Quant Mashup - Meb Faber
Meb's Greatest Hits [Meb Faber]
We’ve been publishing papers, books and blog posts for over 15 years covering everything from asset allocation strategies and global value investing, to farmland investing, to startups, and even the question of whether or not institutions and endowments should just be managed by a robot. With
- 3 years ago, 14 Oct 2021, 11:49am -
The Stay Rich Portfolio [Meb Faber]
Welcome to the second installment of our new series on generating wealth, preserving it, and then looking at a real-world illustration of strategically implementing these concepts. In our first essay, we discussed generating riches through a high-paying career, investing in public and private
- 4 years ago, 6 Mar 2020, 11:09am -
The Best Investment Writing Volume 3: Wes Gray (@AlphaArchitect) [Meb Faber]
Author: Wes Gray. Wes is the CEO/CIO of Alpha Architect. He has published multiple academic papers and four books, including Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). After serving as a Captain in the United States Marine Corps,
- 4 years ago, 25 Dec 2019, 02:34pm -
Podcast w/ Andreas @Clenow: Trend Following Is About Taking A Lot Of Bets On A Large Number Of Markets [Meb Faber]
Guest: Andreas Clenow is the Chief Investment Officer of ACIES Asset Management AG. He manages alternative investment funds for institutional and qualified investors. He has served as Nordic Manager for the Analytics Consulting division of Reuters Consulting, covering Sweden, Norway, Denmark,
- 4 years ago, 20 Nov 2019, 08:14pm -
Is Buying Stocks at an All-Time High a Good Idea? [Meb Faber]
No, it’s not a good idea, which should surprise no one. The fact that it is a GREAT idea, well, that should surprise everyone. Most investors fret when markets hit new highs, but should they? The below is inspired by our friend Jake @ Econompic, who examined the following query: “What if you
- 4 years ago, 5 Nov 2019, 09:53am -
The Stay Rich Portfolio (or, How to Add 2% Yield to Your Savings Account) [Meb Faber]
In 2012, Eike Batista had an estimated worth of more than $35 billion. The self-made Brazilian billionaire created an empire that stretched from mining to oil to public works. Many considered him the pride of Brazil. Barely two years later, he had lost all $35 billion…and owed another $1.2 billion
- 5 years ago, 24 Jan 2019, 01:52pm -
You Would Have Missed 961% In Gains Using The CAPE Ratio, And That’s A Good Thing [Meb Faber]
961%. That’s the amount of gains you would have missed had you followed the market timing strategy I’m going to describe in the following article that utilizes the CAPE ratio. Yes, that’s significant. But there’s far more to this story, and I suspect that had you acted on this strategy,
- 5 years ago, 7 Jan 2019, 09:52am -
Bonus Episode: Wes Gray – Factor Investing is More Art, and Less Science [Meb Faber]
Author: Wes Gray. Wes is the CEO/CIO of Alpha Architect. He has published multiple academic papers and four books, including Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). After serving as a Captain in the United States Marine Corps,
- 6 years ago, 8 Oct 2018, 04:41pm -
Why All My Books Are Now Free (aka A Lesson in Amazon Money Laundering) [Meb Faber]
If you’ve been following me on Twitter you know that I’ve finally had it with Amazon. There is a silver lining of course, and the good news for my readers is that all of my books are now free to download.(Sadly I cannot control the two I didn’t self publish…) If you care to understand why
- 6 years ago, 19 Apr 2018, 12:11pm -
Episode #68 with @CHoffstein "Risk Cannot Be Destroyed, Only Transformed" [Meb Faber]
Guest: Corey Hoffstein. Corey is the founder and CIO of Newfound Research. He’s a frequent speaker on industry panels and contributes to ETF.com, ETF Trends, and Forbes.com’s Great Speculations blog. He was named a 2014 ETF All Star by ETF.com. Corey holds a Master of Science in Computational
- 7 years ago, 23 Aug 2017, 11:36pm -
Podcast with David Varadi (@CSSAnalytics): Managing Risk is Absolutely Critical [Meb Faber]
Guest: David Varadi. David is the Co-Founder and Portfolio Manager of QuantX Funds and has been the Director of Research at Blue Sky Asset Management since 2014. Previously, David was the Vice President of Economic Research and Strategic Development for Flexible Plan Investments overseeing
- 7 years ago, 2 Aug 2017, 11:52pm -
