Keeping up with beta remains challenging this year. All three of our proprietary strategies are still trailing the Global Beta 16 benchmark (G.B16). That’s not to say that the prop strategies don’t add value – they do, but not in raw performance, at least not so far this year. The risk-management edge, by contrast, remains intact, albeit in varying degrees and on different fronts across the trio of prop strategies. For details on strategy rules and risk metrics in the tables below, please see this summary.
The expected risk premium (return above the “risk-free” rate) for the Global Market Index (GMI) continued to edge higher last month, rising to an annualized 5.7% — up slightly from the previous estimate. That’s still well below the trailing realized performance for the benchmark, but it represents a relatively elevated estimate compared with forecasts in recent history.
* Economists see two-speed growth outlook for global economy with US leading
* Global Manufacturing PMI rose to 10-year high in March
* European Union’s credibility at risk after bloc’s mistakes during pandemic
* China puts new limits on foreign banks’ business operations in the country
* US construction spending fell in Feb, probably due to unusually cold weather
* Inflation pressures building in the US manufacturing sector
* US jobless claims were higher than expected last week
* ISM Manufacturing Index rose to a 37-year high in March: