such a large allocation to real assets?" (ie I divide the asset classes evenly with 20% weightings, thus assigning 20% each to Commodities and REITs).The main reason was making the portfolio as simple as possible. Second, I wanted to emulate the endowment...

For those that read my paper, "A Quant Approach to TAA", I examined the use of a single factor (momentum) in constructing a global portfolio. There are a whole host of other factors, and Harindra de Silva right down the road at Analytic Investors has a great article titled, "Modern Tactical Asset Allocation". If you can't access that site...

(EDIT: They have since corrected the mistake)I have a research paper that just got published in the Spring 2007 Journal of Wealth Management titled "A Quantitative Approach to Tactical Asset Allocation". (Un)fortunately, someone on the web team confused my name Mebane with Melanie (not even the correct gender!), so now I have a female pseudonym. (I haven't had...

S&P has a published screen that follows the Buffett methodology based on Robert Hagstrom's book "The Warren Buffett Way: Investment Strategies of the World's Greatest Investor." The criteria are as follows:1. Owner earnings (cash flow - capital expenditures) > $50M (changed in February 2006 from $20M).2. Net margins > 15% for the trailing 12 months.3....