The price of liberty is eternal vigilance.
— Thomas Jefferson

US real estate investment trusts (REITs) rebounded in June, taking the top spot for performance among the major asset classes. MSCI REIT Index gained 2.1%, the strongest monthly gain in four months. For the first half of the year, however, MSCI REIT’s 2.7% advance is relatively weak vs. the rest of the field.
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● Before Babylon, Beyond Bitcoin: From Money that We Understand to Money that Understands Us
Review via The Economist
People use money every day and yet struggle to understand it. The economic experiment known as monetarism—limiting the supply of money in order to control inflation—was abandoned when it became clear it was impossible to establish a precise definition of the money supply. The idea of negative interest rates, introduced by some modern central banks, puzzles those who think that savers should be rewarded for thrift.
“Before Babylon, Beyond Bitcoin” by David Birch, a consultant, offers a broad historical overview on the nature of this essential economic instrument. His underlying thesis is that money has evolved over the ages to suit the needs of society and the economy.
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US Sector Rotation with Five-Factor Fama-French Alphas
G. Sarwar (University of Greenwich), et al.
June 16, 2017
In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that significant alphas are still present in all the sectors at some point in time. In the full sample period, 50% of sectors generate significant five-factor alpha. We test if such alpha signifies a true sector out/underperformance by applying simple long-only and long-short sector rotation strategies. Our long-only sector rotation strategy that buys a sector with a positive five-factor alpha generates four times higher Sharpe ratio than the S&P500 buy-and-hold. If the strategy is adjusted to switch to the risk-free asset in recessions, the Sharpe ratio achieved is ten-fold that of the buy-and-hold. The long-short strategy fares less well.
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Thanks to this month’s rally in financial shares this corner of the US equity market has become the top-performing sector for the trailing one-year period, based on a set of proxy ETFs as of June 28. Meanwhile, the tech sector, the second-best performer over the past 12 months, has stumbled in recent weeks, opening the door for financials to pull ahead.
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Hawkish comments by European Central Bank (ECB) President Mario Draghi helped lift rates around the world yesterday, including Treasury yields. But it’s premature to conclude that recent flattening of the US yield curve – a bearish signal for the economy — has run its course.
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Most estimates of second-quarter US GDP growth continue to project an acceleration in economic activity following Q1’s sluggish rise. But weaker-than-expected numbers in yesterday’s data releases may be a sign that analysts will trim expectations for Q2’s rebound.
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Equities in emerging markets rebounded last week, posting the strongest gain among the major asset classes, based on a set of exchange-traded products.
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Summer is here, the livin’ is easy (even if it’s still expensive), and the temptation to play hooky is too strong to resist. But the bills must be paid eventually and so this brief respite ends when the usual routine returns on Monday, June 26. Cheers!

Forecasting economic activity is generally a thankless task — unless you’re using demographics as a modeling foundation, which provides a surprisingly accurate means for looking ahead. That’s good news for analysts trying to develop robust estimates of GDP growth over a medium-to-long-term horizon. But it’s also bad news if you’re expecting economic activity to accelerate on a sustainable basis.
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