The expected risk premium for the Global Market Index (GMI) ticked down in June to an annualized 4.8%, a fractional decline from the previous month’s outlook. The projected return over the “risk-free” rate is a long-run estimate for the index, which is an unmanaged market-value-weighted portfolio that holds all the major asset classes.
Continue reading →

Germany’s Merkel stays in power by compromising on migration: CNN
Trump and Mexico’s new president vow to work together: USA Today
Trump warns World Trade Organization of action if US isn’t treated fairly: Reuters
Trump warns NATO countries to spend more on defense: NY Times
Construction spending in US rose 0.4% in May: MarketWatch
ISM Mfg Index: US factory output up more than expected in June: Bloomberg
PMI: US mfg growth eased but remained strong in June: IHS Markit
Eurozone mfg growth dipped to 18-month low last month: IHS Markit
10 Tech stocks account for all of S&P 500’s gain in 2018’s first half: Bloomberg

Real estate investment trusts (REITs) in the US posted the strongest gain in June among the major asset classes. The gain marked a second straight month with securitized real estate topping the performance list.
Continue reading →

Left-wing populist wins landslide victory in Mexico’s presidential election: CNN
N. Korea appears to be expanding missile manufacturing plant: CNN
European Union warns US of blowback if car tariffs imposed: Reuters
Will German Chancellor Angela Merkel’s ruling bloc collapse? Bloomberg
US consumer spending growth cooled as inflation ticked up in May: Bloomberg
Consumer sentiment reading posts slight gain for June: CNBC
Chicago PMI rose to six-month high in June: ISM Chicago
Wall Street eyes carving up time into nanoseconds: NY Times
GDPNow Q2 economic growth estimate revised down to +3.8%: Atlanta Fed

● Squeezed: Why Our Families Can’t Afford America
By Alissa Quart
Excerpt via Money Magazine
“Surplus humans.”
That’s the callous term Karl Fogel, partner at Open Tech Strategies, an open-source technology firm, used when describing the unwitting employee-victims of advances in automation. Cruelty aside, it’s a term that could easily describe once secure “middle-class” professions, including jobs in the automotive industry, nursing, tax preparing, office administration and law.
When I started reporting my book Squeezed: Why Our Families Can’t Afford America five years ago, I found many culprits for rising insecurity among what I called the Middle Precariat, a group that suffered from the cost of their children’s daycare, and from rent and mortgages, of course, and copious student and health care debt. But they were also afflicted by the hovering fear of being put out of work by our mechanical brethren.
Continue reading →

When Does Cap-Weighting Outperform? Factor-Based Explanations
Roger G Clarke (Ensign Peak Advisors), et al.
May 1, 2018
Equity mutual fund performance can be partially explained by commonly-followed equity market factors, and the proposition that fund managers in the aggregate have more equally-weighted positions that the capitalization weighted market. Currently, the aggregate mutual fund’s active return is positively associated with the performance of pure Momentum, Small Size, and Profitability factors, and negatively associated with the performance of pure Value and Low Beta factors.
Continue reading →

Europe reaches deal on immigration: BBC
US Energy Secretary: oil market will be “stressed” by new Iran sanctions: The Hill
Q1 GDP growth for US revised down to 2.0%: Reuters
US jobless claims up for first time in four weeks: MarketWatch
Kansas City Fed mfg index reflects continued strength in June: Bond Buyer
St Louis Fed’s Bullard prefers to leave US rates on hold: MNI
US crude oil benchmark jumps to highest level since late-2014: CNN Money

Here’s an excerpt from my new book, Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return, which was published last week. In this two-part excerpt of Chapter 5, we’ll look at a basic procedure for downloading factor premia from Professor Ken French’s web site to run a simple factor analysis using R code. I’ll publish the second half of Chapter 5’s excerpt soon. (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 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.)
Continue reading →

Despite ongoing wars and heightened geopolitical tensions in the region, stock markets in the Middle East overall are outperforming the rest of the world so far in 2018, based on a set of exchange-traded funds.
Continue reading →