Monthly Recap: The Perfect Investor

world.2014-12-31.2015-01-30

Equities

Major
DAX(DEU) +9.06%
CAC(FRA) +7.76%
UKX(GBR) +2.79%
NKY(JPN) +1.28%
SPX(USA) -3.90%
MINTs
JCI(IDN) +1.19%
INMEX(MEX) -6.09%
NGSEINDX(NGA) -14.70%
XU030(TUR) +3.79%
BRICS
IBOV(BRA) -6.20%
SHCOMP(CHN) -0.75%
NIFTY(IND) +6.35%
INDEXCF(RUS) +17.98%
TOP40(ZAF) +2.60%

Commodities

Energy
Heating Oil -9.59%
Brent Crude Oil -6.64%
Ethanol -15.22%
WTI Crude Oil -9.49%
Natural Gas -9.44%
RBOB Gasoline +2.30%
Metals
Copper -10.92%
Gold 100oz +7.99%
Platinum +2.27%
Palladium -3.38%
Silver 5000oz +9.55%

Currencies

USDEUR:+7.28% USDJPY:-1.96%

MINTs
USDIDR(IDN) +2.29%
USDMXN(MEX) +1.54%
USDNGN(NGA) +2.25%
USDTRY(TUR) +4.55%
BRICS
USDBRL(BRA) +0.94%
USDCNY(CHN) +0.73%
USDINR(IND) -1.86%
USDRUB(RUS) +19.40%
USDZAR(ZAF) +0.79%
Agricultural
Cocoa -3.55%
Coffee (Robusta) +1.53%
Lumber -2.74%
Soybean Meal -9.07%
White Sugar -2.07%
Soybeans -5.88%
Coffee (Arabica) -4.31%
Corn -7.56%
Feeder Cattle -6.25%
Wheat -14.73%
Cattle -6.55%
Cotton -2.45%
Lean Hogs -17.35%
Orange Juice +0.07%
Sugar #11 +1.44%

Credit Indices

Index Change
Markit CDX EM -2.75%
Markit CDX NA HY -0.52%
Markit CDX NA IG +2.54%
Markit iTraxx Asia ex-Japan IG +5.51%
Markit iTraxx Australia +2.89%
Markit iTraxx Europe -7.13%
Markit iTraxx Europe Crossover -36.06%
Markit iTraxx Japan -2.64%
Markit iTraxx SovX Western Europe -2.88%
Markit LCDX (Loan CDS) +0.24%
Markit MCDX (Municipal CDS) +3.87%
We certainly started the party with a bang: Euro QE, Swiss abandon, Rajan rate-cut… Oh my!

Index Returns

index performance.2014-12-31.2015-01-30

Sector Performance

sector performance.2014-12-31.2015-01-30

Advance Decline

advance.decline.line2.2014-12-31.2015-01-30

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -3.90% 68/66
2 +2.62% 79/54
3 +0.33% 73/60
4 +2.82% 81/52
5 +4.56% 72/61
6 +3.52% 81/52
7 +7.85% 77/56
8 +5.76% 76/57
9 +5.68% 69/64
10 (mega) +8.38% 69/65
Large caps did good. Midcaps not so much.

Top Winners and Losers

HINDUNILVR +22.69%
DLF +23.65%
ADANIENT +28.99%
M&MFIN -22.56%
PETRONET -13.76%
PNB -13.44%
DLF – looks like the market likes the EMI scheme. M&MFIN and PNB got shellacked because of poor shows at earnings parade. The Adanis continued to entertain…

ETF Performance

INFRABEES +7.79%
NIFTYBEES +6.68%
BANKBEES +5.84%
JUNIORBEES +5.46%
GOLDBEES +4.65%
CPSEETF -0.12%
PSUBNKBEES -3.71%
Had gold found a bottom?

Yield Curve

yield Curve.2014-12-31.2015-01-30

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.33 +0.74%
GSEC SUB 1-3 -0.92 +0.94%
GSEC SUB 3-8 -0.18 +1.48%
GSEC SUB 8 -0.14 +1.91%
The long bond was a rock-star.

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought to sum up the month

Is there such a thing as a “perfect” value investor? Bob Goldfarb, chief executive of the legendary Sequoia Fund, was asked by Columbia University professor Louis Lowenstein “to select ten dyed-in-the-wool value investors who all followed the essential edicts of Graham and Dodd.”

