COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/30/2016)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE

LAYOUT (Organized by Time Period):

Composite ETF Cumulative Returns Momentum Bar plot

Composite ETF Cumulative Returns Line plot (best vs worst vs benchmark)

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

CLICK HERE FOR HELP UNDERSTANDING THIS CHART

CLICK HERE FOR HELP UNDERSTANDING THIS CHART

CLICK HERE FOR HELP UNDERSTANDING THIS CHART

CLICK HERE FOR HELP UNDERSTANDING THIS CHART

CLICK HERE FOR HELP UNDERSTANDING THIS CHART

Implied Cost of Capital Estimates:

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

The explosive performance of the Precious Metals Miners (PMM) and Precious Metals (PM) composites this year makes me consider that market participants are expecting "unexpected" inflation.
The "unexpected" inflation theory is supported by the outperformance of the Oil/Gas and Energy composites over the L/63, L/21, and L/10 trading days.
Composite performance over the L/63 trading days is intriguing. It is the only time frame in which none of the composites had negative performance.
I still find it somewhat surprising that the Correlation Clustermap (Dendrogram) shows that T-Bonds, PMM, PM are closely correlated with each other offering diversification vs the other composites from the L/126 days onwards.