Meb Faber Research – Stock Market and Investing Blog

I was reading Haugen's factor paper again the other day and wondered how the real world results have been. The paper states that the co-author Nardin Baker has been running funds based on the factor model for 15 years at his firm Quantitative Equity Management. Anyone have their results or website? I can't seem to find...

End the Fed

Ok, it is about time I got around to adding the FAQs to the website.  If you have a burning question, or anything you want answered regarding the timing paper, the book, AlphaClone, or anything else place it in the comments and I'll include it in the FAQs. Have a great 4th!

In celebration of the 4th of July (and my birthday), I'm going to give away a few books. Head over to Twitter (you can follow me here), and I'll be giving away some books in the style of The Adderall Diaries. Namely, you get a free book but you have to pass it on when you're done. PS Just finished the very,...

Are there any academics or funds on the list that use the CRSP database? Considering doing a study that requires the CRSP stock database and don't really want to fork over $20k+.

One of the benefits of writing a blog - readers from around the world take your research, verify/disprove it, improve it, and take it in new directions.  Thanks to PC for the following charts.  Monthly data (and from the looks of it excludes Tbill yield when sitting in cash). Andrew Bary writes a Barron's cover article on the endowments and...

This is probably the #1 question I receive on email, usually in two forms: q #1 - "Meb, have you considered combining the two timing systems?  Use the rotation system across the 5 asset classes from your book, but sell an asset and move to cash when it declines below its X moving average?" or q #2 - "Meb, have you considered...

I love it when people place creative names on otherwise boring academic papers (Katz is one of the best). Case Closed by Haugen Great review by Empirical Finance here.  The problem is that every quant with a FactSet subscription knows what factors outperform.  If you pull up a symbol of a highly rated multi-factor stock (say, CORE, AEA, etc) you see...

Wow - the World Beta fund group we have been tracking on the blog since Jan '07 is beating the market by 30% this year through the weekend.  Real time out of sample results results below:

I was flipping though Mike Carr's book again the other day, and decided to download the monthly data for the Fidelity Select Sector funds from Yahoo.  (Part of the reason was due to my frustration with the state of asset class testing software that I did a post on the other day). I reran my simple rotation system on the...