Meb Faber Research – Stock Market and Investing Blog

Coaker has a couple great papers on correlation and the volatility of correlation.  Below are five charts that examine the one-year rolling correlations between the S&P 500 Index TR and : Foreign Stocks (MSCI EAFE) 10 YR US Govt Bonds Commodities (GSCI) REITS (NAREIT) The red line is the average correlation over the time period 1973-2008.            

Miami March 12 & 13 if anyone is around. (This Thursday and Friday.)

And I thought mutual fund investors were bad at timing.  Nice new paper, and of course, a great summary from CXO: "The aggregate annualized dollar-weighted return from hedge funds to investors is on average about 4% less than the comparable passive buy-and-hold hedge fund return (compared to 1.5% deficits between...

From Investopedia: "In 1939, with Hitler's Germany ravaging Europe, John Templeton bought $100 of every stock trading below $1 on the New York and American stock exchanges. Templeton's trade got him a junk pile of some 104 companies, 34 of which were bankrupt, for a total investment of roughly $10,400. Four years later he sold these stocks for more than...

What public funds out there specialize in closed-end fund discounts or arbitrage? My list is below that I will add to: ADANX FOF GCE (No volume, ETN) TFSMX Leave a comment if you know any others.

"Concentrate your energies, your thoughts and your capital. The wise man puts all his eggs in one basket and watches the basket." - Andrew Carnegie One of the coolest features in AlphaClone is the ability to view dynamic groups.  One such group we call "Concentrated Funds".  Concentrated Funds are managers who have a large overall portfolio value but spread across...

AQR launches the diversified arb fund (ADANX).  The Fund invests in a combination of arbitrage strategies such as merger arbitrage, convertible arbitrage, and (one of my favorites) closed end fund arbitrage.  But seriously, talk about a low benchmark! 90-day Tbills... ---- Embarrassed to work in finance? ---- Great PDF here from Witney Tilson - "Words of Wisdom" "One way of dealing with information being...

Okay, maybe I should be more clear.  Blindly following hedge funds through 13F filings is a terrible idea.  There are countless sites that focus on hedge fund filings and they are not going to tell you they offer little value, because then they have no reason to exist.  Building a backtesting engine is not a trivial exercise (believe me...

...and the people in this video are buy and hold investors.  A little humor for a nasty day. (Hat Tip: MK)   httpv://www.youtube.com/watch?v=D5emDj5duGg

I'm at the DEMO conference in Palm Springs - if any readers are there let me know...