COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/13/2015)
LAYOUT (Organized by Time Period):
Composite ETF Cumulative Returns Momentum Bar plot
Composite ETF Cumulative Returns Line plot
Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean)
Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot)
Composite ETF Cumulative Return Tables
Notable Trends and Observations
COMPOSITE ETF COMPONENTS:
YEAR-TO-DATE LAST 247 TRADING DAYS
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LAST 126 TRADING DAYS
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LAST 63 TRADING DAYS
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LAST 21 TRADING DAYS
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LAST 10 TRADING DAYS
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Cumulative Return Tables:
Notable Observations and Trends:
- Energy has been a bottom 3 performer in 4 out of 5 time frames.
- Oil and Gas has been a bottom 3 performer in all 5 time frames.
- Real Estate, and Bonds are the only two composites to be among the top 3 performers in 3 different time frames.
- Technology and Consumer Staples are the only composites to be among top 3 performers in 2 different time frames.
- Precious Metals Miners are the only composite to appear among the worst 3 performers (YTD, L/ 126 days) and best 3 performers (L/ 10 days). Is this a sign of a trend change or simply catastrophe insurance given the recent sell-off in the market?
- Utilities have had positive risk-adjusted returns in 3 different time frames (Last 126, 63, 21 days).
- Only Precious Metals Miners have had positive risk adjusted returns over the last 10 trading days.
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