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

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

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

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

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. 
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Exploring the Relationship Between SPY and TLT

Exploring the Relationship Between SPY and TLT

In this post I examine the relationship between the SPY and TLT ETFs. This can be considered Part 2.5 of my series exploring the 2-Asset Leveraged ETF portfolio of UPRO and TMF. Thus far I've posted results of the strategy using two implementations: "Inverse Risk-Parity" and "Risk-Parity". I've also covered some key concepts behind investing in leveraged ETFs including convexity, and beta-slippage/decay. Now we can explore the strengths and weaknesses of the strategy.

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/17/2016)

COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/17/2016)

NOTABLE OBSERVATIONS AND TRENDS:

  • The Precious Metals Miners composite (PMM) has been a top 3 performer in all timeframes. More research is needed to determine the catalyst if any exists. However the strength of the PMM composite performance indicates there is some long-term conviction behind the buying.
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