« Don Coxe webcast on oil and political risk, Mon, May 8, 2006, 2:06 PM | Main | Interesting article on SanDisk, Mon, May 8, 2006, 3:28 PM »
May 8, 2006
Cara sensitivity analysis for the Ten ETF's, Mon, May 8, 2006, 3:13 PM
With the help of Edward from RiskFile Analytics, I prepared a sensitivity analysis for the Cara 10 sector EFTs as shown below.
The monetary factors are the short-term interest rate (IRX), mid-tem interest rate (TNX), and money supply (M2).
Commodity drivers are the Crude Light price and U.S. CPI inflation rate.
The forex driver is the exchange rate of US dollar vs euro dollar. Forex appears to be not a very important factor for these ETF's. Even re IYZ, where Forex has the biggest impact, the biggest drivers are monetary and economic, not the USD.
Economic drivers are jobless and risk premium. The RF model uses DJIA and NASDAQ as attribution factors, but have been omitted at my request.
Posted by Posted by Bill Cara on May 8, 2006 03:13:39 PM | Category: ETF