Daily Archives: Dec 4, 2020 at 07:19 pm EST

Fat Tails Everywhere? Profiling Extreme Returns: Part V

Everyone talks about fat tails in markets, but how do you model it in an effort to estimate what may be lurking in the future? There are many possibilities, along with lots of statistical baggage. The main challenge is that trying to squeeze reality into one distribution to capture how markets actually work is challenging, to say the least. But the head of global multi-asset strategies at T. Rowe Price outlines a simple and arguably better approach in a new book on asset allocation.

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Macro Briefing: 4 December 2020

House speaker and Senate majority leader resume talks on stimulus deal: CNBC
Moderna: vaccine has ‘potential’ to offer longer-term immunity: MW
Biden and three former presidents pledge to publicly take a vaccine: USAT
Should US policymakers stop worrying and learn to love debt? NYT
Softest gain in 6 months expected for today’s November payrolls report: RTRS
Demand for inflation-protected securities surges: FT
German factory orders rose in Oct, level above pre-crisis level: BBG
Global growth ticked lower in November but remained “solid”: IHSM
US jobless claims fell last week, perhaps due to Thanksgiving holiday: WSJ
US Services PMI: sector growth accelerated to five-year high in November: IHSM
Conflicting with PMI, ISM Non-Mfg Index reflects softer growth in November: ISM