Investing, Asset Allocation, Economics & the Search for the Bottom Line
21 марта, 15:07

Considering Skewness Of Returns As A Risk Metric

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Intech Investment Management recently published a primer on monitoring market stress by way of several risk metrics, including skewness of returns (SoR). In the grand scheme of quantifying risk, SoR is relatively obscure, but Intech makes a good case for paying more attention to this data. Applied to financial markets, skewness measures the degree of […]

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21 марта, 12:34

Macro Briefing: 21 March 2018

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S. Korea’s president hints at 3-way talks with N. Korea and US: CNN Trump admin may expel Russian diplomats after UK poisoning: CNN Spending bill in Congress delayed, raising shutdown risk: The Hill Trump expected to impose tariffs, restrictions on China on Thurs: MarketWatch A US-China trade war would hurt but not trigger a recession: […]

20 марта, 13:54

US Q1 GDP Growth Expected To Match Q4’s Modest Gain

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US economic growth in the first quarter will match the modest pace reported in last year’s Q4, according to estimates compiled by The Capital Spectator. The median Q1 forecast points to a 2.5% increase in output, the gain reported for 2017’s final three months, according to the Bureau of Economic Analysis. The median 2.5% estimate […]

20 марта, 12:22

Macro Briefing: 20 March 2018

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Trump set to impose $60 billion annual tariff on China: The Hill Possible gov’t shutdown looms as Congress weighs massive spending bill: CNN Will upcoming US-S. Korea Military drills rattle N. Korea? Bloomberg Decisions by China’s new central bank chief will impact world economy: NY Times Foreigners own a record 40% of outstanding US corp […]

19 марта, 13:33

US REITs Continued To Rebound Last Week

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Real estate investment trusts (REITs) in the US posted a second straight gain last week, topping performances for the major asset classes, based on a set of exchange traded products. Vanguard Real Estate (VNQ) jumped 1.3% for the five trading days through Mar. 16. Adding in the previous week’s gain translates into VNQ’s best two-week […]

19 марта, 12:24

Macro Briefing: 19 March 2018

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Russia’s President Putin easily wins re-election in new 6-year term: Bloomberg China’s new central bank governor seen as sign of policy continuity: BBC N. Korean official will hold unofficial talks in Finland with S. Korea and US: WSJ BoE’s Carney: cryptocurrencies may threaten financial system: Bloomberg Huge spending bill on agenda for Congress this week: […]

17 марта, 14:26

Book Bits | 17 March 2018

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● Predicting the Markets: A Professional Autobiography By Edward Yardeni Q&A with author via Barron’s Barron’s: Are we heading for a trade war that will derail the markets? Yardeni: The president is hard to predict, which makes the stock market’s reaction hard to predict. Back in the ’90s, the bond vigilantes disciplined Washington over inflation. […]

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16 марта, 14:20

Tech Momentum Shines In Turbulent First Quarter

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It’s been a turbulent year for US stocks so far, but technology shares are an exception as this corner of the market roars higher in 2018. These firms have outperformed both the broad market as well as the other major sectors on a year-to-date basis, based on a set of ETF proxies. Technology SPDR (XLK) […]

16 марта, 12:33

Macro Briefing: 16 March 2018

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Special counsel Mueller subpoenas Trump Organization re: Russia: LA Times White House denies Trump will fire national security adviser: Bloomberg UK, US, Germany condemn Russia for chemical attack in UK: WaPo US imposes sanctions on Russia for US election meddling: Reuters Saudia Arabia seeks nuclear weapons if Iran does: CNN White House preparing tariffs, investment […]

15 марта, 14:06

Retail Sales Have Been Weak Lately, But The Trend Is Still Positive

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Consumer spending has been soft in recent months, prompting some analysts to forecast trouble for the economy later this year. Perhaps, but looking through the monthly noise continues to paint an upbeat profile for retail sales. The growth rate has decelerated lately, but the year-over-year comparisons remain upbeat. The stakes are high, of course. Consumer […]

15 марта, 12:27

Macro Briefing: 15 March 2018

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Conor Lamb, maverick Democrat, wins special election in Penn: NY Times Senate OKs bill to roll back Dodd-Frank Wall Street reforms: The Hill Trump picks Larry Kudlow as new White House economic adviser: CNBC Kudlow supports strong dollar, tough stance on China: Bloomberg US retail sales decline for third straight month in February: Bloomberg US producer […]

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14 марта, 14:16

Profiling Correlations For The Major Asset Classes

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The case for holding a portfolio that’s diversified across markets and asset classes is built on the assumption that return correlations will remain below 1.0 (perfect positive correlation) by more than a trivial degree. To the extent that you own assets that move independently of one another you’ll reap the rewards of diversification, which is […]