I received an e-mail from academic researcher Wade Pfau with the title “Valuation-Informed Indexing” on January 16 2011. Wade told me that he had listened two times to the RobCast in which I outline nine possible Valuation-Informed-Indexing portfolio allocation strategies and characterized it as “excellent.” He said: “I wrote up the programs to test your VII strategies against buy-and-hold, and I must say that the results look very promising…. I am quite excited about the findings so far. As you say in the podcast, VII should beat buy and hold about 90 percent of the time, and I am getting results that support this for various strategies.”
Wade wrote that he had only been able to find one paper in the literature “which tests something even remotely close to Valuation-Informed Indexing.” This was a paper by Kenneth L. Fisher and Meir Statman titled “Market Timing in Regressions and Reality.” Here is a link:
Wade said that he would be criticizing the paper in one of his own forthcoming research papers.
He concluded by saying: ” I hope to have a finished paper in a month or so. I think I may need to ask you a few questions before finishing, but I still have to work my way through all the materials you already sent me.”