The Federal Reserve on Wednesday provided the bond bulls with a fresh round of news to keep this year’s fixed-income rally running. As expected, the central bank left interest rates unchanged. As an added bonus for fixed-income markets, the Fed also advised that rate hikes may remain on hold for the rest of the year. And if that wasn’t enough, the bank trimmed its outlook for economic growth in yesterday’s revision of quarterly forecasts and projected that inflation will remain subdued.
No sign of imminent US-China trade deal, according to Trump: Bloomberg
Midwestern farmers facing widespread devastation after record floods: Reuters
Federal judge blocks oil and gas drilling in Wyoming, citing climate change: NBC
Fed keeps rates unchanged and signals no hikes for rest of year: WSJ
Federal Reserve trims outlook for US growth in 2019: CBS
UK’s May in Brussels to ask EU for 3-month extension for Brexit deadline: BBC
CEO optimism on global economic outlook falls to lowest level since Q1:2017: BR
10yr-2yr Treasury yield spread falls to 5-week low after Fed decision:
Bullish sentiment has lifted equity prices in every major region of the global market so far in 2019 and China’s shares continue to lead the rally by a wide margin, based on a set of exchange-traded products.
New round of negotiations scheduled for US-China trade talks: WSJ
Federal Reserve expected to keep interest rates steady today: Reuters
Fed may forecast another rate hike in today’s policy update: Bloomberg
Defaults on Chinese corporate bonds surged in 2019: CNBC
FedEx says global economy is still slowing: CNBC
Supreme Court rules certain immigrants can be detained indefinitely: The Hill
Large swaths of Midwest battle flooding: USA Today
UK’s May won’t ask for long day in Brexit deadline: Bloomberg
Japan’s gov’t downgrades economic outlook due to US-China trade war: Reuters
US factory orders barely rose in Jan but 1-year trend turned up: Reuters
The recent slowdown in US economic growth is expected to continue in the first quarter, according to the latest nowcasts for GDP. The estimates will likely be a factor in the Federal Reserve’s policy meeting that begins today and concludes tomorrow with an announcement on interest rates, a new set of quarterly forecasts and a press conference.
Trump’s financial ties with Deutsche Bank under review in Congress: NY Times
Sen. Warren calls for eliminating electoral college: Reuters
House of Commons Speaker derails govt’s plans for 3rd Brexit vote: Bloomberg
White House outlines case against social progressive programs: CNBC
Venezuela’s opposition takes control of diplomatic offices in US: CBS
Fed struggles with interpretation over its ‘dot plot’ interest-rate projections: WSJ
US Housing Market Index holds steady in March, suggests sector is stabilizing BB
Bullish sentiment boosted prices across all the major asset classes last week, based on a set of exchange-traded funds. The clean sweep of gains marks the first time in six calendar weeks that every corner of global markets rallied, as of trading through Friday, March 15.
Midwest rivers rise to record levels, forcing evacuations: USA Today
Fed likely to extend pause on rate hikes in Wed announcement: WSJ
Russia says it will comply with Opec’s production cut: CNBC
Consumer Sentiment Index for US rises for second month in March: MW
US business leaders worried about the next recession, consultancy reports: MW
US job openings rose to a new high of 7.6 million in January: CNBC
NY Fed Mfg Index indicates slow growth for bank’s region in March: MW
US industrial production’s 1-year trend eases to softest rise in 8 months in Feb:
Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals
Olivier Blin (Unigestion), et al.
10 September 2018
Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of allocation across a diversified range of cross-asset alternative risk premia over the period 1990-2018. For this, we design an active (macro risk-based) allocation framework that notably aims to exploit alternative risk premia’s varying behavior in different macro regimes and their valuations over time. We perform backtests of the allocation strategy in an out-of-sample setting, shedding light on the significance of both sources of information.