Daily Archives: October 8, 2021

The ETF Portfolio Strategist: 8 October 2021

  • Commodities deliver a winning weekly performance
  • All but one of our portfolio benchmarks rose this week

Playing a hot hand in commodities: Broadly defined commodities rose for a third straight week through today’s close (Friday, Oct. 8), posting the strongest weekly within our 16-fund opportunity set that spans the globe and major asset classes. For details on all the strategies and metrics in the tables, see this summary.

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Research Review | 8 October 2021 | Dynamic Portfolio Strategies

Time-Varying Factor Allocation
Stefan Vincenz and Tom Oskar Karl Zeissler (Vienna U. of Economics and Business)
September 15, 2021
In this empirical study, we provide evidence on how predictive information can be utilized to profitably allocate a cross-asset factor portfolio, covering various well-known factors over the asset classes equity, commodity, fixed income, and foreign exchange. We investigate the performance of a meaningful set of predictors, which we broadly divide into macro and market indicators. Our analysis shows that tilting a global factor portfolio according to signals derived from business cycle indicators, inflation, and short-term interest rates, among other predictors, significantly outperforms a static factor benchmark. The established results are based on practical considerations, survive conservative transaction cost assumptions, and are validated over an extensive out-of-sample period. In sum, we highlight the potential benefits of an asset-allocation framework conditioned on predictive variables, but caution to time factors on a standalone basis.

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Macro Briefing: 8 October 2021

* Senate approves short-term fix to lift US debt ceiling
* China’s energy crunch is reverberating throughout the global economy
* China orders ramp-up in coal production to ease energy crunch
* Natural gas industry scrambles to meet demand amid supply shortage
* Global minimum tax deal could be announced as early as today
* US consumer credit growth slowed to seven-month low in August
* China services sector activity rebounded in September
* US jobless claims fell more than expected last week–close to pandemic low: