Meb Faber Research – Stock Market and Investing Blog

It's the Covariance Stupid!There is a great discussion of some asset allocation topics in Bernstein's new book, "Capital Ideas Evolving". (However, the first half of the book I skimmed). In the chapter profiling the Yale Endowment:Swensen describes the process this way: "Mean/variance was a powerful influence in causing us to move away from the standard institutional portfolio....

While idolized in music lyrics, fat tails are to be avoiding in trading systems and investment funds.There is typically little crossover in the hip-hop and country music genres. Trace Adkins made the leap when he penned his chart topping song, "Honky Tonk Badonadonk" in 2005."We don't care bout the drinkin'Barely listen to the bandOur hands, they start a shakin'When...

You can choose more than one, and if your favorite isn't listed, type it in "Other".Others listed: * Fairholme * Brightline Capital * Tuckerbrook Long/Short Value * Kiefer Total Return Growth Fund * kinetics * Fir Tree *...

Jim Simons

A good article in Forbes magazine this month:Surfin' ETFsI have discussed various cross-market momentum strategies on the blog in the past, and you can view two below:Simple Cross Market MomentumCross-Market Momentum Follow Up (with link to the COP Strategy)The Forbes article features a strategy by Robert Colby. He ranks 200 ETFs on 6-month momentum, and forms portfolios of...

Wow, I sure would like to be invested in Bruce Sherman's Private Capital. Two of his top three holdings are AT (getting bought by TPG/Goldman for $71.50) and MGM (up 30% today on talks with Tracinda). From the Stockpickr description:"Bruce S. Sherman is Chief Executive Officer and Chief Investment Officer of Private Capital Management. He has led...

Our family used to vacation at a beach house on Topsail Island N.C. Edward Teach, aka Edward Drummond, aka Blackbeard, was rumored to frequent the area (he lived in Bath, N.C), and the Wiki entry speaks to the history of its name: "Topsail Island is supposedly derived from its nefarious history. According to popular belief, pirates once hid in the...

Now that the 13Fs have been filed with the SEC, it is time to update the Hedge Consensus, Activist Consensus, and Hedge Fund Best Ideas Portfolios. Background on this post can be found in these links:Let Seth Klarman Manage Your PortfolioCloning the Buffett PortfolioConstructing a Best Ideas Hedge FOFShow Me Your Hand - GreenlightBelow is commentary on the...

Interesting article in the FT today regarding the 4 year presidential cycle. "The third years of US presidential terms have been great for investors. Research by academics Scott Beyer, Gerald Jensen and Robert Johnson shows that in the past 12 presidential terms, large-cap stocks gained 23.8 per cent on average during the third years. In years one, two...

"Capital Ideas Evolving" by Peter Bernstein"The Handbook of Portfolio Mathematics" by Ralph Vinceand this for a (late) Mother's Day present so Mom can have her own Pinkberry in Colorado. . .I'm also enjoyed this paper by Harry Kat, "Alternative Routes to Hedge Fund Replication" (PS I am convinced Dr. Kat is a robot - look at all of...