Meb Faber, an investment manager who writes about quantitative investing, asset allocation, market valuation and long-term stock returns.
Commenters recommend his podcast as a starting point for quantitative investing and use his charts and CAPE posts to discuss market valuation and Japan.
Hello - fellow software engineer who dabbles in quantitative investing here. I would start with episode 1 of Meb Faber's podcast:
http://mebfaber.com/podcast/
And listen to all the episodes. Take your time, it took me about a year to get through them all.
One of my favorite guests was Gary Antonacci. I read his book Dual Momentum Investing after hearing his episode. I now use his algorithm for a sizable portion of my portfolio.
I believe all of the day-trader focused algorithmic contests like Quantopian are a joke. Don't waste your time. Quick trading strategies are a race to ZERO as quality AI systems will crush all the humans in the long term.
I have found it possible to design profitable long-only strategies that only trade once every 6 months or per year. You may find your own niches. I backtest my algorithms with homegrown ruby code and data from tradier.com (free with an account). I trade the good ones at motifinvesting.com which lets you establish a track record.
Good luck! Please share your twitter handle so I can keep tabs on you. I'm at @baccredited
I was thinking US stocks.
US stocks have experienced stellar returns over the past 10 years that exceed growth in underlying earnings. Returns over the next 10 years will likely be lower as the stock market reverts to the mean. The cyclically-adjusted P/E ratio (CAPE ratio)—defined as current stock price divided by average annual earnings over the past decade—is a common way of looking at mean reversion. The relevant results can be found in Figure 5 (page 10) of a 2016 study by StarCapital Research [1] or Figure 1 of a 1996 study by Robert Shiller [2].
As of Fri Dec 3 2021 the CAPE ratio for the S&P 500 was ~38 [3].
[1]: https://mebfaber.com/wp-content/uploads/2016/02/Research_2016_01_Predicting_Stock_Market_Returns_Shiller_CAPE_Keimling_1_.pdf
[2]: http://www.econ.yale.edu/~shiller/data/peratio.html
[3]: https://www.multpl.com/shiller-pe
Be careful with "raw" PE ratio. It peaks when earnings have already collapsed due to the denominator effect.
Median of S&P500 price/sales (not quite the same as median of price/earnings of course):
http://mebfaber.com/2015/03/13/stocks-are-the-most-expensive-since-the-1960s/
Median of price/earnings for the broad NYSE universe:
http://www.hussmanfunds.com/wmc/wmc150112.htm
I don't think it's controversial to state that high valuations in equities are more broadly carried. (Hussman's weekly column is an interesting source of opinions on where these broad valuation measures stand at any given time.)
Obviously, that doesn't automatically imply that any sort of deep loss is imminent. I believe it does say something about what you can reasonably expect in terms of long term total returns.
https://www.amazon.com/Robert-B.-Cialdini/e/B000AP9KKG - Robert Cialdini's books are good.
Never Split the difference from Chris Voss is a good book. Persuasion and negotiation are also as much about effective listening. Something I've practiced hard this year is to be mindful of creating a pause before I respond. Pause for like 2 seconds.
For investing, etc - highly recommend starting with this - https://mebfaber.com/timing-model/
Forget stock picking, it is generally a fool's errand.
Also - Tony Robbins did a good job with his book "Money: Master the game". Look up the "All weather strategy" from Ray Dalio referenced in that book. Diversification across non-correlated assets, compounded over time creates wealth.
Assuming an investor owns the stock in a taxable account, dividends are taxed at ordinary income whereas if the stock appreciates due to stock buybacks, it could be taxable as a long-term gain (if held for more than a year).
https://mebfaber.com/2016/05/02/much-dividends-costing/
>>> In a taxable account dividends could have cost you anywhere from 0.3% to over 3.0% in returns PER YEAR since 1974.
That chart is a crude snapshot of the Nikkei 225 from 1990 to 2009. Since then it's rebounded by quite a bit although it's still quite a bit under its Dec 1989 peak. But of course a stock market index isn't the full economy, so I would disagree that this chart by itself constitutes proof that Japan is stagnating.
Chart source: https://mebfaber.com/2009/12/20/japan-the-us-and-the-lost-decades/