COMPOSITE MACRO ETF WEEKLY ANALYTICS (5/08/2016)

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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:

  • None this week.