Beta risk continued to beat our actively managed risk strategies last week. The outperformance was slight, but it’s enough to keep the global 16-fund opportunity set — Global Beta 16 (G.B16) — humming in the leadership position. This opportunity set represents the playfield field for the active strategy (see last table below for list of funds).
Monthly Archives: July 2021
245 Years And Counting…
Book Bits: 3 July 2021
Benjamin Ho
Review via NPR
A new book by Benjamin Ho, Why Trust Matters: An Economist’s Guide to the Ties That Bind Us, argues the story of the economy — and all of human civilization, really — is the story of how we’ve evolved to trust larger and larger groups of strangers.
Human beings are social creatures. But our monkey brains are equipped to know and trust only a limited number of people. Around 150, according to the research of the British anthropologist and evolutionary psychologist Robin Dunbar. It’s known as Dunbar’s number. Dunbar argues it’s why we see 150 as a standard number for infantry units of militaries throughout history, and even the upper limit of people we regularly interact with on Facebook.
The ETF Portfolio Strategist: 2 July 2021
- Commodities, US stocks and bonds, rallied this week
- Strategy benchmarks continue push higher
Commodities led this week’s gainers: It wasn’t even close. WisdomTree Commodity (GCC) topped the performance ledger for trading through Friday, July 2 for our 16-fund opportunity set, which proxies for the major asset classes. There were other gainers, but GCC stole the show with a 2.2% weekly advance that left the rest of the field in the dust. For details on all the strategy rules and risk metrics, see this summary.
Risk Premia Forecasts: Major Asset Classes | 2 July 2021
The expected risk premium for the Global Market Index’s (GMI) resumed an upward drift in June, rising to an annualized 6.0%. That’s up fractionally from 5.9% in the previous month. The forecast, which reflects the long-run outlook for GMI’s return over the “risk-free” rate, is still well below the realized risk premium in recent history, based on trailing 10-year annualized results. Continue reading
Macro Briefing: 2 July 2021
* 130 nations agree to a global minimum tax on corporations
* US military withdrawal from Afghanistan nearly complete
* CBO raises growth outlook for US economy in 2021
* The evidence showing reliable inflation forecasting is thin
* Infections surging for Delta variant of coronavirus in Asia
* NYC office vacancies rise sharply this year from end of 2020
* US manufacturing growth slowed in June but the expansion remains strong
* Manufacturers report the biggest price jump in 42 years for June
* IMF raises US 2021 economic growth forecast to a sizzling 7% gain
* US jobless claims fell to a new pandemic low last week:
Major Asset Classes | June 2021 | Performance Review
After two straight months of across-the-board gains for the major asset classes, red ink returned in June.
Macro Briefing: 1 July 2021
* NY grand jury indicts Trump Organization and its CFO
* US and Japan conducting war games as China-Taiwan tensions rise
* China president pledges ‘complete reunification’ with Taiwan
* China Mfg PMI: sector growth eased to 3-month low in June
* Fed’s Kaplan: central bank should soon begin paring bond purchases
* Eurozone Mfg PMI rose to record high in June
* US pending home sales rebounded sharply in May
* Chicago area business activity was surprisingly weak in June
* US private employment rose 692,000 in June — more than economists expected:
