Daily Archives: Oct 27, 2017 at 10:00 am EDT

Replicating Indexes In R With Style Analysis (Part II): Global Macro

Imitation, Oscar Wilde famously observed, “is the sincerest form of flattery that mediocrity can pay to greatness.” The observation echoes the objective for using Professor Bill Sharpe’s style analysis to replicate investment indexes that, for one reason or another, can’t be purchased directly. If we can obtain an index’s returns, there’s a pretty good chance that we can reverse engineer the asset allocation and recreate the portfolio with publicly traded securities.
Continue reading

Macro Briefing: 27 October 2017

Spain set to impose direct rule on Catalonia on Friday: Reuters
US Defense Secretary in S. Korea emphasizes diplomacy: ABC News
House approves budget and clears the way for tax reform: NY Times
ECB announces it will slowly begin winding down QE stimulus: RTT
Pending Homes Sales Index for US close to 3-year low in September: CNBC
US jobless claims rise after dipping to four-decade low: MarketWatch
US merchandise trade deficit in August at four-month high: Bloomberg
10-year Treasury yield rises to 2.46% on Thursday — highest since March: