Monthly Archives: June 2018

Book Bits | 30 June 2018

Squeezed: Why Our Families Can’t Afford America
By Alissa Quart
Excerpt via Money Magazine
“Surplus humans.”
That’s the callous term Karl Fogel, partner at Open Tech Strategies, an open-source technology firm, used when describing the unwitting employee-victims of advances in automation. Cruelty aside, it’s a term that could easily describe once secure “middle-class” professions, including jobs in the automotive industry, nursing, tax preparing, office administration and law.
When I started reporting my book Squeezed: Why Our Families Can’t Afford America five years ago, I found many culprits for rising insecurity among what I called the Middle Precariat, a group that suffered from the cost of their children’s daycare, and from rent and mortgages, of course, and copious student and health care debt. But they were also afflicted by the hovering fear of being put out of work by our mechanical brethren.
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Research Review | 29 June 2018 | Factor Investing

When Does Cap-Weighting Outperform? Factor-Based Explanations
Roger G Clarke (Ensign Peak Advisors), et al.
May 1, 2018
Equity mutual fund performance can be partially explained by commonly-followed equity market factors, and the proposition that fund managers in the aggregate have more equally-weighted positions that the capitalization weighted market. Currently, the aggregate mutual fund’s active return is positively associated with the performance of pure Momentum, Small Size, and Profitability factors, and negatively associated with the performance of pure Value and Low Beta factors.
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Macro Briefing: 29 June 2018

Europe reaches deal on immigration: BBC
US Energy Secretary: oil market will be “stressed” by new Iran sanctions: The Hill
Q1 GDP growth for US revised down to 2.0%: Reuters
US jobless claims up for first time in four weeks: MarketWatch
Kansas City Fed mfg index reflects continued strength in June: Bond Buyer
St Louis Fed’s Bullard prefers to leave US rates on hold: MNI
US crude oil benchmark jumps to highest level since late-2014: CNN Money

Excerpt, Part I: Quantitative Investment Portfolio Analytics In R

Here’s an excerpt from my new book, Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return, which was published last week. In this two-part excerpt of Chapter 5, we’ll look at a basic procedure for downloading factor premia from Professor Ken French’s web site to run a simple factor analysis using R code. I’ll publish the second half of Chapter 5’s excerpt soon. (Note: for a cleaner read, the footnotes that appear in the book have been removed for this web-based version of the chapter. For a complete list of chapters, see here. Keep in mind that all the code published in Quantitative Investment Portfolio Analytics In R can be accessed via a single file by way of a link that’s published in the book.)
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Macro Briefing: 28 June 2018

Kennedy’s retirement allows Trump to reshape Supreme Court: Reuters
Supreme Court ruling is major blow for public sector unions: CNN
Support for the recent US tax overhaul plunged in the past 2 months: Politico
President Xi warns US Defense Sec.: China won’t give up territory: Bloomberg
What’s on the agenda for an upcoming Trump-Putin summit? CNBC
Weak auto demand trimmed US durables goods orders for May: MarketWatch
US trade gap narrowed in May by more than expected: MarketWatch
S&P Global Ratings maintains AA+ credit rating on US debt: RTT
US pending home sales post surprising drop in May: RTT
US Dollar Index rose to highest level in nearly a year on Wednesday:

An Early Summer Holiday

The Capital Spectator will be conducting a brief research project on an undisclosed beach in Bermuda. The mission: explore how doing a whole lot of nothing affects one editor’s psyche. (It’s dangerous work, but someone’s got to do it.) The standard routine on these pages resumes on Thursday, June 28. Cheers!

Book Bits | 23 June 2018

Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return
By James Picerno
Summary via Amazon
R is a free, open source programming language that’s become a popular standard for financial and economic analysis. Quantitative Investment Portfolio Analytics In R is your guide to getting started with modeling portfolio risk and return in R. Even if you have no experience with the software, you’ll be fluent in R at a basic level after reading this short primer. The chapters provide step-by-step instructions for tapping into R’s powerful capabilities for portfolio analytics.
For a table of contents, click here
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Macro Briefing: 22 June 2018

White House split over response for trade policy for China: Bloomberg
Supreme Court: states can force online retails to collect taxes: CNN
Opec’s deal to boost oil output remains in doubt: Reuters
European Union’s retaliatory tariffs on US goods begin today: BBC
Eurozone business activity regained some momentum in June: IHS Markit
US jobless claims dip for fourth week in a row: MarketWatch
Philly Fed Mfg Index downshifts to 19-month low in June: MarketWatch
Wealth for US millennials is 34% below levels v. earlier generations: Bloomberg
10yr-2yr Treasury spread ticks down to 34 basis points, a new post-recession low: