Tag: correlation

A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 3)

Recap This is an update to the original blog series that explored a simple strategy of being long UPRO and TMF in equal weight, inverse volatility and inverse-inverse volatility. This strategy crushed the cumulative and risk-adjusted returns of the benchmark SPY etf. However through our research we determined that this strategy is heavily dependent on the correlation between the two assets. This strategy works best when correlations are positive and prices are trending positively, however, theo

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (5/14/2016)

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 (best vs worst vs benchmark) 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 an

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (5/08/2016)

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 (best vs worst vs benchmark) 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 an

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/30/2016)

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 (best vs worst vs benchmark) 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 an

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Exploring the Relationship Between SPY and TLT

In this post I examine the relationship between the SPY and TLT ETFs. This can be considered Part 2.5 of my series exploring the 2-Asset Leveraged ETF portfolio of UPRO and TMF. Thus far I've posted results of the strategy using two implementations: "Inverse Risk-Parity" and "Risk-Parity". I've also covered some key concepts behind investing in leveraged ETFs including convexity, and beta-slippage/decay. Now we can explore the strengths and weaknesses of the strategy. The strategy works because

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/17/2016)

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 (best vs worst vs benchmark) 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 an

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/09/2016)

Blog RSS 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 Observati

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/02/2016)

Blog RSS 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 Observat

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

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 COMP

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

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 COMP

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

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 COMP

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/20/2016)

#block-yui_3_17_2_2_1456020426677_173171 .social-icons-style-border .sqs-svg-icon--wrapper { box-shadow: 0 0 0 2px inset; border: none; } 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

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/13/2016)

#block-yui_3_17_2_4_1455394346404_17847 .social-icons-style-border .sqs-svg-icon--wrapper { box-shadow: 0 0 0 2px inset; border: none; } 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

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/06/2016)

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 COMP

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/30/2016)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/23/2016)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/16/2016)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/09/2016)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/02/2016)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/26/2015)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/19/2015)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/13/2015)

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) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: YEAR-TO-DATE LAST 247 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Char

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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 (10/18/2015)

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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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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Guest Post Previously Featured on RectitudeMarket.com (09/02/2015)

**Note: This post already appeared as a guest post on rectitudemarket.com. The reason I'm posting this article when it is 'outdated', is twofold. 1) I think it's beneficial to review previous works especially when one has the benefit of hindsight. This helps us determine the accuracy and bias of the research presented. 2) I further introduce the concept of conditional cumulative returns, which adds insight to what happens to our securities' returns given some other event occurring. In this case,

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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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