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
Last 126 trading days
year-to-date last 46 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:
- 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...
