WorldBeta

How to Avoid the Next Galleon Group (or Madoff)

sorry, SA kind of does what it wants with posts. you can find the original on my blog here:

www.mebanefaber.com/20.../

What a Difference a Year Makes! Endowment, Buy and Hold, and Tactical Returns

Both a strategic (buy and hold) and tactical (using the timing model) allocation justifies up to a 20% allocation to gold.

Thanks for the read! And PS, SA only pulls some of my posts, you can find them all on my blog World Beta.

2009 Investment Returns: Timing Model vs. Endowment Model

i'll try and post something to my blog in the next week on gold.

PS, thanks for the read!

Simple Momentum Rotation Results

Sorry boost, Seeking Alpha pulls content from my blog, so it is often out of context. But, not really sure how this is selling anything?

Rotation and Timing Models Combined

Sorry guys, Seeking Alpha pulls content from my blog, so it is often out of context. I believe the above goes to cash when below a long term moving average.

Stocks vs. Bonds: Return Statistics

The comments reference Feb '09, while the table only includes through 2008. Sorry for the confusion. (It also assumes monthly rebal).

Regardless, the 60/40 had a 60% drawdown in the 1930's. . .

Timing the Nasdaq Composite

Yes, Seeking Alpha edited my post (annoying) and somehow interpreted vol(atility) as vol(ume). Original is here:

www.mebanefaber.com/20.../

A Simple Post on Gold

Lots in the academic literature on round numbers. One example:

"Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.” - Osler, The Journal of Finance 58(2003):

"This paper shows that requested execution rates for stop-loss and take-profit orders cluster at round numbers, consistent with existing evidence on limit orders in stock markets. Its also shows that the pattern of clustering differs across order types and could produce the price behaviors predicted by technical analysis. Executed take-profit orders cluster more strongly at round numbers than do stop loss orders. Since take-profit orders should tend to reverse price trends, exchange rates should tend to reverse course at round numbers when they hit take-profit dominated order flow. Executed stop-loss buy orders cluster most strongly just above round numbers, and executed stop-loss sell orders cluster most strongly just below round numbers. Since stop-loss orders should tend to propagate trends, exchange rate trends should be relatively rapid after the rate crosses a round number and hits stop-loss dominated order flow."

Timing Model Equity Curves

SA pulls my content, which is often out of context. The white paper is here:

papers.ssrn.com/sol3/p...

The Capitalism Distribution: Fat Tails in Motion

Ben, you can ask the author directly in the comments section of my blog World Beta. . .

100% Cash and Out of Sample Returns

Read the link to the paper from the Journal of Wealth Management before you make an uninformed post.

papers.ssrn.com/sol3/p...

15 Value Hedge Funds - Portfolio Update

valueinvestor123 & Jake2 - please visit my blog and read a few posts before making such statements.

Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.

User 164258 - you are correct and the glitch is fixed on my blog. . .

Tracking Mean Reversion After Bad Months

worldbeta.blogspot.com...

Tracking Mean Reversion After Bad Months

Thanks Smart ETF - your comments are some of the few that are worthwhile and intelligent.

I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.

Top 10 Payout Yield Stocks

The problem with Seeking Alpha pulling content from a blog is that is is often taken out of context from what long time readers are aware of. To alleviate all of the confusion regarding my post, here is some history.

Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".

Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.

The authors of the above paper examined the payout yield and net payout yield, whose formula is:

Payout Yield = $ spent on dividends + $ spent on share repurchases
(Net payout is simply subtracting the $ raised through new share issues to the above formula)

The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.

About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.

My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens.