Daily Archives: May 27, 2020 at 07:12 am EDT

Fat Tails Everywhere? Profiling Extreme Returns: Part I

Risk comes in many forms in the money game, but perhaps the first one on every investor’s list is the risk of experiencing extreme losses. This year has been a real-world case study on that front and so it’s timely to revisit the subject of modeling, forecasting and otherwise studying a subject that resonates far and wide for portfolio management, namely: profiling fat tails in return distributions.

Continue reading

Macro Briefing | 27 May 2020

China’s military says it will protect country’s interest in Hong Kong: NY Times
Trump to announce response to China’s security law for Hong Kong: Reuters
US military accuses Russia of covertly deploying fighter jets to Libya: BBC
US consumer sentiment rebounded modestly in May: CNBC
Senate Leader McConnell: Congress will ‘probably’ another stimulus bill: CNBC
IEA warns that global energy investment is set for record decline: CNBC
US economy is showing signs of rebounding from coronavirus lockdown: WSJ
Home prices in US continued to rise in March despite Covid-19: MW
New US home sales edged up in April: CNBC
US economic downturn accelerated in April: Chicago Fed
Economists expect a slow recovery following US recession: FiveThirtyEight