This is a summary of links featured on Quantocracy on Friday, 02/10/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Evaluating Long-Term Performance of Equities, Bonds, and Commodities Relative to Strength of the US Dollar [Quantpedia]The US dollar is the worlds primary reserve currency, is the most widely traded currency in the world (making up over 85% of all foreign exchange transactions), and is used as the benchmark currency for pricing many commodities such as oil and gold. We can say that the US dollar is the blood of the current financial system. A few months ago, we shared how to build a really long-term (nearly 100
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Valuation spreads: what they tell us about future expected returns [Alpha Architect]As Cliff Asness demonstrated in his 2012 paper An Old Friend: The Stock Markets Shiller P/E, valuations provide quite a bit of important information for investors. What do valuation spreads tell us about future expected returns? Higher starting values mean that not only are future expected returns lower, but the best outcomes are lower and the worst outcomes are worse. The reverse is true