This is a summary of links featured on Quantocracy on Monday, 07/29/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Excess Earnings Yield Dynamic Valuation Strategy [Allocate Smartly]This is a test of the Excess Earnings Yield Dynamic valuation strategy based on the paper Man Doth Not Invest by Earnings Yield Alone by White and Haghani of Elm Wealth. The strategy dynamically splits the portfolio between stocks and TIPS based on excess earnings yield, which is the cyclically-adjusted earnings yield (1 / CAPE) minus the real yield on 10-year TIPS. We have tested two