Goldfarb came up with nine. For a nine-year period from 2006 through 2014, the average return of the eight funds that survived to the end was 6.70% vs. the S&P 500 Index’s 7.99%.

Source: Looking Back at James Montier’s “Perfect” Value Investors

Weekly Recap: You would have fired Keynes

world.2015-01-23.2015-01-30

Equities

Major
DAX(DEU) +0.42%
CAC(FRA) -0.79%
UKX(GBR) -1.22%
NKY(JPN) +0.93%
SPX(USA) -3.20%
MINTs
JCI(IDN) -0.65%
INMEX(MEX) -4.70%
NGSEINDX(NGA) -0.84%
XU030(TUR) -2.36%
BRICS
IBOV(BRA) -3.57%
SHCOMP(CHN) -4.22%
NIFTY(IND) -0.30%
INDEXCF(RUS) -1.44%
TOP40(ZAF) +3.35%

Commodities

Energy
Brent Crude Oil +8.76%
Natural Gas -9.78%
RBOB Gasoline +9.15%
Heating Oil +2.68%
WTI Crude Oil +4.59%
Ethanol -4.48%
Metals
Gold 100oz -1.21%
Platinum -2.23%
Copper -0.39%
Palladium -0.48%
Silver 5000oz -6.52%

Currencies

USDEUR:-0.39% USDJPY:-0.26%

MINTs
USDIDR(IDN) +1.71%
USDMXN(MEX) +2.26%
USDNGN(NGA) -1.49%
USDTRY(TUR) +4.01%
BRICS
USDBRL(BRA) +3.87%
USDCNY(CHN) +0.35%
USDINR(IND) +0.71%
USDRUB(RUS) +8.50%
USDZAR(ZAF) +2.12%
Agricultural
Cattle +2.97%
Soybean Meal -0.93%
White Sugar -2.52%
Cocoa -1.70%
Corn -4.21%
Feeder Cattle -0.83%
Soybeans -1.54%
Coffee (Arabica) +0.56%
Coffee (Robusta) +1.80%
Lumber +4.47%
Wheat -5.64%
Cotton +3.58%
Lean Hogs -2.73%
Orange Juice -4.10%
Sugar #11 -2.50%

Credit Indices

Index Change
Markit CDX EM -0.47%
Markit CDX NA HY -0.41%
Markit CDX NA IG +0.80%
Markit iTraxx Asia ex-Japan IG -2.99%
Markit iTraxx Australia -1.67%
Markit iTraxx Europe +0.81%
Markit iTraxx Europe Crossover +3.18%
Markit iTraxx Japan -2.11%
Markit iTraxx SovX Western Europe +0.12%
Markit LCDX (Loan CDS) +0.02%
Markit MCDX (Municipal CDS) +0.38%
India got off lightly in the carnage this week.
US large-cap earnings were weak due to the rapid appreciation of the US Dollar.
Oil found a bid but precious metals were hit.

Nifty Heatmap

CNX NIFTY.2015-01-23.2015-01-30

Index Returns

index performance.2015-01-23.2015-01-30

Sector Performance

sector performance.2015-01-23.2015-01-30

Advance Decline

advance.decline.line2.2015-01-23.2015-01-30

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -8.74% 67/70
2 -7.77% 65/73
3 -4.87% 55/82
4 -4.92% 64/74
5 -2.13% 68/69
6 -3.39% 68/70
7 -0.75% 65/73
8 -0.09% 64/73
9 +0.30% 66/72
10 (mega) +2.15% 69/69
Large caps were the best performers …

Top Winners and Losers

BPCL +10.98%
ADANIENT +11.25%
HINDPETRO +13.91%
UNIONBANK -16.81%
BANKBARODA -13.42%
BANKINDIA -9.53%
Bank earnings were a rude wake-up call about the true state of the current economy. Bad loans from the previous boom continue to haunt financials.

ETF Performance

INFRABEES +1.07%
JUNIORBEES +1.04%
NIFTYBEES +0.31%
GOLDBEES +0.06%
CPSEETF -0.08%
BANKBEES -0.66%
PSUBNKBEES -4.44%
Given how poorly government owned enterprises are managed, why own any PSE at all?

