Holiday Hiatus…

The rumors are true–a long holiday weekend
has been declared at the world headquarters
of The Capital Spectator.

After several days of feast and fête, the standard fare resumes on Monday, Nov. 30.

Happy Thanksgiving!

Is The Acceleration Factor A Better Way To Measure Momentum?

Momentum has received a lot of attention in the asset-pricing literature over the past several decades, and for good reason. Trending behavior is a staple in markets. In contrast with other pricing “anomalies”, short-term return persistence—positive and negative—is a robust factor across asset classes. The fact that momentum is deployed far and wide in the money management industry and hasn’t been arbitraged away suggests that the persistence factor is persistent. The question is whether momentum as traditionally defined can be enhanced? Yes, according to a small but growing corner of research that looks at price trends through an “acceleration” lens.
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The Treasury Market Sees A Rate Hike Next Month… Maybe

Fed Chair Janet Yellen yesterday reaffirmed the case for keeping interest rates near zero percent and raising rates slowly in the future. But the Treasury market seemed to have a mixed reaction. The 2-year yield–widely followed as the most-sensitive spot on the curve for rate expectations—ticked higher, rising to a five-and-a-half-year high of 0.94% yesterday (Nov. 23), based on constant maturity data at The benchmark 10-year yield, by contrast, slipped to 2.25%–comfortably below the recent high of 2.50% from mid-June.
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Chicago Fed: US Growth Remained Sluggish In October

US economic growth continued to weaken in October, according to this morning’s update of the Chicago Fed National Activity Index’s three-month moving average (CFNAI-MA3). Last month’s reading slipped to -0.20, the lowest since Mar. 2015. But even after the latest decline, this benchmark of economic activity remains well above its -0.70 tipping point that marks the start of recessions, according to Chicago Fed guidelines. Meantime, there are signs that the trend will firm in the final months of the year. One clue is the Atlanta Fed’s current GDPNow estimate of fourth-quarter GDP growth: 2.3% (as of Nov. 18), which reflects a moderate improvement over Q3’s sluggish 1.5% increase.
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