Tag: bonds

COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/28/2015)

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 237 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 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 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 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 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 (10/10/2015)

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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COMPOSITE MACRO ETF WEEKLY ANALYTICS (9/28/2015)

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 (9/20/2015)

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 (9/14/2015)

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 (8/30/2015)

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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Was David Woo Right; Was the Selloff Exacerbated by Risk Parity Strategies?

Today after the close Bloomberg TV had David Woo, Managing Director and Head of Global Rates and Currencies Research at Bank of America/Merrill Lynch, on to provide some insight regarding recent market action. More specifically, he addressed how Chinese and American markets are linked. He dropped a lot of gems during his segment but one point really struck a chord with me. He said that the recent selloff has likely been exacerbated by "Risk Parity Guys". If you're unfamiliar with 'risk parity'

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COMPOSITE MACRO ETF CUMULATIVE RETURN MOMENTUM (08.23.2015)

Here is the updated list of composite ETF components. LAST 1260 TRADING DAYS (5 YEARS) Source: Yahoo Finance LAST 504 TRADING DAYS (2 YEARS) Source: Yahoo Finance LAST 252 TRADING DAYS (1 YEAR) Source: Yahoo Finance LAST 126 TRADING DAYS (6 MONTHS) Source: Yahoo Finance LAST 63 TRADING DAYS (3 MONTHS) Source: Yahoo Finance LAST 21 TRADING DAYS (1 MONTH) Source: Yahoo Finance LAST 10 TRADING DAYS Source: Yahoo Finance Blog RSS #block-yui_3_17_2_2_1440420671029_16964 .social-i

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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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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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