US Business Cycle Risk Report | 16 August 2017 [0.03]

Posted on Aug. 16, 2017, 11:23 a.m. by The Capital Spectator @ [source]

The US economy continued to exhibit a moderate growth bias through July. The eight-year-old US expansion, in short, still looks resilient at the moment.

data ETI forecast growth indicator model projection Q3 recession values


The projected risk premium for the Global Market Index (GMI) edged higher again in July. The projected premium for each asset class is calculated as the product of the three inputs above.

asset allocation current estimate forecast gmi market premia premium term year


US Growth Rebounds In The Second Quarter [0.01]

Posted on July 28, 2017, 1:49 p.m. by The Capital Spectator @ [source]

Economic activity revived in the second quarter, according to this morning’s “advance” GDP report published by the Bureau of Economic Analysis.

Overall, the resurgence in headline economic growth in Q2 — the strongest quarterly increase since 2016’s Q3 — confirms that 1) recession risk remains low for the immediate future and 2) a moderate pace of growth for Q3 is a reasonable forecast at the moment.

contribution economic forecast gdp growth increased PCE Q1 Q2 quarter


How to Improve Shiller's CAPE Ratio [0.14]

Posted on July 19, 2017, 11:48 a.m. by blog @ [source]

The accuracy of U.S. stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio has deteriorated since 1985. However, the out-of-sample forecast accuracy of stock forecasts produced by CAPE ratios has become increasingly poor.

bond yields CAPE cape ratio forecast long run model regressions stock stock returns year ahead


Estimates for next week’s “advance” report on GDP growth for the second quarter continue to point to a rebound after Q1’s sluggish pace, but the outlook has been revised down in recent weeks. That’s an encouraging improvement over the 1.4% rise in Q1, but the Journal’s current projection has fallen from previous Q2 estimates.

data estimate Fink forecast gdp growth Q1 Q2 report rise




aggregate analyst coverage effects firm forecast industry report sell side side analyst


Is Equity Premium Predictable? [0.11]

Posted on July 15, 2017, 5:01 a.m. by blog @ [source]

Is Equity Premium Predictable?

We study the performance of a comprehensive set of equity premium forecasting strategies that have been shown to outperform the historical mean out-of-sample when tested in isolation.

bias data snooping economic equity premium forecast forecasting strategies model of sample out of performance


All actions in the markets based on any method, technical or fundamental, amount to forecasts. In all these cases, any actions to establish new positions, exit any open positions or increase/decrease risk exposure amount to making a forecast about future market direction.

actions analysis forecast fundamental management market naive position technical trading


The expected risk premium for the Global Market Index (GMI) continued to rise in June. The basic idea is to reverse engineer expected return based on assumptions about risk.

asset allocation current estimate forecast gmi market performance premia premium term


What are the research questions?

With co-author Elisabetta Basilico, PhD, CFA she is writing an upcoming book on research backed investing.

announcement returns consensus crowdsourced earnings eps Estimize forecast future surprise YES


UK Prime Minister Theresa May’s gamble to call an early general election has backfired, dealing Britain an unexpected outcome that’s dealt another blow to the so-called experts who anticipated that the Conservatives would gain seats in Parliament. Instead, the electorate confounded the polls and forecasting models and delivered a major setback to May’s government.

beta capm forecast forecasting higher market prediction predicts stock wrong


The projected risk premium for the Global Market Index (GMI) ticked higher in May. The projected premium for each asset class is calculated as the product of the three inputs above.

asset allocation current estimate forecast gmi market performance premia premium term


President Donald Trump’s budget is premised on the projection that the United States will be able to raise its long-run economic growth rate to 3 percent a year. This rate allows the budget to assume large tax cuts and still project a balanced budget after ten years.

administration annual budget CBO equal forecast growth potential productivity rate


Guru Re-grades [0.14]

Posted on May 18, 2017, 10 a.m. by CXO Advisory @ [source]

What happens to the rankings of Guru Grades after weighting each forecast by forecast horizon and specificity? In their March 2017 paper entitled “Evaluation and Ranking of Market Forecasters”, David Bailey, Jonathan Borwein, Amir Salehipour and Marcos Lopez de Prado re-evaluate and re-rank market forecasters covered in Guru Grades after weighting each forecast by these two parameters.

accuracies forecast forecasters Grades Guru market paper Ranking re study


Judging by futures prices, the market’s expecting that the Federal Reserve will raise interest rates again at next month’s monetary policy meeting. But the Treasury market’s softer inflation forecasts still leave room for debate about what comes next.

forecast growth implied inflation instance post Q1 strong year yield


Laura Furgione, the NWS’s former deputy director, discusses where the customer fits in with the agency’s mission of protecting lives and property.

Laura Furgione began her career with the National Weather Service (NWS) as a summer intern in Hawaii in 1992.

forecast major needed NWS organization partner public safety science year


US Q2 GDP Growth Expected To Rebound [0.07]

Posted on May 9, 2017, 10:50 a.m. by The Capital Spectator @ [source]

Tepid economic growth in the first quarter is on track to revive in Q2, according to estimates from several sources.

Among the more bullish estimates at the moment is the Atlanta Fed’s GDPNow model, which is projecting a dramatic acceleration in growth to 4.2% for Q2 (as of May 4) — far above the stall-speed gain of just 0.7% reported by the Bureau of Economic Analysis for Q1.

April calls crowd factor forecast growth instance Q2 sales update


Research Review | 5 May 2017 | Forecasting [0.06]

Posted on May 5, 2017, 10:43 a.m. by The Capital Spectator @ [source]

The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. A model selection algorithm is applied to the inflation expectations of households and professionals using a large panel of macroeconomic data.

bond corporate data election expectations forecast forecasting model prediction spread


We use the ensemble feature generation of DLPL PRO with weekly data of Dow-30 stocks to forecast weekly returns. The strategy based on the ensemble features has less drawdown but the same MAR ratio as buy and hold.

avgPL describe DLPAL drawdown ensemble features forecast Mar ratio strategy


US Job Growth Slows Sharply As Jobless Rate Falls [0.09]

Posted on April 7, 2017, 1:30 p.m. by HOME @ [source]

Washington (Reuters) – U.S. employers added the fewest number of workers in 10 months in March, but a drop in the unemployment rate to a near 10-year low of 4.5% pointed to a labor market that continues to tighten.

Nonfarm payrolls increased by 98,000 jobs last month as the retail sector shed employment for a second-straight month, the Labor Department said on Friday, the fewest since last May.

economists forecast increasing labor payrolls polled rate Reuters unchanged Unemployment