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Investment Reports

* Reports updated every Saturday

ASSET CLASS RETURNS

Plot of asset class returns, represented by ETF's, through time.

CRYPTO CURRENCY REPORT

Shows a market cap plot of the major crypto currencies. The second page shows weekly changes in percent changes and market cap. The third are simply time-series plots.

ECONOMIC INDICATORS

A variety of economic indicators, downloaded form the St Louis Fed research site, meant to reflect the health of the economy.

EQUITY RISK PREMIUM

A time series plot of the equity risk premium and it's components. This is a simplified calculation but does a good job representing the relative valuation differences in risk premium between stocks and bonds.

FOMC REPORT

Time series plot of the Fed Funds rate with the Taylor Model. These plots give a reasonable idea of where the Fed presumes the Fed Funds rate should be; clearly the Fed's expectations, as represented by the Taylor Models has changed through time.

FUTURES COMPLEX

Time Series plot of selected liquid futures complexes.

GS BEAR MARKET INDICATOR

This is a close approximation of the Goldman Sachs Bear Market Indicator. It is derived from data from the FRED website. Higher numbers indicate a higher probability for a recession in the future.

INDUSTRY VALUATION DISTRIBUTION

Bar plots of the valuations of every industry. Gives a general idea of valuations by sectors and industries.

FACTOR DISTRIBUTION

Bar plots, by sector, of selected important market factors.

MARKET VALUATION INDICES

Overall market valuation indices. The first is Tobin's Ratio of replacement value. The second is the ratio of GNP to Market valuation; this index is preferred by Buffett. A value of 1 means the market is valued fairly; Above 1 is over-valued.

MARKET WORD CLOUD

A fun word cloud derived from the top market news stories; the larger the word, the more often used. The palette is more red if the overall market sentiment, represented by these news stories, is negative.

NAVIGATOR MODEL ALLOCATIONS

The Navigator Model is an optimized (constrained Kelly) portfolio that uses forward expected returns, based on valuation factors, to allocate broad asset classes (Equities, Fixed Income, Cash).  It should be used as a guide, based on risk tolerance and goals, to allocate a portfolio quarterly.

SECTOR ETFS

Time series plots of selected ETF's. Included on each plot are two medium term momentum indicators: an exponentially weighted moving average cross-over (VWS) and a FIP indicator. The third indicator, VWR, is an inverted long-term EWMA, which shows the distance to long-term trend value.

SECTOR RATES

Time series plots of selected fixed income rates and ratios. Useful for understanding relative value between fixed income asset classes.

SECTOR VIXS

Time series plots of different VIX indices.  These plots give a relative idea of hedging costs in each associated asset class.

SP500 CHANGE REPORT

All the changes to the S&P 500 index. It's not a static index and it is interesting to see which companies move in and out of it and why.

SP500 UPCOMING EARNINGS

A list of all the earnings dates, sorted.

SP500 VIX QUANTILE BOUNDS

The VIX Index with quantile bounds plotted on it and events.

VIX FUTURES TERM STRUCTURE

A plot of the VIX futures term structure and how it has developed through time.