COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/13/2015)

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:

YEAR-TO-DATE LAST 247 TRADING DAYS

LAST 126 TRADING DAYS

LAST 63 TRADING DAYS

LAST 21 TRADING DAYS

LAST 10 TRADING DAYS

Cumulative Return Tables:

Notable Observations and Trends:

  • Energy has been a bottom 3 performer in 4 out of 5 time frames.
  • Oil and Gas has been a bottom 3 performer in all 5 time frames.
  • Real Estate, and Bonds are the only two composites to be among the top 3 performers in 3 different time frames.
  • Technology and Consumer Staples are the only composites to be among top 3 performers in 2 different time frames.
  • Precious Metals Miners are the only composite to appear among the worst 3 performers (YTD, L/ 126 days) and best 3 performers (L/ 10 days). Is this a sign of a trend change or simply catastrophe insurance given the recent sell-off in the market?
  • Utilities have had positive risk-adjusted returns in 3 different time frames (Last 126, 63, 21 days). 
  • Only Precious Metals Miners have had positive risk adjusted returns over the last 10 trading days.