A couple of weeks back I published the first part of a full-chapter excerpt from my new book, Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return. Here’s the second half of this two-part excerpt of Chapter 5, which reviews the basics for factor analysis via R code. The chapter sample below focuses on additional analytics, including a primer on a close cousin to factor analysis: principal component analysis (PCA). (Note: for a cleaner read, the footnotes that appear in the book have been removed for this web-based version of the chapter. For a complete list of the book’s chapters, see here. Keep in mind that all the code published in Quantitative Investment Portfolio Analytics In R can be accessed via a single file by way of a link that’s published in the book.)
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US Small Caps Lead US Equity Factor Performance Year To Date
Small-cap stocks have delivered the strongest returns so far in 2018 for key US equity factors, based on a set of proxy ETFs.
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Macro Briefing: 11 July 2018
Trump targets another $200 billion in Chinese goods for tariffs: Politico
Is a trade war a prelude to a financial crisis? Bloomberg
Trump charges that Germany is Russian “captive”: Reuters
Job openings in US dip in May after touching record level: Bloomberg
US small business optimism slips in June; still near historic highs: Marketplace
US workers quit jobs at highest rate since 2001: MarketWatch
US Inflation’s Slow, Steady Rebound Looks Set To Continue
Thursday’s report on consumer inflation for June is expected to show that the recent firming trend will roll on. Analysts are looking for the year-over-year rate in headline prices to tick up to the fastest pace in over six years. It’s easy to overstate the rebound in pricing pressure, which appears dramatic after flirting with a mild degree of deflation as recently as 2015. But the rise from a low base still leaves inflation at a moderate rate relative to history. Nonetheless, the numbers clearly show that reflation is in progress — a trend that will increasingly ratchet up pressure on the Federal Reserve to tighten monetary policy.
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Macro Briefing: 10 July 2018
Trump picks Brett Kavanaugh, a solid conservative, for Supreme Court: The Hill
Ahead of Nato summit, Trump criticizes members on defense spending: Politico
China’s producer inflation accelerated to six-month high in June: Reuters
UK growth picked up in May: MNI
German economic sentiment suffers sharp pullback in July: Investing.com
Turkey may be the most vulnerable emerging market: NY Times
Lowest-rated tranche of inv-grade US corp bonds flash econ warning: Bloomberg
US consumer credit in May rose the most in six months: Bloomberg
10yr-2yr Treasury yield curve held below 30 basis points on Monday:
Widespread Buying Lifted Nearly All Asset Classes Last Week
Positive returns dominated the first week of trading in July for the major asset classes, based on a set of US-listed exchange-traded products. With the exception of broadly defined commodities, every corner of finanical markets posted gains for the trading week through July 6.
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Macro Briefing: 9 July 2018
Trump close to decision on naming a new Supreme Court justice: The Hill
US effort to negotiate with N. Korea runs into new challenges: CNN
New phase of Brexit crisis for UK after key gov’t members quit: Bloomberg
UK woman dies after poisoning from Soviet-era nerve agent: Reuters
Energy and tech expected to lead for Q2 earnings growth: CNBC
Here’s how the trade war could get ugly: Bloomberg
5 key numbers to consider in the upbeat jobs report for June: CNBC
US trade deficit narrows to 19-month low in May: MarketWatch
Book Bits | 7 July 2018
By Taylor Larimore
Review via Morningstar
Three colors: red, white, and blue. Three funds: Vanguard Total Stock Market Index (VTSAX), Vanguard Total International Stock Index (VTIAX), and Vanguard Total Bond Market Index (VBTLX). According to author Taylor Larimore, those are all that an American investor needs.
All right, he doesn’t actually mention the U.S. flag. That was my addition, this being a July 4 column. However, Taylor’s new book, “The Bogleheads’ Guide to the Three-Fund Portfolio,” is less topical. It is intended to apply not only to each day of the year, but for many years to come. In that task, it succeeds. The publication is as timeless as anything that advocates specific funds can be.
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US Private Payrolls Rise Above 200,000 For Second Month
US companies expanded payrolls by 202,000 in June, the Labor Department reported today. The solid gain marks the second time in as many months that employment grew by more than 200,000.
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One More Fed Rate Hike Threatens To Invert Treasury Yield Curve
The yield spread for 10-year less 2-year Treasuries dipped to 29 basis points on Thursday (July 5), the lowest since August 2007. Will the Federal Reserve tempt economic fate with another rate hike that could push the 10-2-year spread into negative terrain, which would widely be interpreted as a warning that a new recession is near?
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