Meb Faber Research – Stock Market and Investing Blog

First, a fantastic review of hedge fund replication from Conquest Capital. Here is an interview with Marc H. Malek, Managing Partner at Conquest Capital. From the interview:In our study, we found that most CTAs exhibit a very high correlation (70-90%) to one or more simple breakout strategies consisting of trading a diversified group of markets by buying...

Quant working paper reviews from the guys at AlphaLetters (readers of the blog should recognize the first one!):Article 3.Category: Strategy, payout yieldTitle: On the Importance of Measuring Payout Yield: Implications for Empirical Asset PricingAuthor: Jacob Boudoukh, Roni Michaely, Matthew Richardson, Michael R. RobertsSource: SSRNworking paperLink: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=579798Summary:This paper tries to improve the traditional dividend payout yield by using total payout...

Chinook! From the NYTimes:Checkers has been solved.A computer program named Chinook vanquished its human competitors at tournaments more than a decade ago. But now, in an article published Thursday on the Web site of the journal Science, the scientists at the University of Alberta who developed the program report that they have rigorously proved that Chinook, in a...

One of the unique features of the Virginia undergrad program in Engineering is the requirement that every student must write a thesis to graduate. The school then archives all of the papers in the library. Mine, (titled "Recombinant Adenovirus Mediated A1-Adenosine Receptor Over-Expression in the Mouse Myocardium to Treat and Prevent Myocardial Infarction"), was written over the...

Is a great show. And I like Bear. But why the 7% pop yesterday for DISCA on no news and heavy volume? I profiled Blue Ridge Capital the other day, and DISCA is one of Griffin's top holdings. Other funds that hold DISCA are:Zebra Capital ,portfolio here (Ibbotson & Chen's quant fund)Southeastern Asset Management,...

I like to use Portfolio123 for my quant based stock models. It is cheap compared to the likes of Factset, and easy to use. The biggest drawbacks are the limited database, which only goes back to 2001, and the inability to build short models.The main model I track has about 25 factors, including measures of valuation, momentum,...

Below are two reviews from the guys at AlphaLetters:Article 1.Category: Mutual fund managers and corporate board member, education connectionTitle: The Small World of Investing: Board Connections and Mutual Fund ReturnsAuthor: Lauren Cohen, Andrea Frazzini and Christopher MalloySource: University of Chicago working paperLink: http://faculty.chicagogsb.edu/andrea.frazzini/pdf/w13121.pdfThis paper finds that portfolio managers tend to overweight stocks whose corporate board members share education network...

O Mister MoonO Mister Moon, moon, bright and shiny moon,Won't you please shine down on me?O Mister Moon, moon, bright and shiny moon,Won't you please shine down on me?Here comes the farmer with a big shotgun!He's after me, and I can't run!O Mister Moon, moon, bright and shiny moon,Won't you please shine down on me?Is this a "butter in...

On the plane back from Central America the other day I read a good article in Vanity Fair called "If You Knew Sushi". It details the worlds largest fish market - Tokyo's Tsukiji. Many investors can relate to this type of frenzied greed:Occasionally tuna mania overtakes an auction. Hiroyasu Ito, the president of Chuo Gyorui, the biggest...

Alternative asset classes fascinate me. James Altucher does a good job covering the space, and even has a book on the subject (but James, please hire a graphic designer for your next cover!). For example, I had no idea there was a closed-end fund that invests in cat bonds - HNW (Anyone that has launched a...