FLARAM’s Activity

Fri Dec 19

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 3:16 PM

Re: simple asset allocation SPY and TLT

I'm guessing you mean capitailzation weight, not value weight?
Yes, I misused the customary value term I should have said cap weighted.

Did you test simple moving averages? If so how much worse was it than your more complicated [more]

Wed Dec 17

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:23 PM

Re: simple asset allocation SPY and TLT

Let me re-phrase - the asset rotation screens I've seen posted -here-
haven't been backtested beyond the beginning of the bond bull market.


Much longer backtests have backtested basic momentum has held up for quite a
long [more]

Mon Dec 15

NL

Boards Post

FLARAM replied to the Berkshire Hathaway board. 9:53 PM

Re: Stanford VIDEO: “Berkshire Beyond Buf

If anyone can post a list of largest companies by book value, I'd appreciate it.

Friday's SIPro data using Average shares Q1 * Book Value Per Share:

BookValue MKTCAP
BRK.A Berkshire Hathaway Inc. 237456 [more]

Sat Dec 13

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:13 AM

Re: simple asset allocation SPY and TLT

Klouch's SAA
http://boards.fool.com/heres-another-variation-19-years-back...

Avg Min Max SD
CAGR: 19.4 16.0 23.8 1.8
TR: [more]

Thu Dec 11

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 3:57 PM

Re: simple asset allocation SPY and TLT

klouche said:
Here's a six asset screen that tests well, with Bear Catchers.
Nice, so this says we should be in:

PIMCO 25+ Year Zero Coupon U.S. Trs ETF (ZROZ)
iShares US Real Estate (IYR)

Looking at their charts [more]

Wed Dec 10

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:44 PM

Re: simple asset allocation SPY and TLT

That would be incorrect, at least in the case of Faber. The majority of The Ivy Portfolio is about asset mix, without any rotation. Rebalancing yes, but not continual rotation between them. . . .It's only in a chapter toward the very end does he [more]

Mon Dec 8

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 8:55 PM

Re: Question about Net-Net Grahamified

NetNetGrahamified tends to select very small cap stocks and is very volatile to say the least.

[more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:09 AM

Re: Question about Net-Net Grahamified

job3rd:

The denominator in Pr2NetNet is different than the Standard version of NNGramified I have.

You have:
Create (Pr2NetNet): (SI Mkt Cap Q1)/(SI Current Assets Q1)-(SI Current Liab Q1)-(SI LTD Q1 )

Version I [more]

Fri Nov 28

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:26 AM

Re: fidelity select switching strategy

Try it without the beta step; someone said it did nothing. I was trying to reduce risk.
I tried all three, Beta helps slightly but voom doesn't do much of anything in this case.

CAGR GSD MDD Sharpe(20)
Original. 22.1 [more]

Sun Nov 23

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:43 AM

Re: Is it easier to beat the market now, or befo

rrjjgg
Did I check the correct measures or am I making an error? If not, why do these results seem to
differ from the others here?


Using GTR1 I verified that within the VL low market cap universe low pe does fine over the last [more]

Sat Nov 22

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:09 PM

Re: Is it easier to beat the market now, or befo

Had some time to revisit my assertion above that low PE was still working.
I didn't suspect that low PE performance depended on the time period.

Ranking PE for SP500 members for last 8 years, Low to High quintiles:
8. 6.3 6.5 6.8 8.6 [more]

Tue Nov 18

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:03 PM

Re: Another disciple of Permanent Portfolio

Musselmant
I just compared your GTR1 S&P500 results with the official S&P Dow Jones results for the last 10
years. (Dow doesn't have longer than 10 years on their Web site). GTR1 for a 1 day hold 0 slippage
shows a 8.19 CAGR, Dow [more]

Sun Nov 16

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:18 PM

Re: Is it easier to beat the market now, or befo

It might still work, but I think that to be fair, you should pick a start date, when everyone had a computer, and knew how to screen. Certainly, few people used screens before 2000.

OK here are the screen and S&P returns from [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 7:44 PM

Re: Is it easier to beat the market now, or before.

It was true, that before , you could go to the library, and pick out 30 stocks with low pe’s , and beat the market.

Yes it was true then and it is still as true today as it was then.

For example a simple LowPE screen just [more]

Wed Nov 12

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:52 PM

Re: interesting tidbit

James's O'shaunessy has a son who works for him, and wrote his own book.

And like his dad he comes up with a value screen in the book backtested with 12 separate monthly
one year hold portfolios. From 1973 till June 2012 using [more]

Tue Nov 11

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:26 PM

Re: 31 years near Buffett returns w/ fid selects

Robbie's database does not have old anything, as I understand it, if that "anything" is a list of tickers
They are pulled from Yahoo.
So yes, my understanding is that there is survivorship bias on this.


Jim I believe [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:31 AM

Re: Stocks Ranking

a whole list of tickers and . . . what they mean

This is a list of different stock screen results. It is largely a list of a large amount of gold mining tailings
with the gold still left in!

Way back in '97 seventeen [more]

Mon Nov 3

NL

Boards Post

FLARAM posted to the Mechanical Investing board. 5:11 PM

Trending Value w BCC

My attempt to add Bear Catchers Combined to Trending Value with a 1 year hold.
'97 till present hold 25
CAGR 24.2
GSD(126)21.7
AT 1.57 ?How can you have more than 1.0 AT on an annual hold (253 days)

Here is the link let me [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 3:30 PM

Re: learning from my mistakes

RUmechanical

Even if Mark had run 25 stocks in O'Shaughnessy's Trending Value Screen (The last best screen
he presents in his 4th edition) Mark would not have done as well post discovery as the market.

On GTR1 Trending [more]

Sun Oct 19

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:58 AM

Re: Mechanical Kiss?

I subscribed to the AAII's Stock Superstars report for a year or two back in the 2003/2005
timeframe. I only put in a small portion of my funds as a sort of trial. During that period I
kept track of my buys and sells and they were in the same [more]

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