Macro Briefing: 22 January 2018

US gov’t shutdown spills over into Monday: The Hill
Eric Trump tells Fox News shutdown is “good thing for us” politically: CBS
Turkish troops roll into Syria, toward US-backed Kurdish fighters: Bloomberg
US Consumer Sentiment Index dips to six-month low in January: Bloomberg
UK retail spending plunged in Dec following Black Friday surge: MNI
Oxfam: 82% of wealth created in 2017 went to world’s richest 1%: BBC
US gov’t shutdown history shows limited influence on stock market: MarketWatch
Hedge Fund Research: Hedge funds end 2017 with record-high assets: P&I
US asset flows in 2017 accelerated into passive while active retreated: Morningstar

Book Bits | 20 January 2018

The Tyranny of Metrics
Summary via publisher (Princeton University Press)
By Jerry Z. Muller
Today, organizations of all kinds are ruled by the belief that the path to success is quantifying human performance, publicizing the results, and dividing up the rewards based on the numbers. But in our zeal to instill the evaluation process with scientific rigor, we’ve gone from measuring performance to fixating on measuring itself. The result is a tyranny of metrics that threatens the quality of our lives and most important institutions. In this timely and powerful book, Jerry Muller uncovers the damage our obsession with metrics is causing–and shows how we can begin to fix the problem.
Continue reading

Research Review | 19 January 2018 | The Business Cycle

Fama-French Factors and Business Cycles
Arnav Sheth and Tee Lim (Saint Mary’s College of California)
December 4, 2017
We examine the behavior of Fama-French factors across business cycles measured in various ways. We first split up the business cycles into four stages and examine the cumulative returns of factors in each of those stages. We then look at the behavior of the factors after a yield curve inversion starts and ends, as the relationship between yield curve inversions and recessions has been well-explored. We finally run a logistic regression to test the predictive power of the term spread on the NBER recession indicator. Our results show that there is an effect on the factors of each of our four stages, and there is limited predictive power from the recession probabilities. We believe this is of practical importance to portfolio managers who are factor-oriented in their approach.
Continue reading

Macro Briefing: 19 January 2018

House approves funding bill to keep gov’t open, but Senate may block it: The Hill
International Energy Agency: US oil output set for “explosive growth: Bloomberg
Consumer Financial Protection Bureau’s acting dir requests zero funding: Politico
US housing starts down sharply in Dec but post solid gain for 2017: WSJ
US jobless claims tumble to lowest level since 1973: Bloomberg
US Treasury yields at highest levels since 2014: Reuters
Scientists document a century-long bull market in global temperatures: NY Times

Macro Briefing: 18 January 2018

GOP moves closer to avert gov’t shutdown, but risks still lurk: The Hill
Turkey may intervene in Syria unless US pulls support for Kurds: Reuters
US industrial production rises a strong 0.9% in December: USA Today
Housing Market Index for US ticks down in Jan after 18yr high: HousingWIre
Fed Beige Book: US economy, inflation rise at modest-to-moderate pace: CBS
Prof. Barry Eichengreen: Fed isn’t prepared for the next recession: Japan Times
China’s official economic data overstate the country’s growth rate: NY Times
Dow Jones Industrial Avg closed above 26,000 for first time: Wall Street Journal

Yield Curve Flattens As 2-Year Treasury Rate Rises Above 2%

The 2-year Treasury yield is above 2% for the first time in nearly a decade. This rate, which is seen as a key proxy for monetary policy expectations, ticked up to 2.03% on Tuesday (Jan. 16), based on daily data via The increase, coupled with a fractional dip in the benchmark 10-year Treasury yield to 2.54%, squeezed the widely followed spread 10-year/2-year spread to 51 basis points, matching the low reached last month that marks the smallest difference since 2007.
Continue reading

Macro Briefing: 17 January 2018

GOP plans stopgap funding to keep government open past Saturday: USA Today
US Secretary of State talks of possible war with North Korea: Bloomberg
22 states sue Federal government over repeal of net neutrality: The Hill
World Economy Forum survey: political and economic risks are rising: Reuters
NY Fed Mfg Index: growth ticked lower in Jan but still growing at solid pace: NY Fed
Will higher oil, currency prices force ECB to tighten monetary policy? Bloomberg
Bitcoin and other cryptocurrencies suffer sharp price declines: CNBC
Median 1yr consumer inflation expectations in Dec tick up to 10mo  high: NY Fed