Monthly Archives: August 2018

Macro Briefing: 31 August 2018

Trump prepared to escalate trade war with China: Reuters
China’s factory activity strengthened in August: Bloomberg
White House set to announce expansion of retirement plans for small firms: ABC
Trump says Dems can’t impeach him because economy is strong: Bloomberg
Currency crisis spreads, weighing on assets in emerging markets: CNBC
Weekly US jobless claims show labor market still tightening: CNBC
US inflation at six-year high in July: Bloomberg
Consumer spending up sharply in July–5th straight gain: MarketWatch

Macro Briefing: 30 August 2018

Trump claims “left-wing violence” is coming if Dems win in fall: BBC
Trump counters Sec. of Defense: no need for US-S. Korea war games: Reuters
Trump: Canada will rejoin US-Mexico trade deal ahead of Fri deadline: CNBC
US oil sanctions expected to send Iran’s economy into recession: USA Today
Researchers find more anomalies in China’s economic data: SCMP
US Q2 GDP growth revised up slightly to 4.2%: MarketWatch
Pretax corporate profits for US firms up 7.7% in Q2, the most in 4 years: LA Times
US Pending Home Sales Index down for 7th straight month in July: CNBC
Democrats projected to retake House in fall elections:

A Short Introduction On Using R For Tail-Risk Analytics

Interactive Brokers (IB) just published the second installment in a series I’m writing for the brokerage firm about using R for portfolio analysis: Modeling Tail Risk In R With Value at Risk. Today’s update (part deux) is more or less adapted from my recent book: Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return. There’s so much more to say about tail risk beyond VaR, of course, and in due course I’ll explore some of the finer points through an R lens in my IB column. Meantime, you can go deeper down this rabbit hole in Chapter 7: Modeling Tail Risk in Quantitative Investment Portfolio Analytics In R.

Macro Briefing: 29 August 2018

Canada joins US-Mexico negotiations on trade: Reuters
Sanders-backed Gillum will face GOP in Florida’s race for governor: Politico
US considers restarting war games on Korean peninsula: Guardian
Russia to hold its biggest war games since WWII: CBS
China’s navy can now challenge the US in the Pacific: NY Times
Brazil to send army to border with Venezuela to “guarantee law and order”: BBC
US Consumer Confidence Index jumped in Aug to highest level since 2000: CNBC
US goods trade deficit widened sharply in July: Reuters
Home-price growth in US continued to slow in June: MarketWatch
US Dollar Index slipped to four-week low on Tuesday:

US Recession Risk Is Low, According To Current Q3 GDP Estimates

The flattening yield curve has sparked worries that a new recession is near, but the near-term outlook for growth still looks healthy, based on the latest set of nowcasts for third quarter GDP, as compiled by The Capital Spectator. The median estimate points to a solid 3.3% increase for Q3 output. Although that’s down from the 4.1% advance reported in in the “advance” Q2 report, the current projection suggests that the risk of economic contraction is low for the immediate future.
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Macro Briefing: 28 August 2018

Trump says he’s agreed on new trade deal with Mexico: Bloomberg
US-Mexico trade deal isn’t good news for US-China trade negotations: CNBC
World stocks at 6-mo high after US-Mexico trade deal announcement: Reuters
SF Fed research note: yield curve may be signaling rising recession risk: Reuters
US Consumer Confidence: another strong reading expected for Aug: Econoday
Chicago Fed Nat’l Activity Index’s 3mo avg dips, but no recession on near horizon: