ECONREVIEWS: September 2017

Wednesday, September 13, 2017

IShares ETFs from 1-1-2017 to 9-12-2017

The following chart shows the 2017 performance charts of

"EWJ", #iShares Japan

"EWG", #iShares Germany

"EWU", #iShares UK

"EWC", #iShares Canada

"EWY", #iShares South Korea

"EWA", #iShares Australia

"EWH", #iShares Hong Kong

"EWS", #iShares Singapore

"EWT", #iShares Taiwan

"EWZ", #iShares Brazil

"EFA", #iShares EAFE

"ERUS", #iShares Russia

"EZA", #iShares South Africa

"EPP" #iShares Pacific Ex Japan

Performances of ETFs as of 9-12-207 (from 1-1-2017)

Rank	ETFs	Annualized Returns	Annualized STD	Annualized Sharpe Ratio
1	EWH	46.0%	9.8%	4.6017
2	EWS	37.6%	10.1%	3.6736
3	EFA	30.2%	8.3%	3.5502
4	EWT	42.6%	11.9%	3.5114
5	EPP	32.5%	10.5%	3.0343
6	EWG	35.1%	11.8%	2.9228
7	EWY	43.2%	15.7%	2.7018
8	EWU	22.8%	8.9%	2.4874
9	EWJ	20.5%	8.0%	2.4797
10	EWA	25.2%	13.0%	1.8952
11	EWZ	42.8%	32.1%	1.3088
12	EZA	28.6%	22.1%	1.2609
13	EWC	14.5%	11.5%	1.2091
14	ERUS	-0.7%	19.5%	-0.0595

The following chart shows how annualized returns and risks have been moving during 2017.

Sunday, September 10, 2017

Analyzing iShares ETFs from January 2003

iShares ETFs

"EWJ", #iShares Japan
"EWG", #iShares Germany
"EWU", #iShares UK
"EWC", #iShares Canada
"EWY", #iShares South Korea
"EWA", #iShares Australia
"EWH", #iShares Hong Kong
"EWS", #iShares Singapore
"EWT", #iShares Taiwan
"EWZ", #iShares Brazil
"EFA", #iShares EAFE
"EPP" #iShares Pacific Ex Japan

		EWJ	EWG	EWU	EWC	EWY	EWA	EWH	EWS	EWT	EWZ	EFA	EPP
Annualized	Return	5.9%	10.1%	6.1%	9.4%	10.2%	11.3%	11.5%	11.2%	8.2%	15.0%	7.6%	11.1%
Annualized	Std	21.9%	26.2%	23.5%	22.6%	32.4%	27.9%	25.4%	25.4%	27.7%	37.8%	22.2%	25.3%
Annualized	Sharpe	0.2431	0.3646	0.2375	0.3933	0.2976	0.383	0.431	0.4197	0.2756	0.3807	0.3197	0.4177

Saturday, September 9, 2017

Currencies from January 1995 to September 2017

The following chart shows the performances of currencies from January 1995 to September 2017

The Korean Won has been depreciating at 1.6% annually against dollar.

	Korea	Malaysia	Singapore	Taiwan	China	Japan	Thailand	Brazil	Mexico	India	USDOther	USDBroad
Annualized Return	1.60%	2.30%	-0.30%	0.60%	-1.10%	0.40%	1.20%	6.00%	5.30%	3.20%	2.40%	1.00%
Annualized Std	14.10%	8.50%	5.90%	5.40%	1.70%	11.10%	10.40%	16.00%	13.20%	7.00%	4.30%	4.80%

The following chart shows the diagram of correlation matrix among currencies.

Thursday, September 7, 2017

SPDR Sector ETFs Analysis

There are eight SPDR sector ETFs :

"XLB", #SPDR Materials sector
"XLE", #SPDR Energy sector
"XLF", #SPDR Financial sector
"XLP", #SPDR Consumer staples sector
"XLI", #SPDR Industrial sector
"XLU", #SPDR Utilities sector
"XLV", #SPDR Healthcare sector
"XLK", #SPDR Tech sector
"XLY", #SPDR Consumer discretionary sector

the following chart shows the performances of SPDR sector ETFs from January 2003 and: XLU (Utilities sector) and XLK (Tech sector) have the highest cumulative returns.

Consumer staples sector (XLP) seems to be the best investment. (Annualized return:9.65% with Sharpe ratio is 0.7015)

	XLB	XLE	XLF	XLP	XLI	XLU	XLV	XLK	XLY
Annualized Return	0.0942	0.0935	0.0598	0.0965	0.104	0.1117	0.0948	0.1095	0.1089
Annualized Std Dev	0.2352	0.2767	0.3182	0.1298	0.2009	0.1724	0.1604	0.2	0.2048
Annualized Sharpe (Rf=0.5%)	0.3772	0.3181	0.1712	0.7015	0.4905	0.6158	0.5567	0.5197	0.5045

Correlation Matrix Chart

"XLB", #SPDR Materials sector
"XLE", #SPDR Energy sector
"XLF", #SPDR Financial sector
"XLP", #SPDR Consumer staples sector
"XLI", #SPDR Industrial sector

Tree Chart

"XLB", #SPDR Materials sector
"XLE", #SPDR Energy sector
"XLF", #SPDR Financial sector
"XLP", #SPDR Consumer staples sector
"XLI", #SPDR Industrial sector
"XLU", #SPDR Utilities sector
"XLV", #SPDR Healthcare sector
"XLK", #SPDR Tech sector
"XLY", #SPDR Consumer discretionary sector

XLF (Finance sector) is connected to XLU (Utilities sector) and XLE (Energy sector)

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