musselmant

Tom Musselman

musselmant’s Activity

Yesterday

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Boards Post

musselmant replied to the Mechanical Investing board. 6:44 PM

Re: experiment

Master Kung says "Man who throw dirt lose ground".

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:47 AM

Re: Factor ETFs - Smart Beta

large-cap stocks are trading at a 21.8% premium to their long-term average using the P/E ratio per Validea, and a 24.7% premium using the PSR .Large-caps have been more expensive only 0.1% of the time using P/S.”

Small- and mid-cap stocks, [more]

Sun May 22

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Boards Post

musselmant replied to the Mechanical Investing board. 10:08 PM

Re: Friedrich Algorithm

People will pay more attention if and when you are:
a) willing to unveil the contents of the black box
b) have more out-of-sample time; one year is WAY insufficient
c) acknowledge academic evidence, which does NOT support cash flow ratios [more]

Fri May 20

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Boards Post

musselmant replied to the Mechanical Investing board. 6:04 PM

Re: Friedrich Algorithm

What are the dates you went "live" i.e. out-of-sample after the backtest?
Did your criteria change from the backtest after you did so?
Have your real-world results been audited?
Are the returns after your fees & expenses?

NL

Boards Post

musselmant replied to the Mechanical Investing board. 12:33 PM

Re: Friedrich Algorithm

Always nice to see backtests but I didn't see the last 5 plus years. Did it fall apart? Or do you not have data?

Thu May 19

Wed May 18

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Boards Post

musselmant replied to the Mechanical Investing board. 11:15 AM

Re: OT: The upcoming few years

The world is now adding more capacity for renewable power each year than coal, natural gas, and oil combined.
The shift occurred in 2013, when the world added 143 gigawatts of renewable electricity capacity, compared with 141 gigawatts in new [more]

Tue May 17

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Boards Post

musselmant replied to the Mechanical Investing board. 10:16 PM

Re: Zack's RTG folio's

I wouldn't rule out any sub-universe due to a period of under-performance if there is a rationale for why the sub-universe is a good one. Buffet has had periods under-performing the market by over 70% and still became a billionaire. The WER [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 6:31 PM

Re: Zack's RTG folio's

end 2012 to present

WER w/ .4% friction vs. SPY
CAGR 12.7% 14

This is underperformance; I said "recently".

[more]

Mon May 16

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Boards Post

musselmant replied to the Mechanical Investing board. 10:22 PM

Re: Zack's RTG folio's

What they did't change was using last week's prices when you couldn't get them, and also including "S&P 500" in the backtester as a criteria leading naive users to think it was historical data.

Comparing gtr results with zacks [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 12:53 PM

Re: Zack's RTG folio's

Zacks' list of S&P stocks is not historically accurate (they use the current membership list as if those stocks were in the S&P back when you were trading), and their backtesting engine pretends you traded before real-world traders would have [more]

Fri May 13

Wed May 11

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Boards Post

musselmant replied to the Mechanical Investing board. 11:34 AM

Re: Shiller CAPE GTR1 Backtest

Would it have kept you out of the market in 2013? If so it is a failure, since you need the returns of gangbuster years like that. If you say it works over 3 to 4 years, how about if you invested in 2010; would you have been in in 2013 to get that [more]

Tue May 10

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Boards Post

musselmant replied to the Mechanical Investing board. 10:43 PM

Re: Shiller CAPE GTR1 Backtest

"as the Philosophical Economics blog also recently pointed out, the 30-year real return is almost exactly the same in 1929 and 1981 ... despite the fact that the Shiller CAEP was at opposite extremes during these time periods"

[more]

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Boards Post

musselmant replied to the Mechanical Investing board. 9:56 PM

Re: Shiller CAPE GTR1 Backtest

Really what use is a test that keeps you out of the market for decades? It may NEVER go below the PE you want; are you going to stay out of the market forever? You sure better be convinced. I, on the other hand, can't survive bank CD rates forever: [more]

Mon May 9

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Boards Post

musselmant replied to the Mechanical Investing board. 9:33 PM

Re: Shiller CAPE GTR1 Backtest

This has been researched to death. It has been a horrible way to make your investing decisions. It is only a predictor of long-term returns, not a signal on when to get in and out. The market has been overvalued by this measure for almost 20 years. [more]

Thu May 5

Mon May 2

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Boards Post

musselmant replied to the Mechanical Investing board. 9:55 PM

Re: Industry momentum

[more]

Sun May 1

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Boards Post

musselmant replied to the Mechanical Investing board. 9:53 PM

Re: OT movie biography of a mathematician

Did you know that contrary to the suggestion of the movie, old mathematicians never die? They just reduce to lowest terms.

Thu Apr 21

NL

Boards Post

musselmant replied to the Mechanical Investing board. 1:32 PM

Re: % invested in stocks

Valuation metrics come in and out of fashion and picking the wrong one can cost you BIG time so you are better off using O'S's Trending Value type averaging of such metrics to avoid underperforming for years at a time.

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Boards Stats & Trivia

Big red star, 1000 posts Old School Fool
Board Posts 1223
Recs Received 2844
People who have rec'd these posts 479
Recs to Posts Ratio (last 30 days) 3.60
Threads Started 272
Threads Started Percentage 22.24 %
Most Frequent Board Mechanical Investing
Very First Post new ideas worthless w/o backtests (10/21/1998)
Percentage of Posts Rec'd 59.28 %
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