April 02, 2016

2016)

April 02, 2016/ Brian Christopher

Notable Observations and Trends:

The Precious Metals Miners composite has exploded over the last 126 and 66 days gaining ~+33, ~+37% respectively. That nearly doubles the next best performer for L/126 days and is just over 2.5x the second best performer over L/66 days.
Precious Metals + Miners finally took a breath over the last 21 days as they lost ~ -3% and ~-2% respectively.
Healthcare looks interesting again. It has been the third worst performer L/252 days losing investors almost -20%. Looking at the Best/Worst line plot L/66 days, Healthcare returns appear to have formed a base. Performance is positive since mid February 2016. Healthcare was the top performer L/10 days gaining ~+5%.
Telecom has notable potential tailwinds. On a momentum basis the Telecom composite has been a top 3 performer for the L/252, L/126, L/10 days. On a fundamental basis, the ICC's of IXP and VOX are both >7% putting them in the upper half of investor's expected returns, compared to all ETFs.

March 30, 2016

Using ETF Internal Analytics to Identify Mean Reversion Opportunities (python)

March 30, 2016/ Brian Christopher

Since I started producing the following graphic for the ETF Internal Analytics product, I found the weekly return bin information compelling. I became curious about whether there was an opportunity to be exploited in the distribution patterns. I distilled all the questions I had into two:

Does the percentage of ETF component stocks at various return levels provide actionable information?
Can a long-short market-neutral strategy be constructed by analyzing the relative return dispersion of each ETF's stock components?

To answer these questions I used a combination of tools/data sources including State Street's SPDR Holdings data, the Yahoo Finance API, and Python.

March 19, 2016

COMPOSITE MACRO ETF WEEKLY ANALYTICS (3/19/2016)

March 19, 2016/ Brian Christopher

Notable Observations and Trends:

Last 252 days the only Composites with positive returns are the "defensive" sectors: Utilities, Consumer Staples, Telecom, Precious Metals, and Treasuries
Last 252 days all Composites have negative rolling risk adjusted returns as shown in the Scatterplot.
There are still concerns that Energy and Oil + Gas showing strong performance over the last 10 and 21 days is simply short covering and momentum traders. Fundamentally that question will be answered by tracking Oil inventories vs production.
Are the AsiaPacific and Emerging/Frontier composites finally being repriced to the upside or are we simply in a "risk-on" environment where high beta is being purchased indiscriminately? This is something to pay attention to as the Implied Cost of Capital estimates show these two composites have the highest implied returns (most undervalued) over the next year.

March 05, 2016

COMPOSITE MACRO ETF WEEKLY ANALYTICS (3/05/2016)

March 05, 2016/ Brian Christopher

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE

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

Click here for help understanding this chart

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...

February 27, 2016

COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/27/2016)

February 27, 2016/ Brian Christopher

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE

LAYOUT (Organized by Time Period):

Notable Trends and Observations
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

COMPOSITE ETF COMPONENTS:

Notable Observations and Trends:

Cumulative returns across a broad spectrum of composites remain weak evidenced by only Utilities and Treasuries showing gains over the last 252 days.
Mid January appears to be a major turning point/trend change for the Precious Metals Miners composite. Looking at the last 126 days Best/Worst plot shows a sharp V bounce which has continued since.
Investors positioning still looks defensive over the longer frames of 252, 126, 63 days as evidenced by the outperformance of the Precious Metals complex, Utilities, and Treasuries.
The market overall still looks binary (risk-on/risk-off) as evidenced by the increase in inverse correlations across timeframes between risk assets (sectors, global, emerging equity) and defensive assets (precious metals, bonds, utilities, telecom) .