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

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LAYOUT (Organized by Time Period): 

  1. Composite ETF Cumulative Returns Momentum Bar plot

  2. Composite ETF Cumulative Returns Line plot

  3. Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean)

  4. Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot)

  5. Composite ETF Cumulative Return Tables

  6. Notable Trends and Observations

COMPOSITE ETF COMPONENTS:

LAST 252 TRADING DAYS

LAST 126 TRADING DAYS

LAST 63 TRADING DAYS

YTD LAST 16 TRADING DAYS

LAST 10 TRADING DAYS

Cumulative Return Tables:

Notable Observations and Trends:

  • Of the top 3 performers in each time frame at least one composite had negative performance.
  • Precious Metals Minors losing ~13% over the last 10 days is indicative of a near term bottom as Miners and Precious Metals had been showing relative strength during the recent selloff.
  • Precious Metals have been the only composite providing negatively correlated returns (diversification).
  • The Oil + Gas composite has been a bottom 3 performer across all time frames and has been the most consistent short across the last 252 trading days.