Tag: ICC

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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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 (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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/30/16)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/23/16)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/16/16)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/09/16)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/02/16)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/26/15)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/19/15)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/13/15)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/06/15)

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 IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (11/28/15)

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 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 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 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 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 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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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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Sector ETF Valuation Using the Implied Cost of Capital (ICC) Model

This post is part of a series examining the ICC model's use as a valuation tool. I first introduced the topic in this post, where I outlined the following: * how I calculate the ICC formula for use in this sector ETF relative valuation model * my assumptions for the model * expected model output and sanity check * why and how I use the model results to enhance my investing Recently I expanded on the subject by detailing the Python code I use to run the analysis along with my interpretation

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