COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/02/2016)
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:
LAST 252 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:
- T-Bond Yields have positive cumulative returns on all time frames. This appears to be a one way trade given the prior belief and subsequent start of rate tightening by the Federal Reserve.
- As noted last week, Oil + Gas and Precious Metals Miners may be experiencing a bit of a relief rally as traders/investors cash in on their short plays and/or try to time a bottom.
- Examining the Scatter plots over the last 252 days Healthcare is the best risk-adjusted composite and it's not even close.
- Interesting to note the Small Caps composite makes an appearance on the bottom 3 worst performers over the last 21 days.
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