Book Bits: 27 November 2021

The Allocator’s Edge: A modern guide to alternative investments and the future of diversification
Phil Huber
Interview with author via Morningstar
Our guest this week is Phil Huber. He is chief investment officer at Savant Wealth Management, a fee-only registered investment advisor. Previously, Huber worked for Huber Financial Advisors, which Savant acquired in 2020. Huber is active in the financial blogosphere with his blog bps and pieces.com. He has a bachelor’s degree in finance from the Kelley School of Business at Indiana University and has earned both the Certified Financial Planner and Chartered Financial Analyst designations. Huber is also the author of a new book, The Allocator’s Edge: A Modern Guide to Alternative Investments and the Future of Diversification.

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Research Review | 26 November 2021 | Bitcoin and Crypto

Introducing the Cryptocurrency VIX: CVIX
Yosef Bonaparte (University of Colorado at Denver)
October 25, 2021
We present a theoretical and empirical methodology that reflects the Cryptocurrency version of VIX, which we name it as CVIX (Crypto VIX), and captures the future 30 days forward Crypto risk (fear). Our framework is built on idiosyncratic and systematic Crypto risk, and is not based on the option implied volatility model, that developed by the CBOE for the S&P Volatility Index VIX. For back testing, our CVIX projected with accuracy of over 89% the 30 days forward Crypto realized volatility. We apply our CVIX framework on the S&P index, and show it projects the 30 days forward realized S&P volatility with accuracy of 91.8%, while VIX’s accuracy is only 63.4%. Our framework is superior over the option based VIX due to the fact that the option market does not represents all the stock market, and our methodology accounts properly for the idiosyncratic risk.

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Macro Briefing: 26 November 2021

* High-mutation Covid-19 variant discovered in South Africa
* New Covid-variant fears take a bite out of global markets on Friday
* Flights from Europe, Asia to southern Africa suspended amid new Covid variant
* Money markets reverse rate-hike bets amid new coronavirus fears
* Beijing presses ride-sharing giant Didi to delist from US
* Fed prepared to hike rates if inflation stays hot, minutes show
* 10-year US Treasury yield pulls back sharply in early Friday trading:

Macro Briefing: 24 November 2021

* World’s biggest energy-consuming nations coordinate release of oil reserves
* Russian, Ukraine stage military drills amid rising tensions with EU and US
* US invite to Taiwan to attend democracy summit may anger China
* Germany considering a full Covid lockdown and mandatory vaccines
* Surging inflation forcing big investors to reassess portfolio strategies
* Turkey’s increasingly unpredictable policies will keep investors away
* Apple sues Israeli spyware firm to keep it from accessing phones
* Japan’s economy rebounds for second month in November via PMI data
* US economic growth eased in November but remains strong via PMI data:

Macro Briefing: 23 November 2021

* Biden chooses Jerome Powell for second term as Fed chair
* New economic challenges await Powell in his second term as Fed chair
* US expected to announce release of oil from strategic reserve
* Turkish lira crashes as President Erdogan vows more rate cuts as inflation surges
* Eurozone economic growth rebounds in November via PMI survey data
* UK input inflation reaches new record high in November via PMI survey data
* Will higher rate of women attending college vs. men change the economy?
* US existing home sales rose to 9-month high in October
* US economy rebounded sharply in Oct via Chicago Fed Nat’l Activity Index:

Macro Briefing: 22 November 2021

* Rebounding US Covid-19 cases suggest a holiday surge is coming
* US intel suggests Russia preparing for possible Ukraine invasion
* Protests turn violent in Europe against new Covid-19 restrictions
* Migrant crisis on EU-Belarus border may get worse, warns Poland’s PM
* Japan working on plan to release crude-oil reserves to help tamp down prices
* Supply chain bottlenecks may be easing, but labor shortages could persist
* Inflation appears pandemic-driven v. excessive spending generally
* US 10yr-2yr yield curve near four month low: