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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (11/21/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/21/2015)

NEW LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot and associated Tables Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) COMPOSITE ETF COMPONENTS: YEAR-TO-DATE LAST 232 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (11/14/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/14/2015)

NEW LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot and associated Tables Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) Composite ETF Components: YEAR-TO-DATE LAST 227 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST OF CAPITAL ESTIMATES vs. CUMULATIVE RETURNS (11/07/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/07/2015)

NEW LAYOUT: Composite ETF Cumulative Returns Momentum Bar plot and associated Tables Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) YEAR-TO-DATE LAST 222 TRADING DAYS 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 LAST 63

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COMPOSITE MACRO ETF IMPLIED COST OF CAPITAL ESTIMATES

Earlier this year I used to publish a bi-weekly article using the "Implied Cost of Capital" model as an ETF relative value estimation tool. Unfortunately State Street began reporting obvious erroneous data points and eventually stopped providing certain fundamental data altogether. As a result I had to suspend publishing of my ICC estimates. Well thanks to YCharts.com and their excellent site I was able to find the requisite data needed to begin publishing my model estimates again. what is th

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/31/2015)

NEW LAYOUT: Going forward I will be testing a new organizational format for the charts. I have created a chart description page which details how each plot type is commonly interpreted (used). I will provide a link to the chart description page in the caption of each chart. The primary change is all the chart types will be grouped by the referenced time period. It is my hope that grouping the data this way will allow for easier analysis. Each time period grouping will display the charts in the

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/25/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/18/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/10/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/04/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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