Tag: relative value

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

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE 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. Blackarbs ETF Internal Analytics Sample for SPY I distilled all the questions I had into two: 1. Does the percentage of ETF component stocks

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (3/29/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smirk is predictive of equity returns up to 4 weeks. Therefore, each week, I will calculate the Long/Short legs of a portfolio constructed by f

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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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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (3/05/16)

#block-yui_3_17_2_2_1457211500463_15952 .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 To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smir

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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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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (2/27/16)

#block-yui_3_17_2_1_1456604859059_182762 .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 To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smi

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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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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (2/20/16)

#block-yui_3_17_2_3_1456020426677_22579 .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 To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smir

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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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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (2/13/16)

#block-yui_3_17_2_4_1455397888451_24737 .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 To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smir

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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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 ANALYTICS (12/06/2015)

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 242 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart Clic

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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 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 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 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 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 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 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 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 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 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 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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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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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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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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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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How I use Implied Cost of Capital (ICC) as a market valuation tool

What is Implied Cost of Capital? I love the intuition behind the model although I don't use it as proxy for expected returns. I use it as a relative value measure to identify analyst/institutional sentiment between different market sectors at a point in time. The actual calculation of the measure can be somewhat complex and involved. The below equation is the common form of the ICC model. As an active trader my primary concern is practical application and implementation so I simplified an

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