You Don't Want to Buy Vol, You Want to Sell Vol! [Meb Faber]
That headline was a response I received from a handful of friends regarding my last post on buying puts as tail risk insurance. And I agree. Well, sort of. It’s been long known that there exists a premium for selling insurance…hey, otherwise why would anyone do it? Now what if you could combine
- 7 years ago, 20 Jun 2017, 08:51am -
Nervous About The Market? It Might Be Time for This Strategy [Meb Faber]
When the tech bubble collapsed back in 2000, the Nasdaq fell from 5,132 to just 1,470 a few months later. Many popular stocks found their market prices gutted. For example, Cisco lost 86% of its market cap, while Amazon fell over 90% from $107 to $7. Losses such as these decimated investor
- 7 years ago, 16 Jun 2017, 10:36am -
CAPE Ratio, Why Have Thou Forsaken Me? [Meb Faber]
A lot of people look at this bull market, valuations, and think somehow that value has forsaken us. And that the much discussed CAPE ratio doesn’t work. They look at the CAPE ratio, at a current value of about 30 in the US, and think somehow that markets rising along with multiples expanding
- 7 years ago, 16 May 2017, 12:54am -
The Dividend Growth Myth [Meb Faber]
A few weeks ago, I was sipping coffee, thumbing through Barron’s as I do every weekend. It’s a way in which I keep a pulse on what’s going on in our space. Though I never consciously pay attention to ads, on that particular morning, one caught my eye – a big full pager from Schwab, below.
- 7 years ago, 26 Apr 2017, 10:20pm -
Podcast w/ @GaryAntonacci: “You Get a Synergy That Happens When You Use Dual Momentum” [Meb Faber]
Gary has over 40 years’ experience as an investment professional focusing on underexploited investment opportunities. Since receiving his MBA degree from the Harvard Business School, Gary has concentrated on researching, developing, and applying innovative investment strategies that have their
- 7 years ago, 29 Mar 2017, 07:27pm -
You Would Have Missed 780% In Gains Using The CAPE Ratio, And That's A Good Thing [Meb Faber]
780%. That’s the amount of gains you would have missed had you followed the market timing strategy I’m going to describe in the following article that utilizes the CAPE ratio. Yes, that’s significant. But there’s far more to this story, and I suspect that had you acted on this strategy,
- 7 years ago, 2 Dec 2016, 05:25pm -
Over-Rebalancing [Meb Faber]
Research Affiliates has been churning out some great content lately. In their recent piece titled “Timing “Smart Beta” Strategies? Of Course! Buy Low, Sell High!” they examine some value based factor rotation strategies. Namely, they examined rotating among the factors that had the worst
- 7 years ago, 8 Nov 2016, 08:33pm -
The Coppock Curve Applied to Global Markets [Meb Faber]
I get most of my quant research done while trying to avoid other less interesting work. So I was curious when I saw my friend John Hussman writing about an obscure technical indicator called the Coppock Curve. I filed it away as “interesting”, sent it to the Idea Farm list, then moved on. But
- 8 years ago, 12 Sep 2016, 02:28am -
Tactical Asset Allocation Software [Meb Faber]
I used to update an old post on free data sources and stock screeners for investors. I thought I’d summarize a handful of websites that focus on tactical asset allocation software, tools, and backtesters. For a long time I was going to build this on tacticalassetallocation.com, but there are now
- 8 years ago, 25 Aug 2016, 03:42am -
Paper: The Trinity Portfolio [Meb Faber]
Let’s say one sets out to design a portfolio, knowing everything we know today about investing. Where would a logical, evidence-based investor even start? Investors today have access to more market data and strategic information than at any other time in history. While beneficial in some ways,
- 8 years ago, 26 Jul 2016, 01:32pm -
Which Institution Has The Best Asset Allocation Model? [Meb Faber]
If you’re like most investors, you’re asking the wrong questions. I was chatting with a group of advisors this week down in La Jolla and a question arose. I’ll paraphrase: “Meb, thanks for the talk. We get a steady stream of salespeople and consultants in here hawking their various asset
- 8 years ago, 18 May 2016, 08:56pm -
50% Returns Coming for Commodities and Emerging Markets? [Meb Faber]
If history is any guide, we’re standing at the edge of 40%–96% returns over the next two years. This isn’t wishful thinking or wild speculation. I’m not selling anything. Rather, I’m just reporting historical gains from a market set-up that’s repeating itself right now. So what’s going
- 8 years ago, 22 Apr 2016, 04:37am -
The 5 Mistakes Every Investor Makes [Meb Faber]
The 5 Mistakes Every Investor Makes is a recent book I read by Peter Mallouk, the #1 Investment Advisor in America. (I’m not poking fun, that’s just what it says on the cover.) In general it is an easy to read book that it quite reasonable it its advice, and you can get a free copy from their
- 8 years ago, 15 Apr 2016, 02:51am -
What You Don’t Want to Hear About Dividend Stocks [Meb Faber]
When was the last time you had an idea that resulted in the threat of your torture? In the early 1600s, Galileo was expanding upon Copernicus’ idea that the earth revolves around the sun. The easy-going church was slightly less than enthused. In short, things escalated… The Pope got involved…
- 8 years ago, 10 Mar 2016, 08:49pm -
When Low Vol Becomes High Vol [Meb Faber]
One of the most fertile areas of research is in factor rotation. Any asset class, investment strategy, or factor, despite working well over time, goes through periods of over and underperformance. Those periods set the stage for future reversion, and are largely due to fund flows and people chasing
- 8 years ago, 29 Feb 2016, 01:05pm -
Ranking Global Stock Markets On Valuation [Meb Faber]
A question… When an overvalued security continues rising in price, does that mean the valuation indicator is broken? If you listen to many investors, the answer would be “yes.” An oft-repeated phrase I hear goes something like: “ABC valuation indicator has been flashing expensive since XX/XX
- 8 years ago, 26 Feb 2016, 01:18am -
The Trinity Portfolio [Meb Faber]
We examined 15 famous asset allocation strategies in my last book Global Asset Allocation. (If you haven’t read it yet I’ll send you a free copy.) I would like to have included a lot more tactical ideas in the book but there is a constant struggle between keeping an idea/book simple, but
- 8 years ago, 5 Nov 2015, 04:55am -
Sovereign High Yield Bond Strategy [Meb Faber]
There is ample research that shows that sorting government bonds on yield works great. The outperformance has been very consistent over the years at about 2% a year. The Dimson, Marsh, Staunton crew examined this in their 2012 GIRY issue, and graphic is below. These are returns from going long high
- 8 years ago, 18 Oct 2015, 09:07pm -
PDF: Learning to Play Offense and Defense: Combining Value and Momentum [Meb Faber]
Abstract: Sorting stocks based on value and momentum factors historically has led to outperformance over the broad US stock market. However, any long-only strategy is subject to similar volatility and drawdowns as the S&P 500. Drawdowns of 50%, or even 60-90% make implementation of a stock
- 9 years ago, 11 Oct 2015, 09:55pm -
Timing the Markets with Value and Trend [Meb Faber]
I like Five Thirty Eight. Their data driven approach certainly appeals like a quant to me. However, like many people out there, when they apply their logic to the stock market things start to go a little screwy. They posted a piece titled :”Worried About The Stock Market? Whatever You Do, Don’t
- 9 years ago, 25 Aug 2015, 08:29pm -
Chapter 13 – Summary [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- I would classify both my mother and grandmother as traditional Southern cooks. Their style was very much of the “finger”
- 9 years ago, 24 Jul 2015, 06:57pm -
Three Years Down in a Row System [Meb Faber]
I wrote about mean reversion in my book The Ivy Portfolio back in 2008. Below is a chart from the book with a couple studies of what has happened after you buy assets down multiple years in a row. (You can also search the archives for words like “reversion” to find lots of old posts like this on
- 9 years ago, 17 Jul 2015, 01:00am -
Three-Way Model [Meb Faber]
My readers know I am a trendfollower at heart. I originally sent this to The Idea Farm but received so many questions I figured I would post here too. This study was completed by Ned Davis Research, and could not be more simple. (Similar in theory to our old QTAA paper from 2007, as well as systems
- 9 years ago, 16 Jun 2015, 01:36pm -
Chapter 11 - Comparison of the Strategies [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- “I believe in the discipline of mastering the best that other people have ever figured out. I don’t believe in just sitting
- 9 years ago, 9 Jun 2015, 03:03am -
Chapter 10 - The Warren Buffett Portfolio [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- Warren Buffett mentioned asset allocation instructions for his trust in his 2013 shareholder letter: “What I advise here is
- 9 years ago, 9 Jun 2015, 03:02am -
Chapter 9 – The Endowment Portfolio [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- “Because for any given level of return, if you diversify, you can generate that return with a lower risk; or for any given
- 9 years ago, 9 Jun 2015, 03:01am -
Chapter 6 – The Global Market Portfolio [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- “We have a passion for keeping things simple.” – Charlie Munger, Vice-Chairman Berkshire Hathaway Why not just invest along
- 9 years ago, 31 May 2015, 05:38am -
Chapter 5 – The Permanent Portfolio [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- Harry Browne was an author of over 12 books, a one-time Presidential candidate, and a financial advisor. The basic portfolio that
- 9 years ago, 30 May 2015, 02:24am -
Chapter 4 - The Risk Parity and All Seasons Portfolios [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I'll send you a free copy. -- "I know that there are good and bad environments for all asset classes. And I know that in one's lifetime, there will
- 9 years ago, 29 May 2015, 03:48am -
If US Stocks Are Expensive, How Do I Protect Myself? [Meb Faber]
There is a lot of talk about stocks being expensive, but also a lot of people not really doing anything about it. Many simply don’t know how to tackle the problem, and others don’t want to think about it at all. Below, for some perspective, are historical returns to stocks since 1970 and the 10
- 9 years ago, 17 Apr 2015, 10:07pm -
Chapter 2 – The Benchmark Portfolio: 60/40 [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. It is also available as a printable PDF on Gumroad. —— “No strategy is so good that it can’t have a bad year or more. You’ve
- 9 years ago, 6 Mar 2015, 09:13pm -
Chapter 3 – Asset Class Building Blocks [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. It is also available as a printable PDF on Gumroad. —- “I think the single most important thing that you can do is diversify your
- 9 years ago, 6 Mar 2015, 09:12pm -
Chapter 1 – A History of Stocks, Bonds, and Bills [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. It is also available as a printable PDF on Gumroad. To celebrate the launch of the new book, my last two ebooks (Global Value and
- 9 years ago, 2 Mar 2015, 10:07pm -
Webinar and NYC Travel [Meb Faber]
I’ll be in NYC twice in March to speak at QuantCon on March 14th and the MTA Conference on March 27th. If you want to schedule a meeting let me know!
- 9 years ago, 2 Mar 2015, 10:06pm -
#1 Read of the Year [Meb Faber]
I sent this to The Idea Farm last week – this is always my #1 read of the year, the CSFB Global Investment Returns Yearbook! This is the annual update to my favorite investment book,Triumph of the Optimists. Included this year is a near 100 year backtest on industry rotation based on value and
- 9 years ago, 17 Feb 2015, 07:53pm -
How to Hedge Your Business [Meb Faber]
Note: I’m holding a cover design contest for my new book out next week, feel free to enter! This is normally something I would send to The Idea Farm, but since we started the conversation here I wanted to follow up. One of the best parts of writing is getting feedback. I posted an article the
- 9 years ago, 3 Feb 2015, 07:29am -
Everything Old is New Again [Meb Faber]
Reading old investment books is somewhat of a hobby of mine (I know probably need a better hobby). Glancing up on my bookshelf there are titles most have never heard of such as Once in Golconda, The Zurich Axioms, and Supermoney. I was flipping through another book new to me that I found when
- 9 years ago, 30 Jan 2015, 04:56pm -
The Most (Not) Hated Bull Market [Meb Faber]
I look forward to reading Leuthold’s Green Book every month and the most recent one was great. I asked permission to share the following study as I thought it was revealing. They looked at sentiment levels as published by Investor’s Intelligence – specifically they averaged
- 9 years ago, 12 Jan 2015, 03:24pm -