Our trio of proprietary strategies were a mixed bag of performances last week (through Friday, Aug. 20) vs. the benchmark (G.B16), which shed 1.5%, courtesy of a broad-based selloff in global markets.
Book Bits: 21 August 2021
Mark Spitznagel
Essay by author via Financial Times
The fact is, safety from risk can be exceedingly costly. As a cure, it is often worse than the disease. And what’s worse, the costs are often hidden; they are errors of omission (the great shots that could have been), even as they mitigate errors of commission (the bad shots). The latter are the errors we easily notice; ignoring the former for the latter is a costly fallacy… More surprising, even investors engage in risk mitigation irony as well. They strive to do something — anything — to mitigate risk, even if it impairs their portfolios and defeats the purpose. The vast majority of presumed risk mitigation strategies leave errors of omission in their wake (ie underperformance), all in the name of avoiding losses from falling markets.
The ETF Portfolio Strategist: 20 August 2021
- The safe-haven Treasuries trade rolls on as most risk assets fade this week
- Losses weighed on all the strategy benchmarks
A rough week for (most) markets: Red ink was nearly everywhere. Save for Treasuries and investment-grade US corporates, our 16-ETF opportunity set was conspicuously biased to the downside for the trading week through Friday, Aug. 20.
Capture Ratios: A Valuable Risk Metric For Portfolio Design
Risk comes in many flavors and so it’s no surprise that there are hundreds of risk metrics to consider for the toolbox. In a new series of posts, CapitalSpectator.com will highlight some of the lesser-known indicators and review the applications. Let’s start with capture ratios.
Macro Briefing: 20 August 2021
* Delta coronavirus variant is a risk factor for stocks and economy
* Surging Delta cases delay if not reverse plans to bring workers back to offices
* Scientists say plan for Covid-19 vaccine booster shots next month is premature
* China OKs sweeping privacy law that will curb data collection by tech firims
* US Philly Fed Mfg Index indicates slower growth in August
* US Leading Economic Index reports ‘another large gain in July’
* US jobless claims fell to a new pandemic low last week:
Financials And REITs Take The Lead For US Equity Sectors In 2021
Financials and real estate investment trusts (REITs) have displaced energy stocks as the performance leaders for US equity sectors this year, through yesterday’s close (Aug. 18), based on a set of exchange traded funds.
Macro Briefing: 19 August 2021
* Republican governors favor Covid cocktails over masks as cases surge
* US troops may stay in Afghanistan past deadline, says Biden
* Pockets of resistance to Taliban rule emerge in several Afghanistan cities
* Fed preparing for tapering bond purchases later this year, minutes suggest
* Fed official warns hefty bond purchases are ill-suited for US economy
* 30yr-5yr Treasury spread suggests confidence in Fed policy outlook
* Taliban now control $1 trillion of Afghanistan’s mineral wealth
* More trouble for China tech giants after new batch of proposed regulations
* Federal judge nixes Trump administration’s Ok of Alaska oil drilling project
* US housing starts fell more than forecast in July:
The ETF Portfolio Strategist: 18 August 2021
Starting today, The ETF Portfolio Strategist will publish a set of total return forecasts each month for the major asset classes, based on a set of models. The goal is to focus on the average of several models in the pursuit of slightly more reliable estimates compared with relying on a single model.
Return Distributions Are A Key Aspect For Risk Management
The search for the holy grail in diversification never ends and, unfortunately, rarely if ever turns up productive discoveries not already widely known. Nonetheless, tracking various facets of diversification is still useful and sometimes essential. That includes monitoring return distributions, which are always in flux.
Macro Briefing: 18 August 2021
* Uncertainty reigns after Taliban’s takeover of Afghanistan
* US investors trim China investments as Beijing’s tech crackdown deepens
* Revised Eurozone inflation confirmed at 2.2% annual rate, highest in 3 years
* UK inflation falling to 1-year-plus low
* US industrial output continued to rebound in July
* US consumer spending in July highlights shift to services
* US retail sales fell more than expected in July:
