In this issue:
- US small-cap stocks explode higher
- No sign of trouble for our strategy benchmarks, which continue to trend up
Measuring Return Streaks, Part II
Yesterday we reviewed the basics for calculating so-called performance streaks in markets. Let’s go a bit deeper and slice and dice the data with a bit more granularity.
Macro Briefing: 12 March 2021
* President Biden signs into law the $1.9 trillion coronavirus relief package
* Biden directs states to offer vaccines to everyone by May 1
* Three European countries halt use of AstraZeneca’s vaccine
* Treasury Sec. Yellen: Americans will start receiving relief payments this weekend
* Eurozone industrial output was much stronger than expected in January
* UK’s economy fell less than expected in January
* UK exports to Eurozone fell 40% in January
* US job openings rose in January to pandemic high
* US jobless claims fall more than expected but still unusually high:
Measuring Return Streaks — Another Metric For Your Toolkit
Performance monitoring comes in many flavors, including popular favorites such as drawdown and rolling return over some trailing window. A less-familiar but useful metric: streaks, which quantifies an uninterrupted run of performance, up or down.
Macro Briefing: 11 March 2021
* House passes $1.9 trillion Covid relief bill — Biden will sign it this week
* Biden will outline ‘next phase’ of US Covid relief in TV address tonight
* Covid relief bill raises taxes on the wealthy and big corporations
* Denmark suspends AstraZeneca’s Covid vaccine due to possible side effects
* Brazil’s Covid deaths are surging
* Will last year’s debt binge bring blowback for the global economy?
* US jobless claims expected to ease from high levels
* US budget deficit rises to $1 trillion and even higher levels are expected
* US consumer inflation picked up in February, but core trend eased:
The ETF Portfolio Strategist: 10 March 2021
In this issue:
- Small-cap value stocks are sizzling this year
- Commodities appear to be in a new bull market
- Warehouse REITs ride the post-pandemic recovery wave
Small-Cap Value Is 2021’s Top-Performing US Equity Factor
Small-cap value is back. This slice of US equity factor risk is leading the wide-ranging field of US equity risk factors by a wide margin so far in 2021, based on a set of ETF returns through Mar. 9.
Macro Briefing: 10 March 2021
* House on track to pass $1.9 trillion pandemic relief bill today
* US stimulus/relief bill expected to boost world economy
* State tax revenues roughly flat in 2020 vs. previous year
* Alaska is first state to offer vaccines to anyone 16 or older
* US preparing to take ‘a mix of actions’ in response to the cyberattack from Russia
* Demand for hedge funds is rising, Credit Suisse survey finds
* China’s producer prices rose at fastest pace in over two years
* US small business optimism still under 47-year average in February:
US Interest Rates Are Rising In Relative Terms Too
The rise in US interest rates is refocusing minds and prompting attitude adjustments the world over, but most of the attention has been on the absolute increases in yields. To understand the changes on a deeper level, from a global perspective, it’s necessary to consider the relative shift too.
Macro Briefing: 9 March 2021
* Biden’s $1.9 trillion Covid-19 relief plan set to become law this week
* Will US rebound create imbalance for world economy?
* Soaring home prices are starting to worry policymakers
* Rising oil prices may threaten global economic recovery
* CDC eases guidance for people who are fully vaccinated against Covid
* New US Covid-19 deaths below 1,000 for second day–four-month low
* Eurozone economy fell more than previously estimated in 2020’s Q4
* German exports rose in January, beating expectations
* 10-year Treasury yield continues to rise, reaching 1.59%:
