This series of education articles are great and serve a good foundation for investors to build up their own investment framework. I think it will be even better if there are some statiscal analysis showing how these valuation indications can statistically predict future returns over a certain investment horizon. That can be very helpful for both SAA and TAA. When it comes to TAA, it seems Valuation signal is more useful in fixed income space than others as this asset class tends to mean revert more quickly. Anyway looking forward to reading more articles in this series
Enjoyable article and discussion on how to use and frame relative valuation information. For the TIPS value, what duration bond is used? I was surprised by the movement in ~2008 to a zscore of -4. I currently like TIPs > gold - both are marked expensive. Again a review relative expensiveness.
This series of education articles are great and serve a good foundation for investors to build up their own investment framework. I think it will be even better if there are some statiscal analysis showing how these valuation indications can statistically predict future returns over a certain investment horizon. That can be very helpful for both SAA and TAA. When it comes to TAA, it seems Valuation signal is more useful in fixed income space than others as this asset class tends to mean revert more quickly. Anyway looking forward to reading more articles in this series
Enjoyable article and discussion on how to use and frame relative valuation information. For the TIPS value, what duration bond is used? I was surprised by the movement in ~2008 to a zscore of -4. I currently like TIPs > gold - both are marked expensive. Again a review relative expensiveness.