Investment Report Rosetta
Updated: Feb 5, 2019
There are many reports in the shared Dropbox. Some are reasonably easy to understand, others perhaps not. They are updated weekly. Below are explanations of each and roughly how they can be used to make better investing decisions. These reports are routinely improved, changed, and modified.
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.
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.
Focus_List: This is a list of equities, sorted by their expected return and filtered by quality factors, book value growth, and valuation. Multiple models are used to determine equity valuations and are then ensembled into one valuation. The expected return is determined with a machine learning structure, using multiple factors/features which are trimmed using factor selection techniques. The Focus list is an excellent place to start looking for new investments and begin research. These stocks are generally cheap and exhibit traits which should provide a margin of safety.
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.
GS_Bear_Mkt_Ind: 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.
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.
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.