musselmant

Tom Musselman

musselmant’s Activity

Thu Dec 18

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:11 AM

Re: simple asset allocation SPY and TLT

Please let me know if this correctly interprets "the best" of your timing in your referenced post; your grammar/spelling on a few words is throwing me.

Of 48 sectors
1. Sectors must be positive
2. If number of such sectors [more]

Wed Dec 17

NL

Boards Post

musselmant replied to the Mechanical Investing board. 4:40 PM

Re: simple asset allocation SPY and TLT

A paper by Harvey, Liu and Zhu argue that t-ratios of 2.0 for newly found factors are insufficient to account for the extensive data mining inherent in financial research, which should have t-ratios ratios of 3.0:

" most claimed [more]

Tue Dec 16

NL

Boards Post

musselmant replied to the Mechanical Investing board. 1:40 PM

Re: simple asset allocation SPY and TLT

You can test some asset rotation with Jamie to 1969 for some screens:
http://backtest.org/6913h2SWnqtbrs15p1c-1

Twice the return of the S&P since 1969 (if you can stand the [more]

Sun Dec 14

NL

Boards Post

musselmant replied to the Mechanical Investing board. 9:31 PM

Re: simple asset allocation SPY and TLT

The real Nasdaq with dividends is only up 1.7% since 3/24/2000.

I don't think there is much to crow about there after 14 years.

Sat Dec 13

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:41 PM

Re: Why?

Discover magazine says you can build a time machine (but it only lets you go back as early as when the time machine is first invented).
So if you have one already, you can go uninvest.
There is a known black hole at the center of the Milky [more]

Wed Dec 10

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:25 AM

Re: ot: getting my 85% CASH into investments

1. this is a board used by people committed to the stock market most of the time, even those who believe you can accurately time the market: hence not the best place for general investing advice
2. can you afford a 50%-70% drop in your holdings? [more]

Sun Dec 7

NL

Boards Post

musselmant posted to the Mechanical Investing board. 9:07 PM

fidelity beats spreads better than folio?

yahoo finance says:
"Ram Subramaniam, president of Fidelity’s retail brokerage... says ... its research shows that the average savings on a 1,000-share market order is $7.44 off the quoted price when the order was entered, vastly better than [more]

Fri Dec 5

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:45 AM

Re: OT: Crickets

You can take segments of these and test:

Fields 1 to 5 and you have EBITDA/EV (where top is best)
Field 1 and 6 to 9 and you have CashFlow to Price (where top is best)
Field 1, 8 and 10 and you have Sales/Price (where top is [more]

Thu Dec 4

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:44 AM

Re: Still another look at screen performance

Thanks for the calculation.
Weekly hold, no commission, folio windows stocks only: is that the idea?

Fri Nov 28

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:33 AM

Re: fidelity select switching strategy

You can view the more complicated screen as overfit. I was trying to encourage discussion, and posting of other screens (both failed for the most part).

Try it without the beta step; someone said it did nothing. I was trying to reduce [more]

Mon Nov 24

NL

Boards Post

musselmant replied to the Mechanical Investing board. 5:45 PM

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

Excluding not just stocks with no PE, but very low PE stocks improves CAGR in the S&P and non-S&P largest market caps, and can explain failure of low PE alone to beat the S&P.


A. all stocks, annual hold, no commissions [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 4:50 PM

Re: fidelity select switching strategy


bearcatcher vs. no bearcatcher
cagr 22.0% 18.56
gsd 20.6 22.6
dd 12.75 14.8
sharpe .95 .748
treynor 24.6 16.5
ulcer 7.85 14.3
beta .71 .9
turnover 1.88 2.9
mdd - 40.4 -55.2
2014 19% [more]

Thu Nov 20

NL

Boards Post

musselmant replied to the Mechanical Investing board. 4:26 PM

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

corrected numbers:

Low PE didn't work for S&P 500 nor largest 500 non-S&P stocks with annual holds for lowest 20 or 250 PE stocks, with the exception of EQUAL weight S&P 500 then lowest 250 by PE, which beat the equal weight [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:48 AM

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

Low PE didn't work for S&P 500 nor largest 500 non-S&P stocks::

A.annual hold:
1. S&P 500 w/ dividends weighted by mcap each year, rebalance 253 days, no transaction costs:
a. 10.44% cagr 19570301- 10.0 [more]

Tue Nov 18

NL

Boards Post

musselmant replied to the Mechanical Investing board. 4:20 PM

Re: Another disciple of Permanent Portfolio

10% since 1984 isn't as good as the S&P with dividends

11.3% cagr and you don't have to pay 2 and 20% to a hedge manager
[more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:41 AM

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

Low PE applied to the S&P (with divs) failed to beat the S&P (with divs) since 19810714 whether using monthly or annual hold.

S&P with divs 11.7% CAGR (11.68% 20 day hold)
[more]

Thu Nov 13

NL

Boards Post

musselmant replied to the Mechanical Investing board. 5:29 PM

Re: 31 years near Buffett returns w/ fid selects

other universes:

1.Rydex equal weight:
Rydex Equal Weight Sector ETFs 20061107-
Rydex S&P Equal Weight Consumer Discretionary ETF (NYSEARCA:RCD)
Rydex S&P Equal Weight Consumer Staples ETF (NYSEARCA:RHS)
Rydex [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:39 AM

Re: 31 years near Buffett returns w/ fid selects

close to Fidelity Select universe result, but better on most metrics:

[more]

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Three stars, 500 posts Old School Fool
Board Posts 986
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People who have rec'd these posts 437
Recs to Posts Ratio (last 30 days) 3.90
Threads Started 220
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Most Frequent Board Mechanical Investing
Very First Post new ideas worthless w/o backtests (10/21/1998)
Percentage of Posts Rec'd 56.09 %
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