Daily Archives: Dec 13, 2017 at 06:41 am EDT

Building A “Market” Portfolio With Statistical Factor Weights

Building a “market portfolio” has obvious benefits for portfolio design. The asset allocation is relatively objective in the sense that Mr. Market chooses the weights. History suggests this is a competitive strategy. Even if it’s not slavishly followed, market weights can be useful for guidance in portfolio design and management. But the necessary task of estimating market values can be problematic, especially if the portfolio includes so-called alternative asset classes and strategies. A possible solution: using a statistical factor model to estimate a market portfolio.
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Macro Briefing: 13 December 2017

An upset victory for Dems in Alabama’s Senate race: The Hill
Federal Reserve on track to hike interest rates today: Reuters
Vote on final GOP tax bill expected next week: LA Times
US Sec. of State offers direct talks with N. Korea with no conditions: Reuters
UK loses jobs at fastest pace in two years: Bloomberg
Italy’s industrial output picking up speed: Bloomberg
Pension liability burdens for US states trending up: Fitch Ratings
US producer prices pop in Nov, suggesting inflation will rise: Reuters
If Trump fires Mueller, a constitutional crisis may follow: American Prospect
Nearly half of small US businesses in Nov expect stronger economy:  Haver