Saturday , January 18 2020
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Tag Archives: Uncategorized

The Best MLK Weekend Of All-Time

We are reposting this in honor of Dr. King, a truly great American. Originally Posted on January 21, 2019 During my Lehman days as a bond strategist, the firm’s research group would do a January roadshow in many of America’s major cities to present our ideas to institutional investors.   One particular year, we were in Atlanta at the end of the week and scheduled for another “greatest show on earth” in Chicago the next Tuesday. A Weekend In The Peachtree Hyatt Rather than flying home...

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Research Review | 17 January 2020 | Volatility

Macro News and Long-Run Volatility Expectations Anders Vilhelmsson (Lund University)December 10, 2019I propose a new model-free method for estimating long-run changes in expected volatility using VIX futures contracts. The method is applied to measure the effect on stock market volatility of scheduled macroeconomic news announcements. I find that looking at long-run changes gives qualitatively different results compared to previous studies that only look at realized variance and the...

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Macro Briefing | 17 January 2020

Trump impeachment hearing begins in Senate: WSJ Second death reported in new SARS-like virus in China: CNN China’s GDP rose 6.1% in 2019, slowest gain since 1990: CNBC Worrisome decline in UK retail sales continued in December: Bloomberg US jobless claims continue to fall, indicating strong labor market: CNBC US home builder confidence slips in January but remains bullish: CNBC Trend growth in US import prices remained subdued in December: Reuters Philly Fed Mfg Index rose sharply in...

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The Secular Decline in U.S. Manufacturing Employment

The title of the post is a bit of a misnomer. Though the number of manufacturing jobs in the United States is 40 plus percent higher than in 1939, their proportion of total private payrolls hit its lowest level in December at 9.91 percent. That is there are almost 4m more manufacturing payroll jobs in December 2019 than in January 1939, which at the time — just four months before Germany invaded Poland to start WWII, BTW — made up 35 percent of American nonfarm payroll jobs.  It’s...

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Are Current Risk Levels For The US Stock Market Extraordinary?

Earlier this month we reviewed how recent performance for the S&P 500 Index stacked up relative to history. Let’s extend the analysis to risk. As we’ll see, deciding if risk is unusual, or not, depends on how you’re defining risk. As a result, there’s quite a bit more subjectivity in this corner or market analytics. In contrast with return, risk comes in a wide range of flavors. That’s productive in the sense that investors can customize risk analytics with a high degree of...

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Macro Briefing | 16 January 2020

US and China sign trade deal that eases tensions: WSJ A closer look at US goods that China pledged to buy in trade deal: CNBC Key part of trade deal is already in doubt: Bloomberg Senate begins to consider removal of President Trump: Reuters Russia’s gov’t resigns, paving way for Putin to consolidate power: CNBC Fed Beige Book: ‘modestly favorable’ outlook for 2020: MW NY Fed Mfg Index ticks up, reflects modest growth in Dec: NY Fed Business inflation expectations are steady at +1.9%...

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How Is That Austrian Century Bond Doing?

I guess it depends on your entry price.   The Austrian 2117 bond chart now looks like a broken stock. We did notice during summer feeding frenzy and August highs, our bond trading buddies in Europe were pounding the table the loudest that every bond yield in the world was going to zero and beyond.   It’s always loudest at tops. The whole negative-yielding debt fiasco was generated by a ginormous momentum trade or a greater fool theory, coupled with momentum-driven algos with no...

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Stocks Get Vertical & Vertigo

This is some chart.  Even if you assume a structural shift in valuations began when the Fed started backstopping markets after the 1987 crash, that puts the average valuation of the Wilshire Market Cap to GDP at 92.58 percent.   That’s an extremely mean regression to the mean from current levels. Upshot?  We are all momentum algo traders now.   When it stops, nobody knows. Patience, grasshopper.   We wait patiently on the beach for the fever to break. Stock prices are likely to be...

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“Phase 1” Of Potemkin Trade Deal Signed, Sealed, And Yet To Deliver

We have been busy collecting bets on the outcome of the U.S.-China Trade Deal. We never believed for one moment that China would cave on any of the big issues, such as restructuring its economy and any deal would be just some token political salad dressing for the 2020 election.  Most importantly, it moves the needle very little in bringing jobs back to the U.S. rust belt as promised.  The global manufacturing sector is in recession — though appears to be putting in a bottom —  as a...

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It’s Been A Good Year So Far For (Most) Equity Markets

The broad upside momentum for most slices of the world’s equity markets has spilled over into 2020, at least so far. But the distribution of performance, as usual, is uneven. Here’s a quick look at how the bull run stacks up so far (through Jan. 14) for US and global stock markets, based on a set of exchange-traded funds. Let’s start with a top-down view of the world by dividing markets into the major geographic slices. On this dimension, China’s taken the lead with a strong...

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