Meb Faber Research – Stock Market and Investing Blog

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...

“When the facts change, I change my mind – what do you do, sir?" - J.M. KeynesI relish the freedom in being able to change my mind (some would say to a fault). One huge problem in any profession is vested interests. WisdomTree, for example, has built their entire business around dividends. When confronted with a...

Red Herring reports that the owner of pharmacy.com is looking to fetch $50M for his domain. Wow. Then again, business.com went for $350M. . .Seeing as Merrill Lynch, Goldman Sachs, J.P. Morgan Chase, IndexIQ, Stonebrook Structured Products, State Street Global Advisors, and Deutsche Bank AG are ALL launching hedge fund clones, don't you think one of them...

Here is a great PDF from James Montier (Global Equity Strategy at Dresdner) describing his favorite investment books. I picked up a couple I had never heard of for some end of Summer beach reading. . .The Robot's Rebellion: Finding Meaning in the Age of Darwin Psychology of Intelligence Analysis

A recent article in the WSJ, "Why Harvard is Smarting", takes a look at a hedge fund investment gone bad. I have blogged numerous times on the outstanding track records of the top university endowments, Harvard and Yale. (You may also want to check out a similar previous post on comparing a simple asset allocation to the hedge...