COMPOSITE MACRO ETF WEEKLY ANALYTICS (3/19/2016)
/Notable Observations and Trends:
- Last 252 days the only Composites with positive returns are the "defensive" sectors: Utilities, Consumer Staples, Telecom, Precious Metals, and Treasuries
- Last 252 days all Composites have negative rolling risk adjusted returns as shown in the Scatterplot.
- There are still concerns that Energy and Oil + Gas showing strong performance over the last 10 and 21 days is simply short covering and momentum traders. Fundamentally that question will be answered by tracking Oil inventories vs production.
- Are the AsiaPacific and Emerging/Frontier composites finally being repriced to the upside or are we simply in a "risk-on" environment where high beta is being purchased indiscriminately? This is something to pay attention to as the Implied Cost of Capital estimates show these two composites have the highest implied returns (most undervalued) over the next year.