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

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FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE

LAYOUT (Organized by Time Period): 
  1. Composite ETF Cumulative Returns Momentum Bar plot
  2. Composite ETF Cumulative Returns Line plot (best vs worst vs benchmark)
  3. Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean)
  4. Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot)
  5. Implied Cost of Capital Estimates
  6. Composite ETF Cumulative Return Tables
  7. Notable Trends and Observations

COMPOSITE ETF COMPONENTS:

LAST 252 TRADING DAYS

LAST 126 TRADING DAYS

LAST 63 TRADING DAYS

LAST 21 TRADING DAYS

LAST 10 TRADING DAYS

Implied Cost of Capital Estimates:

To learn more about the Implied Cost of Capital see here.

ALL ETF ICC ESTIMATES BY CATEGORY

CATEGORY AVERAGE ICC ESTIMATES

CUMULATIVE RETURN TABLES:

NOTABLE OBSERVATIONS AND TRENDS:

  • The healthcare composite has been a bottom 3 performer across all time frames. 
  • The Oil+Gas composite has been strong recently as a top 3 performer L/63, L/21, and L/10 days.
  • The Large Cap composite is essentially unchanged over the L/252 and L/126 days.
  • PMM has continued to outperform. The long gold and gold producers trade has been the trade of the year.
  • PMM is up 60% (log returns) over L/126 days!
  • An anecdotal observation: When every composite is all positive(negative) returns over the L/63 days or less, there has been a tendency for the markets to mean revert. Notice the return range compression for both best/worst performers over L/10 days. Seems like there is either a lack of catalysts or indecision among market participants.