COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/06/2016)
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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:
LAST 252 TRADING DAYS
LAST 126 TRADING DAYS
LAST 63 TRADING DAYS
LAST 21 TRADING DAYS
LAST 10 TRADING DAYS
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:
- Market crash risk is rising. What is currently a correction is showing the potential to become much worse.
- T-Bond Yields are the worst performers over the last 21 and 10 day periods. Recall that Bond yields and prices have an inverse relationship, meaning that Treasury Bonds are seeing a strong bid from the market.
- Precious Metal Miners and Precious Metals have been among the top 3 performers for 3 out of 5 time periods starting over the last 126 days. These composites are usually bid up as a form of crash protection when investors fear 1) systematic devaluation of the USD and other major currencies 2) global market crash.
- Utilities being among the top 3 performers across all time periods also support the rising crash risk that markets appear to be pricing in.
