Meb Faber Research – Stock Market and Investing Blog

Head and Shoulders Above the Rest? The Performance of Institutional Portfolio Managers Who Use Technical Analysis - Smith, Faugere, and Wang Abstract:        This study takes a novel approach to testing the efficacy of technical analysis. Rather than testing specific trading rules as is typically done in the literature, we rely on institutional portfolio managers’ statements about whether and how intensely they...

I'll be heading to San Diego Wed-Fri for the TD Ameritrade conference to give a talk on our Shareholder Yield ideas.    I'm then headed to Colombia for another talk in Bogota.  (Suggestions on what to do while there greatly appreciated, considering a side trip to Cartagena or Medellin...) Then onto Miami for the IndexUniverse conference. Drop me a line...

I was chatting the other day about forming portfolios by sorting country government 10-year bonds based on various metrics, and we took a look at simple sorting based on nominal and real yields.  (Plenty of shops do it by metrics such as GDP, issuance, etc.) Have you seen any research or indexes in this space?  Below is a chart from...

From Jay at MarketFolly: Lastly, Dalio made an excellent analogy comparing investing to poker: "The bets are zero sum.  In order for you to beat me in the game, it's like poker, it's a zero sum game.  We have 1,500 people that work at Bridgewater, we spend hundreds of millions of dollars on research, and so on.  We've been doing this...

More and more people seem to be joining Twitter these days.  And while it is a (un)pleasant distraction for me, I often come across great articles or links.  You can follow along on the right sidebar of the blog, but also on my Twitter profile here: https://twitter.com/MebFaber A few fun links from the last month are below, including a chart from...

I mentioned the other day that I would be updating the old QTAA paper this month along with expanding my quant research writing to be more frequent and in depth.  We already have some really fun and interesting pieces lined up, and if you have any burning q's or ideas, send them over! As a precursor to the QTAA update...

A lot of "alpha" strategies can be deconstructed into simple rules based portfolios (that some call alternative beta).  I'm not referring to the factor based or distribution based (which I don't like...) So, after the Broncos loss I figured what better way to get out of a funk than to read some finance books?  (If you're already depressed reading boring...

Below is a chart from the great JPMorgan  Guide to the Markets from our last blog post.  It details the US as a % of market cap (46%) and GDP (19%). Now, how much of your stocks are in the US domestic market?  My guess is more than 50%.  Once you account for the fact the US is one of the...

One of the more interesting debates regarding stock valuations is the state of profit margins.  One one side you have Hussman and GMO lining up, and on the other Siegel and Redleaf. I'm on the side of the former, and this is one of the reasons we have moved the majority of our equity allocations to foreign markets (valuations being...

A few new books in the mail for you to flip through while watching the Broncos game... : This is a really interesting book for all those interested in CTAs.  I skimmed it but will have to go back and re-read as the Schwager review is pretty spot on.  It reminds me a bit of that Bridgewater piece on replicating...