Daily Archives: Oct 2, 2019 at 06:56 am EDT

Risk Premia Forecasts: Major Asset Classes | 2 October 2019

The Global Market Index’s expected risk premium ticked higher in September, reaching an annualized 4.7%, up slightly from last month’s estimate. Compared with a year earlier, however, the projected long-term risk premia for GMI has slipped from a 5.0% estimate at this point in 2018 (see table below). GMI is an unmanaged market-value-weighted portfolio that holds all the major asset classes (except cash). The forecast for this passive benchmark represents the ex ante premium over the expected “risk-free” rate for the long term.

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Macro Briefing | 2 October 2019

When does slowing US economic growth trigger a recession? Bloomberg
Today’s ADP employment report will be widely read after weak mfg data: CNBC
Atlanta Fed’s GDPNow model trims US Q3 growth estimate to 1.8%: Atlanta Fed
Global mfg activity continued to slide in September: IHS Markit
World Trade Organization lowers forecast for trade growth: WTO
US construction spending continued to decline in Aug in annual terms: MW
US Mfg PMI: output grew at a slightly faster but still sluggish rate in Sep: IHS Markit
US ISM Mfg Index fell deeper into contractionary terrain in Sep: CNBC