The birthday celebration for US independence starts early this year at The Capital Spectator. The usual routine returns on Wednesday, July 5. Cheers!
The Independence Day Holiday Starts Early…
Monthly Archives: June 2023
Macro Briefing: 28 June 2023
* Biden unveils “Bidenomics” re-election pitch to voters
* US reviewing new restrictions on AI chip exports to China
* Will exports pull China out of its economic slowdown?
* US Consumer Confidence Index rises to 17-month high in June
* US home prices post first year-over-year decline in 11 years in April
* US nearshoring push helps lift Mexico exports to near-record level
* Walgreens stock falls as company warns consumers pull back on spending
* Fed funds futures price in moderately high odds for another 1/4-point rate hike:
Key Market Price Ratios Still Suggest Risk-On Bias Persists
The US stock market has pulled back after briefly hitting a 14-month high on June 16, but there’s still a case for expecting the recent revival in risk-on sentiment to roll on and push markets higher in the near term.
Macro Briefing: 27 June 2023
* Russia appears to resolve stand-off with Wagner paramilitary force
* Central banks should keep rates higher for longer, says IMF chief
* Banking crisis isn’t over — inflation is key factor, advises head of BIS
* Recession forecasts still premature, says economist at Renaissance Macro, but…
* HSBC predicts US recession will start in the fourth quarter
* Major banking reforms advance in Congress
* Japan government to buy semiconductor materials giant for $6.3 billion
* Digital asset inflows surge after BlackRock’s bitcoin ETF filing:
Global Markets Fell Last Week After 3-Week Rally
The Global Market Index fell 1.7% last week (through June 23), marking the first decline for this multi-asset-class benchmark since the final week of May.
Macro Briefing: 26 June 2023
* Putin survived the mini coup launched by Wagner, but his authority takes a hit
* Oil market may face new supply risks after failed uprising in Russia
* World economy at crucial point as inflation struggle continues, advises BIS
* Global economy increasingly relies on consumers for growth
* World’s debt crisis is becoming increasingly complicated due to US-China Rivalry
* Corporate defaults double over year-ago level, reports Moody’s
* China consumer, factor data edge up but still highlight weak economy
* Yen’s recent weakening may be threat to Japanese economy
* Rise in corporate defaults linked to rising interest rates, economic uncertainty
* Pandemic effects, government aid boosting economic resilience, at least for now:
Book Bits: 24 June 2023
Jason Del Rey
Interview with author via Wired podcast
Amazon and Walmart are obviously different in many ways, but the two companies are also surprisingly similar. This becomes particularly evident when you chart the history of their rivalry, as they race to compete for online shopping gains, or when they battle it out to acquire the same companies. Journalist and author Jason Del Ray writes about the dueling giants in his new book, Winner Sells All: Amazon, Walmart, and the Battle for Our Wallets, which traces the moves both companies have made in their decades-long slugfest.
Research Review | 23 June 2023 | Forecasting Equity Returns
The Realized Information Ratio and the Cross-Section of Expected Stock Returns
Mehran Azimi (University of Massachusetts Boston)
January 2023
This study investigates the predictability of asset returns with the information ratio and its specific variant, the Sharpe ratio. We find that the realized Sharpe ratio (rsr ) negatively predicts the cross-section of stock returns. The predictability is not due to the components of the rsr, that is, past returns and volatility, nor is it due to size, book-to-market, momentum, and several market microstructure and investor preference-related variables. A factor portfolio based on the short-term rsr generates alphas in the range of 0.67% to 0.89% per month against ten prominent factor models with t-stats well above 5. Our results suggest that a return-to-risk ratio metric is a strong predictor of cross-sectional stock returns, stronger than both risk and return. We provide evidence that the rsr is a proxy for stock-level sentiment. We find similar results using several information ratios and formation periods of up to one year when we control for momentum. The average monthly Carhart alpha of 60 factors constructed using five information ratios, each with formation periods ranging from one to 12 months, is 0.63%. The average of the corresponding t-stats is 4.5. The findings suggest that the predictive power of the information ratio, and the rsr in particular, differs fundamentally from its constituents.
Macro Briefing: 23 June 2023
* Biden and India’s President Modi declare “new beginning” for trade disputes
* US economy appears far less sensitive to interest rates than economists thought
* CDC advisors recommend RSV vaccine approval for older adults
* Bank of England raises interest rates by 1/2-percentage point to fight inflation
* Existing home sales edged up in May but remain sharply lower vs. year-ago level
* US existing-home-sales prices fell in May from year ago by most in over 11 years
* Homes for sale dips to lowest on record in May, Redfin reports
* US jobless claims remain relatively elevated vs. recent history
* US Leading Economic Indicator forecasts recession starting late-2023/early 2024:
Battle To Tame Inflation Has “Long Way To Go”, Says Fed Chief
The Federal Reserve paused rate hikes at last week’s policy meeting, but Fed Chairman Jerome Powell told the House Financial Services Committee on Wednesday that more increases were likely.