Macro Briefing: 1 December 2021

* Fed prepared for quicker end to stimulus program, Powell says
* Omicron raises uncertainty around inflation risk, warns Fed chair
* Russian President Putin warns West on ‘red line’ for NATO, Ukraine
* Could oil surge to $150? It’s possible, says analyst at Jefferies
* China mfg activity expanded slightly in November
* Eurozone mfg output stabilized in November at solid growth rate
* UK mfg grew at strong rate in November as input prices surged
* US home prices continue to run hot, but growth rate eased in September
* Chicago PMI reflects softer growth in November
* US Consumer Confidence Index slipped to 9-month low in November:

Macro Briefing: 30 November 2021

* Biden says Omicron lockdown unnecessary, at least for now
* Fed Chair Powell: Omicron poses threat to US economy
* Moderna CEO says vaccines will struggle with Omicron
* Pandemic unleashes historic burst of entrepreneurship and self-employment
* Eurozone inflation reaches record high in November: 4.9% year on year
* China Mfg PMI in Nov posts growth for first time in 3 months
* Dallas Fed Mfg Index continues to indicate strong sector growth in November
* US pending home sales up sharply in October, pointing to strong market ahead:

Book Bits: 27 November 2021

The Allocator’s Edge: A modern guide to alternative investments and the future of diversification
Phil Huber
Interview with author via Morningstar
Our guest this week is Phil Huber. He is chief investment officer at Savant Wealth Management, a fee-only registered investment advisor. Previously, Huber worked for Huber Financial Advisors, which Savant acquired in 2020. Huber is active in the financial blogosphere with his blog bps and He has a bachelor’s degree in finance from the Kelley School of Business at Indiana University and has earned both the Certified Financial Planner and Chartered Financial Analyst designations. Huber is also the author of a new book, The Allocator’s Edge: A Modern Guide to Alternative Investments and the Future of Diversification.

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Research Review | 26 November 2021 | Bitcoin and Crypto

Introducing the Cryptocurrency VIX: CVIX
Yosef Bonaparte (University of Colorado at Denver)
October 25, 2021
We present a theoretical and empirical methodology that reflects the Cryptocurrency version of VIX, which we name it as CVIX (Crypto VIX), and captures the future 30 days forward Crypto risk (fear). Our framework is built on idiosyncratic and systematic Crypto risk, and is not based on the option implied volatility model, that developed by the CBOE for the S&P Volatility Index VIX. For back testing, our CVIX projected with accuracy of over 89% the 30 days forward Crypto realized volatility. We apply our CVIX framework on the S&P index, and show it projects the 30 days forward realized S&P volatility with accuracy of 91.8%, while VIX’s accuracy is only 63.4%. Our framework is superior over the option based VIX due to the fact that the option market does not represents all the stock market, and our methodology accounts properly for the idiosyncratic risk.

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Macro Briefing: 26 November 2021

* High-mutation Covid-19 variant discovered in South Africa
* New Covid-variant fears take a bite out of global markets on Friday
* Flights from Europe, Asia to southern Africa suspended amid new Covid variant
* Money markets reverse rate-hike bets amid new coronavirus fears
* Beijing presses ride-sharing giant Didi to delist from US
* Fed prepared to hike rates if inflation stays hot, minutes show
* 10-year US Treasury yield pulls back sharply in early Friday trading: