Daily Archives: Jun 14, 2018 at 09:55 am EDT

A New Book For Portfolio Analysis Using R

Later this month I’ll be publishing my third book: Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return. Although there are already many R books on the market, this one serves a particular niche: a short guide for recovering Excel addicts running relatively sophisticated analytics on investment portfolios and bumping up against the limits of spreadsheets.
Continue reading

US Small Cap Stocks Continue To Outperform Big Caps This Year

The rally in shares of small-capitalization shares relative to large caps has accelerated in recent weeks. A month ago, the Russell 2000 (a widely followed gauge of small companies) was ahead of its large-cap counterpart (Russell 1000) by roughly three percentage points year to date. The small-cap edge has since widened to nearly five percentage points, as of yesterday’s close (June 13).
Continue reading

Macro Briefing: 14 June 2018

South Korea will consider changes to military policy for N. Korea: Reuters
European Central Bank set to wind down monetary stimulus: Reuters
Trump says he’ll confront China “very strongly” on trade: Bloomberg
US, Saudi Arabia and Russia agree on goal of lower energy prices: NY Times
China industrial output up 6.8% in May, just below expectations: RTT
Fed raises interest rates and expects two more in 2018: MarketWatch
Fed policy suggests an inverted yield curve is near: Bloomberg
Median Fed US GDP growth forecast for 2018 ticks up to 2.8%: CNBC
US producer prices post biggest annual gain in over 6 years in May: Reuters
Firms’ inflation outlook mostly unchanged at 2.1% for year ahead: Atlanta Fed
10-2-year Treasury spread dips below 40 basis point for first time since 2007: