COMPOSITE MACRO ETF WEEKLY ANALYTICS (3/05/2016)

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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)

Implied Cost of Capital Estimates

Composite ETF Cumulative Return Tables

Notable Trends and Observations

COMPOSITE ETF COMPONENTS:

Notable Trends and Observations

LAST 252 TRADING DAYS

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Last 126 trading days

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year-to-date last 46 trading days

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Last 21 trading days

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last 10 trading days

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Implied Cost of Capital Estimates:

To learn more about the Implied Cost of Capital see here.

CATEGORY AVERAGE ICC ESTIMATES

ALL ETF ICC ESTIMATES BY CATEGORY

Cumulative Return Tables:

Notable Observations and Trends:

• Precious Metals Miners (PMM) continue to dominate all other composites appearing as the number one outperformer several weeks in a row across multiple timeframes. This week the PMM composite is number one across the last 126 days through the last 10 days.
• Healthcare has continued to underperform this year and while it had positive returns over the last 10 days it was still a bottom 3 performer.
• The markets were "Risk-on" with with T-Bonds underperforming for the last 21 days while even the Oil and Gas composite rallied towards the end of the week and finally disappeared off the worst 3 performers list last 10 days.
• Are these bullish signs that risky assets will continue to gain, or is the market simply in a cyclical mean reversion regime where we should expect buying to be met by selling and selling to be met with more buying? The answer remains to be seen...

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