Macro Briefing: 8 January 2018

Trump administration set to roll out aggressive trade crackdown: Politco
French president calls for EU-China partnership on trade, climate: WaPo
Cleveland Fed president: rate hikes are last resort for financial risks: Reuters
US job growth was surprisingly slow in December: CNBC
Factory orders in US rose for fourth straight month in November: MarketWatch
ISM: US services sector growth slowed for second month in Dec: RTT
White House chief economist: no need for faster rate hikes: Bloomberg
US trade deficit widens to biggest gap in 6 years in November: RTT

Book Bits | 6 January 2018

Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules
By Valeriy Zakamulin
Review via Alpha Architect
There are many popular academics (Moskowitz, Ooi, and Pedersen) and bloggers (i.e., Gary Antonacci) with a solid grasp of trend-following rules. However, Valeriy is the expert’s expert when it comes to the details on trend-following rules. In fact, we were so impressed by the depth and scale of Valeriy’s knowledge on moving average rules, a few years ago, we labeled Valeriy the, “Moving Average Research King.” Valeriy’s new book only emphasizes that we were probably correct in our assessment.
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US Payrolls Growth Unexpectedly Cooled In December

Corporate payrolls in the US increased by less than expected in December, rising 146,000 in 2017’s final month — well below November’s strong 239,000 rise, according to this morning’s monthly employment report from the Labor Department. Economists were looking for a stronger rise: 185,000 via Econoday.com’s consensus forecast. The softer gain kept the year-over-year trend unchanged at a modest pace, which suggests that the labor market in 2018 may face stronger headwinds than previously assumed.
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Treasury Market’s Inflation Forecast Ticks Above Fed’s 2% Target

The Treasury market’s 10-year estimate of future inflation rose above the Federal Reserve’s 2% target this week – the first time that level has been breached for this maturity since last March, based on daily yield-spread data via Treasury.gov. Official inflation numbers, which are published with a lag, continue to reflect pricing pressure that’s modestly below the Fed’s target. The Treasury market, however, is betting that inflation will accelerate this year.
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Macro Briefing: 5 January 2018

N. Korea agrees to hold talks with S. Korea next week: Reuters
Global debt reached a record $233 trillion in 2017’s third quarter: Bloomberg
Winter storm battered the US Northeast on Thursday: Reuters
Trump planning to allow oil drilling in most of US coastal waters: NY Times
US private employment growth accelerated to 250k in Dec: ADP
US jobless claims rose last week but remain historically low: Dow Jones
Global economic output strengthened to 2-1/2 year high in Dec: IHS Markit
SEC to investors: You’re on your own with cryptocurrencies: The Hill
Job cuts at US companies fell in 2017 to lowest level since 1990: CG&C
2017 losses from natural disasters is a record $135 billion for insurers: Munich Re
The bull market is the second-longest on record–when will it end? NY Times
PMI: US services sector growth slowed to 7-month low in Dec: IHS Markit 

Macro Briefing: 4 January 2018

Critical flaws in world’s computers raise new security risks: c|net
Severe winter storm strikes US East Coast: Fox
Oil prices rise to highest level since 2015: Reuters
Countries look to launch virtual currencies to avoid sanctions: NY Times
Fed minutes show continued support for gradual rate hikes: Bloomberg
ISM: US factory activity increased in Dec to 2nd highest level in 6 years: Reuters
PMI: China’s services sector growth at fastest pace in over 3 years: Reuters
US auto sales fell 2% in 2017–first annual drop since ’09, but pace still healthy: AP
Broad US stock indices rise to record territory: RTT
CBOE VIX Volatility Index drops again, close to record lows: TradingGods.net

5 Questions For Herb Blank On Reverse Market-Cap Weighting

Weighting stocks based on market capitalization has long been the design standard for most index funds, but a recently launched ETF turns the strategy on its head. The Reverse Cap Weighted US Large Cap ETF (RVRS) holds the familiar S&P 500 names but in weights that are inversely proportional to their market cap. For example, the largest stock has the smallest weight and the smallest has the biggest footprint. What’s the rationale behind the strategy? Isn’t this just another twist on tapping into the small-cap factor? The Capital Spectator recently asked Herb Blank, a senior consultant at Global Finesse, to explain the motivation behind the strategy. In a recent study (“The Case for Reverse-Cap-Weighted Indexing”), Blank and co-author Qiao Duan report that reverse weighting outperformed the conventional S&P 500 for the ten-year period through 2016. The results offer “an intriguing alternative weighting scheme with the potential to realize superior rates of return,” they write.
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Macro Briefing: 3 January 2018

South Korea offers border talks with North Korea: NY Times
Will Mitch Romney, a possible Trump foe, run for Utah’s Senate seat? CNN
Is China’s rising economic influence in Latin America a threat to US? Bloomberg
Trump threatens to cut Palestinian aid: Haaretz
Unemployment rate in Germany fell to record low in Dec: Bloomberg
Global Mfg PMI ends 2017 at seven-year high: IHS Markit
US Mfg PMI rises to two-year high in Dec: IHS Markit
Gold rises to highest close since September: Reuters