musselmant

Tom Musselman

musselmant’s Activity

Yesterday

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musselmant replied to the Mechanical Investing board. 7:48 PM

Re: weekly traded factor test for SI Pro Fields

Can't get spacing to work.
Here are decile criteria that beat universe of liquid stocks during each criterion's relevant data period, by at least 4.4% CAGR.



Receivables Turnover arturn12m.s
Buyback Yield [more]

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musselmant replied to the Mechanical Investing board. 7:34 PM

Re: weekly traded factor test for SI Pro Fields

pre>
1. I've corrected typos in the gtr definitions
2. I've added 20 day hold top 300 and bottom 300 columns
3. I've added TOP or BOTTOM showing which direction the criteria works
4. I've indicated which 20 day holds worked best [more]

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musselmant replied to the Mechanical Investing board. 2:36 PM

Re: weekly traded factor test for SI Pro Fields

here is the weekly traded test of top 300 or bottom 300 by alphabetical listing in gtr (I copied and pasted a few which didn't seem to be in alphabetical order so those appear twice in the list.

This time with gtr field if you want to create [more]

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musselmant replied to the Mechanical Investing board. 1:39 PM

Re: weekly traded factor test for SI Pro Fields

Here is what I was hoping people would do with the data.

I took one of the criteria that did well in my factor test and used it to create a 20 day hold screen.

Liquidity, then:



a. SI Buyback Yield-Average 5 [more]

Mon Mar 30

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musselmant replied to the Mechanical Investing board. 10:30 PM

Re: weekly traded factor test for SI Pro Fields

I've made corrections and added a column showing all criteria where the top or bottom 300 stocks from the subset of liquid stocks outperformed liquid stocks by 3% or more from the start of the data available for that criteria to the [more]

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musselmant posted to the Mechanical Investing board. 7:33 PM

weekly traded factor test for SI Pro Fields

If people are looking for new screen criteria to combine this may help.

I tested weekly holds for most of the individual SI Pro Fields to see what the top and bottom deciles their CAGR was. Some of the fields are in fact multi-factor in [more]

Fri Mar 20

Thu Mar 19

Wed Mar 18

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musselmant replied to the Mechanical Investing board. 6:35 PM

Re: Buffet's Pain

Buffet is an extremely concentrated investor, and while he brags about being a value investor others have objectively interpreted his picks as being more about (non-technology) growth stocks. I leave it to others to figure out if he is or is not a [more]

Thu Mar 12

Wed Mar 11

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musselmant replied to the Mechanical Investing board. 10:05 PM

Re: Antonacci's Optimal Momentum in GTR1

my point is that people are not going back to read some article written in 1999 and then applying it, but instead are coming up with a list after the fact

If you go read [more]

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musselmant replied to the Mechanical Investing board. 6:54 PM

Re: Antonacci's Optimal Momentum in GTR1

problem of cherry-picking evident if you add AAPL to the list of choices giving you 45% CAGR

[more]

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musselmant replied to the Mechanical Investing board. 11:32 AM

Re: Antonacci's Optimal Momentum in GTR1

cagr 23.73

monthly rrs(5,70) top 1 of {IWB}{IEV}{EPP}{EEM}{TLT}{IYE}

[more]

Fri Mar 6

Thu Mar 5

Mon Mar 2

Fri Feb 27

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musselmant posted to the Mechanical Investing board. 6:48 PM

perfect 20-20 investing hindsight IS possible

Financial Tmies
" ..Max-Herve George has a way to invest with 20-20 hindsight.

The 25-year-old French citizen living in Switzerland owns a life insurance contract through Aviva France that allows him to buy into investment funds at [more]

Thu Feb 26

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musselmant replied to the Mechanical Investing board. 10:36 AM

Re: Mebane Faber's new book

Let us know if he mentions buying Greece and Russia a year ago.

Tue Feb 24

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musselmant replied to the Mechanical Investing board. 10:36 AM

Re: Cliff Asness Interview on Bloomberg

Don't forget that 90% plus of the famous investors are long-term hold advocates.
If you play the short-term game factor analysis can (but doesn't have to) differ.
One day, five day, monthly, 2 month, 3, 6, 12 month: when you test various [more]

Sun Feb 22

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Boards Post

musselmant replied to the Mechanical Investing board. 7:14 PM

Re: hedge funds an utter disaster for years

in 2008 Buffett made a $1m bet with Protégé Partners:

“Over a ten-year period commencing on January 1, 2008, and ending on December 31, 2017, the S&P 500 will outperform a portfolio of funds of hedge funds, when performance is [more]

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Big red star, 1000 posts Old School Fool
Board Posts 1022
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Very First Post new ideas worthless w/o backtests (10/21/1998)
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