COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/30/2016)
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:
- Last 10 days provides strong evidence of a relief rally as all but 2 composites showed positive cumulative gains. Further evidence is the leadership group comprised of Energy, Precious Metals Miners, and Emerging/Frontier which had been heavily oversold on a long and medium term basis.
- Additionally over the Last 10 days one of the worst 3 performers (Bonds) had positive performance.
- Telecom has emerged as a composite to watch being one of the top 3 performers over the last 252 days. Perhaps it is the new safe haven asset class as it has been a top 5 performer on all time frames under study.
- Telecom has also been a strong performer on a risk-adjusted basis seemingly hugging the belly of the efficient frontier, near or above zero, across all time frames.
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