Yield Curve

yield Curve.2015-01-23.2015-01-30

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB +0.07 +0.13%
GSEC SUB 1-3 +0.14 +0.06%
GSEC SUB 3-8 +0.05 +0.09%
GSEC SUB 8 +0.00 +0.21%
Unchanged.

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

John Maynard Keynes was also an extraordinary investor. He was a fundamental, focused investor, similar to Warren Buffett in that he practiced buy and hold in a select group of stock holdings. But even with a small number of holdings he still tried to diversify his risks.

But given the volatility of his returns, there is no way investors would put up with this type of drawdowns in today’s investment world. Keynes would certainly be fired if he were managing money this way today.

Source: Would Keynes Have Been Fired as a Money Manager Today?

Correlation Update 31.01.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Options Weekly 31.01.2015

Summary: Feb NIFTY 9000 calls added 3,441,600 contracts while 8800 calls shed 858,675. On the Put side of the equation, the 8800 strike added 2,124,000 while the 9000′s shed 712,300.

JAN NIFTY OI

JAN NIFTY OI chart

JAN NIFTY OI

JAN NIFTY OI chart

JAN NIFTY OI

JAN NIFTY OI chart

FEB NIFTY OI

FEB NIFTY OI chart

FEB NIFTY OI

FEB NIFTY OI chart

FEB NIFTY OI

FEB NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

Opening Bell 30.01.2015

Your world at 9am

world.2015-01-30

Equities

Major
DAX(DEU) +0.25%
CAC(FRA) +0.44%
UKX(GBR) -0.22%
NKY(JPN) +0.63%
SPX(USA) +0.95%
MINTs
JCI(IDN) +0.37%
INMEX(MEX) -0.68%
NGSEINDX(NGA) -0.89%
XU030(TUR) -2.20%
BRICS
IBOV(BRA) +0.14%
SHCOMP(CHN) -1.03%
NIFTY(IND) +0.43%
INDEXCF(RUS) -0.49%
TOP40(ZAF) -0.52%

Commodities

Energy
Brent Crude Oil -0.24%
Ethanol +0.00%
Heating Oil +0.16%
Natural Gas -0.29%
RBOB Gasoline +0.47%
WTI Crude Oil +0.02%
Metals
Copper +0.00%
Gold 100oz +0.29%
Palladium +0.56%
Platinum +0.65%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.07% USDJPY:-0.30%

MINTs
USDIDR(IDN) +0.33%
USDMXN(MEX) -0.10%
USDNGN(NGA) -0.22%
USDTRY(TUR) +0.05%
BRICS
USDBRL(BRA) +1.08%
USDCNY(CHN) +0.06%
USDINR(IND) +0.76%
USDRUB(RUS) -0.30%
USDZAR(ZAF) -0.04%
Agricultural
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) -4.35%
Coffee (Robusta) +0.00%
Corn -0.34%
Cotton -0.32%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +1.03%
Orange Juice +0.37%
Soybean Meal +0.47%
Soybeans +0.34%
Sugar #11 -1.78%
Wheat +0.30%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM -0.23%
Markit CDX NA HY -0.37%
Markit CDX NA IG +1.86%
Markit iTraxx Asia ex-Japan IG +0.65%
Markit iTraxx Australia +0.22%
Markit iTraxx Europe +1.58%
Markit iTraxx Europe Crossover +7.04%
Markit iTraxx Japan +0.08%
Markit iTraxx SovX Western Europe +0.90%
Markit LCDX (Loan CDS) -0.09%
Markit MCDX (Municipal CDS) +0.58%
Credit markets were rattled but equity markets are in rally mode. Usually credit is right, after a lag. Leveraged longs should watch out…

Must reads

The CBI has examined Prashant Saran, a whole-time member of Sebi, and R K Padmanabhan, a former chief vigilance officer of the market regulator, in connection with alleged weakening of a case against promoters of Bank of Rajasthan. (TOI, #SEBI)

In 2015, private equity funds may look to exit investments worth around $30 billion made in India during 2007-08. (FE, #private equity)

The PMO has asked all government ministries and departments to submit an action report on Swachh Bharat. Can be summed up thusly: Lots of PR for NGO types, hopeless in reality. (IE)

Nigeria has basically squandered away its oil bonanza of the past decade. (FT)

Without unforeseen change, much of human endeavour would be fruitless, and innovation would be unnecessary. (LiveMint)