This is a summary of links featured on Quantocracy on Wednesday, 01/08/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Testing a Yield-Based Asset Class Rotation Strategy [Allocate Smartly]By reader request, this is a test of a tactical strategy from Harrison Schwartz that considers various economic yields in order to rotate among asset classes. Strategy results versus the 60/40 benchmark follow. Weve extended Schwartzs original test by an additional 6+ years, and accounted for transaction costs (see backtest assumptions). Learn about what we do and follow 50+ asset allocation
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Forecasting US Equity Market Returns with Machine Learning [Alpha Architect]Shillers CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Daz, and Joseph H. Davis have written a very interesting paper on forecasting equity returns using Shillers CAPE and machine learning: The Best of Both Worlds: