Rob Printz

December indigestion caused by the Federal Reserve's comments today? The S&P was humming along until the FOMC cut 25 bps as expected, and the changes to the statement were trivial (although the vote to cut wasn’t unanimous). Chairman Powell wasn’t a reassuring voice at this meeting, and the market’s confusion led to hawkish projections and speculations for 2025. The S&P 500 closed at the day's lows, -3%. Capital flow was heavy at 145%. Today's move lower in the stock market was significant. We’re below the 50-day moving average for the first time since September. We’re not oversold (yet), and we’re (only) back at mid-October levels. From a technical standpoint, the rest of December should be a race for the exits….but dip-buyers will (most likely?) do their thing. It's worked for the last 12+ years, so why stop now? Considering today’s drop is rooted in a market unprepared for a Fed that wasn’t gung-ho with spiking the punch bowl a lot more, it could mean that once investors relax and think, they won’t believe this is all that bearish. If that’s the case, watch for an enjoyable bounce back. In summary, the fundamental landscape isn’t radically altered; however, the emotional landscape temporarily is.

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If you think portfolio risk management is just about diversification, think again. This article sheds light on some surprising strategies that challenge common perceptions. Here are some thought-provoking takeaways: - Did you know that reducing the number of investments in a portfolio can sometimes actually decrease risks? It's all about strategic selection. - Contrary to popular belief, actively managing risk doesn't necessarily mean more frequent trading. In fact, a hands-off approach can be a smart move. - One of the key points discussed is the importance of understanding the correlation between investments, a factor often overlooked in risk management strategies. - Asymmetric risk and the role it plays in portfolio management is explored, offering a fresh perspective on balancing risk and return. - Ever considered tail risk hedging? This article dives into this lesser-known strategy that can enhance risk management effectiveness. Share your thoughts and feelings on these unconventional risk management strategies. https://lnkd.in/ecgSpH93

In Pure Portfolios’ June 2024 Market Commentary, Chief Investment Officer, Nik Schuurmans, covers U.S. large cap extremes relative to small cap & value stocks, the massive influence of three companies on the S&P 500, and how difficult it is for companies to stay on top of the corporate mountain. Can the S&P 500, fueled by AI technology stocks, keep it going or are we due for a breather? Watch the video below…

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In this month’s First Eagle Alternative Credit update, Portfolio Manager and Senior Alternatives Strategist Larry Holzenthaler explains how repricing drove spread compression in 2024 and where the team is seeking relative value while keeping overall credit quality at fairly prudent levels. https://bit.ly/3DwAiiY

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Huge news in #cta #etf land: AlphaSimplex Group went live today with their managed futures ETF, $ASMF. Important points: - ASG put factor replication of #hedgefunds on the map when Andrew Lo wrote the seminar paper in 2006 (which convinced this guy 👆 to try to commercialize it....). ASMF has, at its core, replication. - Like Man Group, ASG runs a great #mutualfund and now is jumping into the ETF pond. The ecosystem keeps growing and more and more investors will have access to "institutional quality" managed futures products in client-friendly wrapper. - Virtus Investment Partners now owns ASG and is an investment powerhouse that can drive widespread investor education, led by the exceptional Kathryn Kaminski, PhD, CAIA, who coined the term "crisis alpha." To beat the DBi drum: managed futures ETFs represent around 0.02% of the ETF world. This for a strategy that arguably has more diversification value than any other liquid alternative. This is a greenfield, transformational opportunity that already has attracted the likes of Corey Hoffstein with ReSolve Asset Management, Jerry Parker, Mt. Lucas Management (with KraneShares), Simplify to join us, our partners at iM Global Partner, and comparative veterans WisdomTree Asset Management and First Trust. Grow the pie! https://lnkd.in/epfXYHTR

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"Conditional Betas": "Changing firm attributes and economic conditions lead to time-variation in betas... We compare several econometric or machine-learning methods...The 'individual LASSO'' method performs [best]." https://lnkd.in/erGHdbbM

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=> The U.S. labor market report produced a knee-jerk reaction among major FX – but MXN, COP, BRL, and ZAR are bucking the trend => MXN clearly likes the idea of a stronger growth in the U.S. Further, President Sheinbaum continues to send orthodox policy signals (including the post-election fiscal adjustment), and there is now a possibility that parts of controversial judicial reform might be revised => BRL/COP/ZAR’s outperformance is even more interesting – Domestic factors still getting noticed? (chart’s source - Bloomberg LP)

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𝗕𝗿𝗶𝗱𝗴𝗲𝘄𝗮𝘁𝗲𝗿 𝗼𝗽𝗲𝗻𝘀 𝘀𝘁𝗿𝗮𝘁𝗲𝗴𝘆 𝘁𝗼 𝗿𝗲𝘁𝗮𝗶𝗹 𝗶𝗻𝘃𝗲𝘀𝘁𝗼𝗿𝘀 𝘁𝗵𝗿𝗼𝘂𝗴𝗵 𝗦𝘁𝗮𝘁𝗲 𝗦𝘁𝗿𝗲𝗲𝘁 𝗘𝗧𝗙 https://lnkd.in/dCYdE-zK   Risk parity funds for retail investors have not worked well over the past decade or so (and Bridgewater’s All-Weather strategy has also underperformed for some time): the pioneer in the industry (Wealthfront Risk Parity Fund with $1.3bn in AUMs) is going to be liquidated in January https://lnkd.in/dya2H6SZ , and other products have also failed to beat a simpler 60/40 strategy.   This despite the carnage in bond markets in 2022 and the elevated asset correlations (or, more likely, because of…).   I guess it all boils down to the specific strategy used: this product will also use leverage in an ETF, so it will be interesting to see how it plays out. 

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Check out my macro notes just released:) Some interesting insights from the Snb and Norges decisions today along with thoughts on the S&P 500's outperformance in the last month against global asset classes. Enjoy:) https://lnkd.in/gcaEFYje

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In a recent Top of the Morning podcast, Paul H., Daniel Cassidy, and I discussed our recent report assessing the likelihood of a "Roaring '20s" scenario for the US economy. We touched on what the scenario looks like, the key drivers for it to happen, how policy is a wildcard that could make the scenario more or less likely, and general investment implications if it were to happen. Listen to the podcast for all the details. #shareubs https://lnkd.in/eTrGnzCv

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⭕ Harnessing the Power of Ichigo Ichie (一期一会) In this year’s President’s Letter, I reflect on the markets, the balance between long-term resilience and short-term adaptability, and our excitement about the opportunities ahead. 📊 Link to full letter is below Orbis Investments

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joel guglietta, phd proprietary Labor Market Strength Index—a composite of Non-Farm Payrolls, the Unemployment Rate, the KC Fed Labor Market Conditions Index, and Jobless Claims—has taken a notable downturn in recent weeks. The value of this multi-factor indicator lies in its ability to capture broader trends. And right now, the trend has fallen to recessionary level. Popular indicators are supporting this view: the Sahm rule has been triggered, the three-month average for private payroll gains has also fallen to recessionary levels while DoubleLine CEO Jeff Gundlach unemployment rules have also been triggered, when the unemployment rate surpasses its 36-month moving average, it has historically signaled an impending recession. We increased long position in 2Y U.S. Treasuries. The decision reflects our view that softening labor markets could weigh on growth and, in turn, exert downward pressure on short-term rates. We refrain from turning outright bearish as some of our leading indicators (survey based) are pointing toward a potential US re-acceleration. These survey probably reflect the optimism around Trump policies and will have to be confirmed by real activity in the coming months. #InvestmentStrategy #MacroInsights #LaborMarket #Treasuries #RiskManagement

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"We analyze the [equity] announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days." https://lnkd.in/ec9nRHxN

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Recent survey from NABE shows significant uptick this year in % of respondents saying primary challenge will be trade uncertainty … attracting/retaining quality workforce has declined significantly as a challenge 

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Article "explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis [based] on a U.S. equity investment universe comprising seven long-only indices... and six style factors." https://lnkd.in/ePBwyNUc

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New Whitepaper from Caron's Corner: In this paper we discuss new management techniques required to capture higher returns in a higher inflation regime. A new market regime is upon us catalyzed by rising inflation risks. This presents a challenge to investors seeking to compound returns at target levels with stability because it increases correlation risks. Effectively, it pushes the efficient frontier inwards and reduces risk-adjusted return potential. In this paper, we explain how we counter this adverse impact to returns in this new regime through a new management approach with the goal of achieving stable target returns. https://mgstn.ly/3QNuw0f

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Türkiye’s pivot musings: => Türkiye’s manufacturing PMI dropped to the post-pandemic low in September - yet another sign (alongside positive net reserves, improving external balances, lower gold imports and FX-protected deposits) that the policy U-turn is working as intended. => But is it enough for a monetary policy pivot and a rate cut already this year? A lot will depend on the central bank’s ability to meet its year-end inflation target of 38%. Quick calculations show that for this to happen, monthly CPI should average 1.15% or less in September/December. The September print (on Thursday) will show whether this is feasible.

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