Meb Faber Research – Stock Market and Investing Blog

Here are two behavioral downloads:Applying Behavioral Finance to Value Investing - Whitney TilsonBehavioural Finance - Martin SewellDaniel Kahneman, from an interview with Money Magazine:Q. You once said we'd all be better investors if we just made fewer decisions.A. Two decisions really matter: how much of your wealth you want to put at risk and how much risk you want...

So the next time I write an academic paper, it will have a short title, few footnotes or equations, no appendix, and be reeaallly long. (Ok, that applied to law articles and few investment papers could get away with no equations.)Full article from the Freaknomics blog, "Attack of the Supercrunchers".I just ordered this new book on data mining, "Super...

I love to look through 13F filings of hedge funds that place all of their holdings in a few stocks. That is true belief that the best ideas are in a concentrated portfolio.World Beta has examined other such managers before - Saddle Rock being one of them. Her top holdings currently are American Eagle (AEO), Abercrombie (ANF),...

"Knowledge is good" - Emil Faber, founder of Faber CollegeWhile I have no idea how my namesake college endowment is performing these days, Harvard Management Company just released their fiscal year 2007 results, and they are fantastic. From the article:The Harvard endowment grew 23 percent during the fiscal year, which ended June 30, swelling to a new high...

From AlphaLetters, two reviews of quant working papers:Article 6.Category: Strategy, mutual fund holdingsTitle: The Investment Value of Mutual Fund Portfolio DisclosureAuthor: Russ Wermers, Tong Yao, and Jane ZhaoSource: University of Maryland working paperLink: http://www.rhsmith.umd.edu/faculty/rwermers/holding_200610.pdfSummary:The strategy:· long stocks that are overweighted (underweighted) by successful (unsuccessful) managers,· short stocks that are underweighted (overweighted) by unsuccessful (successful) managers.The risk adjusted (size, b/p,...

I was in SF a few years ago when they filmed this video, and it is the first thing I thought about when considering an earlier post on how markets bounce back from down years. (Pretty interesting video of how they filmed it here.) If you're stressing about the markets, this is a nice 5 minute respite....

Wow. How can you possibly say this with a straight face? AND get promoted to CFO at Goldman Sachs?"We are seeing things that were 25-standard deviation events, several days in a row" - David Viniar, Goldman CFOSo, that is an event that happens, what, every 100,000 years? SEVERAL DAYS IN A ROW?Really? And over to a...

Now that the 13Fs have been filed with the SEC, it is time to update the Hedge Consensus and Hedge Fund Best Ideas Portfolios. (We quit tracking the Activist Portfolio - for the reasoning read this earlier post.) In our backtest, tracking the hedge funds resulted in an increase in returns of around 6%-12% with similar risk as buy...

Is Barclay's (BCS) a good short? Jeff Mathews seems to think there is more to come. An update for their 32 Capital Fund is scheduled by tomorrow.AQR down 21% YTD.Goldman's Global Alpha down 27% (40% drawdown) and Equity Opps down 30%.Tykhe Capital down 17% to 31% in August.Simon's (Renaissance) letter to investors.and Lehman's comments on why it...

After recent market action, I feel like quoting Borat from humor school. "Market neutral funds are market neutral . . .NOT!"[youtube https://www.youtube.com/watch?v=vIWIze4vFf8&w=425&h=350]A table of the listed "alternatives" is below. The arb funds (convertible and merger) and managed futures had respectable down days compared to the other funds, while holders of market neutral TFSMX are smarting after a...