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ETF Consumer Cyclicals

Explore the consumer cyclicals sector, comprising industries such as retail, auto, construction, restaurants, and entertainment. Discover the top holdings in consumer cyclicals ETFs and recent trends in the market.

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ETF Consumer Cyclicals

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  1. ETFConsumer Cyclicals CHUA GUI FENG THUN JIE REN JAREN WONG JIN QIAN DARYL XI ZICHAO YOU ZHIRUN

  2. Consumer Cyclicals • A category of stocks that rely heavily on the business cycle and economic conditions • Include many industries, such as retail, auto, construction, restaurants and entertainment. • Comprised of companies that produce goods and services that people want to buy but are not essential. • This sector tends to underperform most other sectors when the economy is weak, and vice versa. • Top holdings in consumer cyclical ETFs include Targetm Home Depot, Amazon and Walt Disney.

  3. Consumer Cyclicals vs. Non-cyclicals

  4. Brief Descriptions of 7 ETFS

  5. RECENT TRENDS • On March 11th, PGA Group, the French carmaker was buying Opel, the European operation of America’s General Motors (GM). • The White House is expected to announce plans to scrap an agreement with the auto industry that sets fuel-economy standards for the nation’s cars and trucks.

  6. Method of Ranking • Weighted average system based on: • 1) Sharpe Ratio • 2) Information Ratio • 3) Variance Ratio • 4) Fama-French Coefficient

  7. Sharpe Ratio Sharpe ratio is a measure for calculating risk-adjusted return.

  8. Information Ratio

  9. Reasons for low Info Ratio • Tracking Error caused by: • Market capitalization weight adjustments. • Imperfect timing to adjust stocks in the ETF • Transaction costs

  10. Sharpe vs Info

  11. Fama-French model fit • Fama-French model not a good fit in general • Important to look at the significance of individual factors

  12. Fama-French coefficients • Portfolio is predominantly/has correlation with small-cap stocks and growth stocks • SMB and HML betas are not statistically significant

  13. Fama-French beta ranking • High beta stocks provides potentially higher returns due to greater volatility relative to the market • We will favour those with high beta during a bull market Consumer cyclicals is a category of stocks that rely heavily on the business cycle and economic conditions.

  14. Variance Ratio • Variance ratio (q from 2 to 10) is used to test random walk and martingale hypothesis.

  15. OVERALL RANK

  16. Our L/s strategy

  17. Performance evaluation

  18. Thank you!

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