Daily Archives: Nov 5, 2019 at 06:42 am EST

Risk Premia Forecasts: Major Asset Classes | 5 November 2019

The expected risk premium for the Global Market Index continued to tick higher in October, rising to an annualized 4.8%. The estimates marks a fractional gain over the last month’s estimate. Compared with the estimate from 12 months earlier, today’s revised long-term risk premia projection for GMI has also edged up — from a 4.5% estimate in October 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 | 5 November 2019

US and China consider paring trade tariffs for initial trade deal: WSJ
China’s President Xi says he has ‘confidence’ in Hong Kong leader: BBC
OPEC trims oil-demand forecast, citing “stress” in world economy: CNBC
US formally begins exiting Paris climate agreement: Reuters
UK services sector remained stagnant in October: IHS Markit
Eurozone producer price inflation fell to 3yr low: -1.2% in Sep: Eurostat
Slightly stronger modest growth expected for ISM Non-Mfg Index in October
US factory orders fell 3.5% in Sep vs. year-ago level–weakest in 3 years: