Meb Faber Research – Stock Market and Investing Blog

Below is a table constructed from the 2006 Annual Reports from the Harvard and Yale Endowments. Similar in content to my previous post analyzing how a simple buy and hold can replicate the returns of the top endowments, this post focuses on comparing the endowments to the timing strategy mentioned in my paper.I added a column for the "Average...

Are hedge funds the juiced up managers that deliver outsized returns to go along with their outsized fees? Or are they just mediocrity in disguise? Maybe they are former shadows of the heyday years of Tiger and Soros? Or maybe there are some great ones, and some awful ones. . .There is very little in the academic literature regarding...

One of the most often asked questions I get regarding my paper is "Why do you have such a large allocation to real assets?" (ie I divide the asset classes evenly with 20% weightings, thus assigning 20% each to Commodities and REITs).The main reason was making the portfolio as simple as possible. Second, I wanted to emulate the endowment...

For those that read my paper, "A Quant Approach to TAA", I examined the use of a single factor (momentum) in constructing a global portfolio. There are a whole host of other factors, and Harindra de Silva right down the road at Analytic Investors has a great article titled, "Modern Tactical Asset Allocation". If you can't access that site...

(EDIT: They have since corrected the mistake)I have a research paper that just got published in the Spring 2007 Journal of Wealth Management titled "A Quantitative Approach to Tactical Asset Allocation". (Un)fortunately, someone on the web team confused my name Mebane with Melanie (not even the correct gender!), so now I have a female pseudonym. (I haven't had...

S&P has a published screen that follows the Buffett methodology based on Robert Hagstrom's book "The Warren Buffett Way: Investment Strategies of the World's Greatest Investor." The criteria are as follows:1. Owner earnings (cash flow - capital expenditures) > $50M (changed in February 2006 from $20M).2. Net margins > 15% for the trailing 12 months.3....

In a recent clip from Saturday Night Live , the show features a news segment titled "Really, with Seth and Amy". The skit focuses on the recent law difficulties of Michael Vick (who has since been shown innocent). Its quite hilarious (with a nod to the JT skit _ in a box - timely for Valentines Day!), and reminded...

Joel Greenblatt recently wrote an investment book titled "The Little Book That Beats The Market." It included a description of an investment strategy focusing on a magic formula with two inputs - high return on capital and a high earnings yield. The book is a great intro into factor based equity screening. Currently he owns four stocks - Wal...

When I first started blogging, I wanted to keep the topics separated on their own blogs. Since writing consistently on four separate blogs is a hassle (and readers have been requesting I consolidate), I'm moving them all to World Beta.From now on, I will tag the posts and readers can follow the topic specific posts by the Labels on...

Last summer David Einhorn won $659,730 for placing 18th in the World Series of Poker. Thats a pretty nice take for most people, but Einhorn isn't most people. The 37-year old fund manager donated all of the proceeds to the Michael J. Fox Foundation for Parkinson's Research. Placing 18th out of over 8,000 entrants is an amazing accomplishment, but...