COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/30/2016)

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LAYOUT (Organized by Time Period): 
  1. Composite ETF Cumulative Returns Momentum Bar plot
  2. Composite ETF Cumulative Returns Line plot (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 explosive performance of the Precious Metals Miners (PMM) and Precious Metals (PM) composites this year makes me consider that market participants are expecting "unexpected" inflation.
  • The "unexpected" inflation theory is supported by the outperformance of the Oil/Gas and Energy composites over the L/63, L/21, and L/10 trading days.
  • Composite performance over the L/63 trading days is intriguing. It is the only time frame in which none of the composites had negative performance.
  • I still find it somewhat surprising that the Correlation Clustermap (Dendrogram) shows that T-Bonds, PMM, PM are closely correlated with each other offering diversification vs the other composites from the L/126 days onwards.