COMPOSITE MACRO ETF WEEKLY ANALYTICS (5/14/2016)

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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

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Implied Cost of Capital Estimates:

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

The healthcare composite has been a bottom 3 performer across all time frames.
The Oil+Gas composite has been strong recently as a top 3 performer L/63, L/21, and L/10 days.
The Large Cap composite is essentially unchanged over the L/252 and L/126 days.
PMM has continued to outperform. The long gold and gold producers trade has been the trade of the year.
PMM is up 60% (log returns) over L/126 days!
An anecdotal observation: When every composite is all positive(negative) returns over the L/63 days or less, there has been a tendency for the markets to mean revert. Notice the return range compression for both best/worst performers over L/10 days. Seems like there is either a lack of catalysts or indecision among market participants.