Low Volatility In Everything

A rising number of investors are anxious about the “bull market in everything”, but the markets are calm, based on rolling 90-day volatility (standard deviation). It may be the calm before the storm, although research on volatility clustering suggests that the tranquil times can roll on for longer than expected. The tide will turn eventually, of course, and perhaps soon, but the rear-view mirror at the moment shows that the landscape is unusually serene across the board for the major asset classes in recent history, based on a set of exchange-traded products via rolling 90-day standard deviation of one-day percentage returns.
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Macro Briefing: 19 October 2017

China’s Q3 GDP growth rate ticks lower at 6.8% vs. year earlier: RTT
Spain set to impose direct rule on Catalonia on Saturday: Reuters
Year-ahead US inflation expectations tick down to 1.8% pace: Atlanta Fed
Dallas Fed chief: lower 10-year Treasury yield may be a warning sign: Reuters
US housing construction slows in September: HousingWire
Conservatives campaign against Yellen’s reappointment to Fed: Bloomberg
Treasury Secretary says stocks wil fall sharply without tax reform: LA Times
A new milestone for the Dow Jones Industrials: closing above 23,000: Reuters

Macro Briefing: 18 October 2017

Xi Jinping sees “new era” of influence and power for China: Guardian
Will China’s party congress move markets? Bloomberg
US industrial production rebounds more than expected in Sep: RTT
US homebuilder sentiment rises to 5-month high in October: Bloomberg
Import prices in US rise in Sep at strongest pace in over a year: Dow Jones
Economists: excess debt/high asset prices threaten global economy: VoxEU

Macro Briefing: 17 October 2017

Iraq in process of retaking oil fields from Kurds: Independent
UK inflation at five-year high, lifting rate-hike odds: Reuters
Brexit talks at risk of collapse: Independent
NY Fed manufacturing benchmark rises to 3-year high for Oct: MarketWatch
China’s central bank chief: China’s growth will rise to 7% in 2017’s H2: RTT
Senate GOP support for tax reform strengthens: Reuters
Fed’s rate hikes risk going into next recession with low inflation: Fed Watch
Goldman Sachs: Intensifying geopolitical risk is lifting oil prices:
Bloomberg

Macro Briefing: 16 October 2017

Austria elects a right-leaning populist: Politico
Catalonia keeps Spain guessing on independence at deadline: Politico
N. Korean cyber-hacking is a growing global threat: NY Times
US retail spending surges in Sep — the most in 2-1/2 years: USA Today
Consumer inflation in the US rises sharply in Sep: CNBC
US Consumer Sentiment Index jumps in Oct to highest level since 2004: UoM
Fed Chair Yellen, hinting at rate hike, says US economy is strong: Reuters
China’s influence on international markets will continue to grow: Bloomberg
Gold and inflation-indexed Treasuries remain highly correlated: Scott Grannis

Book Bits | 14 October 2017

The Captured Economy: How the Powerful Enrich Themselves, Slow Down Growth, and Increase Inequality
By Brink Lindsey and Steven Teles
Summary via publisher (Oxford University Press)
For years, America has been plagued by slow economic growth and increasing inequality. Yet economists have long taught that there is a tradeoff between equity and efficiency-that is, between making a bigger pie and dividing it more fairly. That is why our current predicament is so puzzling: today, we are faced with both a stagnating economy and sky-high inequality. In The Captured Economy , Brink Lindsey and Steven M. Teles identify a common factor behind these twin ills: breakdowns in democratic governance that allow wealthy special interests to capture the policymaking process for their own benefit.
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