The depth and breadth of ETF choices offers unprecedented opportunity for asset allocation design and management. The downside is that keeping track of this realm is burdensome—until now. The Capital Spectator is rolling out a new research service to help manage the information overload: The ETF Portfolio Strategist (ETF-PS).
Macro Briefing | 11 November 2019
Boliva’s president, citing coup, resigns after disputed election: Reuters
Spain’s socialists hold on to power as far-right makes big gains in election: NHK
The Treasury yield curve steepens. Is that a risk-on signal? WSJ
UK growth slows to 1% year on year rate in Q3, slowest in nearly a decade: BBC
US small-business owners’ optimism continues to edge up in 2019: Gallup
US consumer sentiment improved slightly in November: MW
US stock market volatility (VIX Index) slipped to 3-month low on Friday:
Book Bits | 9 November 2019
By Christopher Varelas and Dan Stone
Review via Kirkus Review
Varelas charts the evolution—or, more, accurately, devolution—of the modern financial sector, noting that when banking firms went public there was no longer a personal stake in the game but instead only “employees looking to maximize annual compensation” without sufficient concern for risk, one of what Walt Disney called “the hard facts that have created America.” Other negatives in the system, writes the author, are time-sensitive algorithms whose speed divorces prices from “reality” and a corporate culture that turns the financial-sector worker into “merely a cog in a global delivery mechanism.” The author’s exercise in forensic accounting as he examines a case of government bankruptcy is particularly fascinating.
What’s The Best Methodology For Measuring Drawdown Risk?
The possibilities for quantifying risk in portfolio analytics seem to be limited only by the imagination of researchers. Indeed, you can find dictionaries that wade through an ever-lengthening list of indicators. But any short list of robust metrics surely deserves to include drawdown, which offers a powerful combination of relevance and simplicity. A new research paper reminds, however, that drawdown comes in several flavors and so investors need to think carefully when deploying this metric in the quest to identify genuinely skillful portfolio results.
Macro Briefing | 8 November 2019
Michael Bloomberg may enter presidential race: Politico
US will reportedly forgo new tariffs on European autos: Bloomberg
Reports of easing tensions in US-China trade war lift stock market: WSJ
China’s imports and exports fell by less than expected in October: CNBC
10-year Treasury rate rises the most since Trump’s election: CNBC
US consumer credit in September rose at slowest pace in 15 months: MW
Last week’s drop in US jobless claims continue to signal healthy labor market: MW
Bull Market In US Bonds Still Running Hot In 2019
Fixed-income investing has been a winner in no small degree this year. Throwing money at almost any slice of US bonds has been a winning decision, based on a set of exchange-traded funds. Notably, favoring bigger duration risks has delivered bigger returns.
Macro Briefing | 7 November 2019
US and China agree to scrap tariffs in phases: Reuters
US tariff collections rose to a record $7 billion in September: WSJ
Global growth continues to slow, close to stagnant pace in Oct: IHS Markit
German industrial output continued to fall in September: Bloomberg
European Commission trims outlook for eurozone economic growth: Bloomberg
IMF downgrades Eurozone economic outlook: IMF
US worker productivity fell in Q3 — first drop in 3 years: Bloomberg
Inflation Expectations At Record Low As Treasury Forecast Rises
Confused about the outlook for US inflation? Yesterday’s conflicting news on this front isn’t helping.
Macro Briefing | 6 November 2019
Democrats prevail in key races in Virginia and Kentucky: Reuters
Atlanta Fed’s GDPNow model: weak 1.0% US growth expected for Q4: AF
German manufacturing orders rose more than expected in Sep: Reuters
Eurozone Composite PMI: weak growth prevailed in October: IHS Markit
Japan Composite PMI signals recession for first time in 3 years: IHS Markit
Falling US imports suggest softer economic growth ahead: WSJ
Growth in US services sector picked up in Oct, rising at moderate pace: CNBC
US Services PMI: slowest rise in sector activity in Oct in over 3 years: IHS Markit
US job openings fell to 18-month low in September: CNBC
Risk Premia Forecasts: Major Asset Classes | 5 November 2019
The expected risk premium for the Global Market Index continued to tick higher in October, rising to an annualized 4.8%. The estimates marks a fractional gain over the last month’s estimate. Compared with the estimate from 12 months earlier, today’s revised long-term risk premia projection for GMI has also edged up — from a 4.5% estimate in October 2018 (see table below). GMI is an unmanaged market-value-weighted portfolio that holds all the major asset classes (except cash). The forecast for this passive benchmark represents the ex ante premium over the expected “risk-free” rate for the long term.