Meb Faber Research – Stock Market and Investing Blog

I track the performance of roughly 60 country equity indices. Granted, most of the sample size is recent (there is only about 20 series in 1970, and 40 in 1990). Below is a chart of % of countries with a positive return in any year, and the blue line is number of series included. I don't know how much...

Morningstar uses a similar technique as our Best Ideas FOF, but with value mutual funds. They use elements of conviction, consensus, and then overlay it with the Morningstar ratings and price/fair value estimates. Current names include:Tyco (TYC) Wal-Mart (WMT) Dell (DELL)Berkshire (BRK.B)Time Warner (TWX)Expedia (EXPE)IAC (IACI) Anheuser-Busch (BUD) Johnson & Johnson (JNJ) Sprint Nextel (S) Pulte...

An article in the New York Times, "Don't Always Follow the Crowds", gives some advice on how to pick your bracket. Lots of positive implications in the professor's research for my alma mater, a #4 seed. . .And an interesting study in predictive markets is PicksPal. Predictive markets fascinate me, but I always assumed that since the users had...

In a previous post, we examined how a simple passive asset allocation and a more active strategy could perform in-line with the hedge fund indices. In their Daily Observations from January, Bridgewater examines the AUM at hedge funds and their leverage ratios (which have increased by 70% in the past few years). Great read.And, another Faber talks about "A...

I made a list a few years ago of ETFs/CEFs I would like to see hit the marketplace. Most of the products were simple alternative strategies that could be replicated with a systematic process. Bridgewater ("Hedge Funds Selling Beta as Alpha") and the Partners Group ("Factor Modelling of Hedge Funds") have some good research on the subject.Managed...

In her 2001 book "From Alchemy to IPO" Cynthia Robbins Roth cites a Hambrecht & Quist study of biotech stock movement surrounding clinical trial results (Phases I-III) and FDA approvals. The study examined the 12 months prior to and following the "event".Is anyone aware of such a study performed elsewhere that is more recent and/or comprehensive (I remember the...

Kudos to CXO who summarized the paper "Class OutPerformance (COP) Strategy". The author studied the effects of 1 year rolling cross-market momentum strategy updated monthly with 50 asset classes. Similar to my findings, the portfolio consisting of the top 20% of the asset classes outperformed the S&P500 with less risk. You can read the paper here.

In a previous study, I examined the results of investing in equity markets when they experienced negative years X years ago. The chart below re-summarizes those findings:Were there any global equity markets that were down in 2004 or 2005? I track roughly 50 countries, and the results are below:Iran (2005)Peru (2004, just barely)Thailand (2004, and 2006)Venezuela (2005)The only country,...

Are option selling funds a blowup waiting to happen?For the past few years there has been a proliferation in option selling CTAs. These funds, while wildly different in their trading methodology, generally sell options on the US stock indices. This tactic produces very strong risk adjusted numbers - as evidenced by these funds dominating the Sharpe rankings...

I have examined a few different ways of cobbling together portfolios from hedge fund 13Fs:1. Consensus - Putting together a portfolio of names that are owned by multiple funds.2. Replication - Replicating a single fund with its top 10 holdings.3. Conviction - The Morgan Stanley study that bought companies with a high %age of their shares owned by a...