Blog

Composite Macro ETF Cumulative Return Momentum (08.16.2015)

Here are the updated ETF components I'm using to construct the ETF composites. Last 504 Trading Days Composite ETF Cumulative Returns Last 252 Trading Days Composite ETF Cumulative Returns Last 126 Trading Days Composite ETF Cumulative Returns Last 63 Trading Days Composite ETF Cumulative Returns last 21 Trading days Composite ETF Cumulative Returns Last 10 Trading days Composite ETF Cumulative Returns Blog RSS #block-yui_3_17_2_4_1439677863749_22267

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Price Dispersion as a Smart Money Indicator

Before I get into the topic at hand, let me say I have not seen the following stock price data interpreted or studied like I am about to show you. As far as I am aware my approach is unique in that it is not overly complicated, can be generalized across a large cross section of asset class ETFs, and makes intuitive sense regarding market structure. Before I introduce the chart it is important that I clarify some definitions. What is Price Dispersion? I'm sure this may have many meanings amon

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Composite Equity ETF Analysis (8/10/2015)

While I continue to update the ICC Valuation methodology I plan to post more of the custom charts I use to gain insight into current market structure, momentum, and relative value. Updated Composite ETF List Best vs Worst Performing ETF Composite L/252 Days Best vs Worst Performing ETF Composite L/63 Days Best vs Worst Performing ETF Composite L/21 Days BarPlot Cumulative Returns L/4 Weeks Z - Score Average Risk-Adjusted Returns L/21 Days

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Get Free Financial Data w/ Python (Fundamental Ratios-From Finviz.com)

A simple script to scrape fundamental ratios from Finviz.com. This basic code can be tailored to suit your application. The function should produce the following: Very simple adaptable code, allowing you to spend more time analyzing the data and less time aggregating it.

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COMPOSITE SECTOR ETF VALUATION REPORT [7.6.2015]

Check out the updated IPython notebook by following the link. In this update we see the interest rate sensitive sectors like Financials, Real Estate, Utilities may be offering a good tactical buying opportunity.

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European Sovereign Debt Crisis Redux, What's the Playbook?

I wrote this post originally as a guest feature on RectitudeMarket.com. Check out the website for great investment ideas and original analysis. Now that Greece has officially rejected austerity it’s time to examine our 2011 playbook to get some clues as to what might happen. More importantly depending on your timeframe there should be plenty of strategic and tactical strategies for profit due to the increase in volatility. Let’s compare EUR/USD, Treasury yields, EU yield spreads, and other Dev

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How do Bank Stocks Perform During Periods of Rising Rates? (Python Code Version)

This is the Python version of a guest article that originally appeared on RectitudeMarket.com. In this version I include the Python code used to generate the anaylsis. This subject has garnered a healthy debate among market participants in recent weeks. Conventional wisdom says that banks and the financial sector overall should benefit from a rising rate environment. The story goes that bank profitability is inextricably linked to `Net Interest Margin (NIM)`. If rates are rising, it is assumed

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How Volatile Are US Treasury Bond Yields?

The volatility in global bond markets have generated quite the discussion among market participants. So much so that BlackRock has indicated publicly that their old risk models need to be redone. BlackRock was speaking specifically about the European sovereign bond market but in light of the recent volatility in US treasuries I wanted to contextualize what's happening domestically. Especially considering I went out on a limb regarding the relative-value offered by the US long bond I thought thi

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Composite Sector ETF Valuation Report [6.15.2015]

Check out the updated IPython Notebook where I take a look at changes and trends in ETF valuations using the Implied Cost of Capital model. To learn more about the model and the methodology used see here and here. For reference here is a Table of Contents, but due to some technical issues the TOC is not working properly on the nbviewer.org page. I'll keep working to fix it for the next issue.

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COMPOSITE SECTOR ETF VALUATION UPDATED [5.24.2015]

Check out my updated IPython Notebook where I take a look at changes and trends in ETF valuations using the Implied Cost of Capital model. To learn more about the model and the methodology used see here and here. Composite Sector ETF Valuation updated [5.24.2015]

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Composite Sector ETF Valuation updated [5.10.2015]

Check out my updated IPython Notebook where I take a look at changes and trends in ETF valuations using the Implied Cost of Capital model. To learn more about the model and the methodology used see here and here. Composite Sector ETF Valuation updated [5.10.2015]

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The US Treasury Fakeout

Global bond market volatility was at a relative extreme this week. Following the markets you would see headlines like this: The basic premise being that the world is awash in liquidity and as a result of the prices of government bonds, investment grade bonds (IG), and high yield (HY), have been bid so heavily that the yields of these instruments no longer reflect the credit and/or currency risks associated with the issues. Of particular interest to me was the relentless selling in USD based as

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