Weekly Recap: Electric Shocks

world.2015-01-16.2015-01-23

Equities

Major
DAX(DEU) +4.74%
CAC(FRA) +5.96%
UKX(GBR) +4.31%
NKY(JPN) +3.84%
SPX(USA) +2.19%
MINTs
JCI(IDN) +3.41%
INMEX(MEX) +3.45%
NGSEINDX(NGA) +2.68%
XU030(TUR) +3.92%
BRICS
IBOV(BRA) -0.62%
SHCOMP(CHN) -0.73%
NIFTY(IND) +3.78%
INDEXCF(RUS) +5.05%
TOP40(ZAF) +2.81%

Commodities

Energy
Ethanol +7.34%
RBOB Gasoline +0.77%
Brent Crude Oil -1.73%
WTI Crude Oil -5.25%
Natural Gas -4.87%
Heating Oil -1.34%
Metals
Gold 100oz +1.57%
Platinum -0.02%
Copper -3.79%
Palladium +2.81%
Silver 5000oz +3.95%

Currencies

USDEUR:+3.13% USDJPY:+0.27%

MINTs
USDIDR(IDN) -1.04%
USDMXN(MEX) +0.28%
USDNGN(NGA) +3.07%
USDTRY(TUR) +0.75%
BRICS
USDBRL(BRA) -1.46%
USDCNY(CHN) +0.34%
USDINR(IND) -0.71%
USDRUB(RUS) -1.89%
USDZAR(ZAF) -1.42%
Agricultural
Lean Hogs -6.85%
Orange Juice +0.44%
Sugar #11 -0.78%
Wheat -1.12%
White Sugar -1.18%
Cattle -2.87%
Corn +0.19%
Cotton -3.43%
Lumber -0.03%
Coffee (Arabica) -5.09%
Feeder Cattle -0.29%
Soybean Meal +1.41%
Cocoa -4.63%
Coffee (Robusta) -2.63%
Soybeans -1.82%

Credit Indices

Index Change
Markit CDX EM -0.18%
Markit CDX NA HY +0.60%
Markit CDX NA IG -2.83%
Markit iTraxx Asia ex-Japan IG -3.93%
Markit iTraxx Australia -1.34%
Markit iTraxx Europe -3.79%
Markit iTraxx Europe Crossover -22.27%
Markit iTraxx Japan -1.84%
Markit iTraxx SovX Western Europe -1.29%
Markit LCDX (Loan CDS) +0.08%
Markit MCDX (Municipal CDS) +0.30%
Markets rallied and the Euro tumbled on ECB’s 60bn QE program.

Index Returns

index performance.2015-01-16.2015-01-23

Sector Performance

sector performance.2015-01-16.2015-01-23

Advance Decline

advance.decline.line2.2015-01-16.2015-01-23

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -0.90% 68/68
2 +0.87% 71/63
3 +2.38% 74/61
4 +0.11% 75/61
5 +1.42% 70/65
6 +1.20% 71/64
7 +3.52% 74/62
8 +1.50% 72/63
9 +2.00% 73/62
10 (mega) +2.91% 62/74
A broad-based rally driven by Eurozone EQ, falling oil, rate cuts, budget… Oh my!

Top Winners and Losers

TATAMOTORS +11.93%
BHARTIARTL +12.03%
ADANIENT +12.70%
M&MFIN -18.22%
SRTRANSFIN -5.98%
PETRONET -4.61%
The Adani stable was on fire this week…

ETF Performance

INFRABEES +6.67%
BANKBEES +4.46%
NIFTYBEES +3.59%
GOLDBEES +1.78%
JUNIORBEES +1.77%
CPSEETF +0.64%
PSUBNKBEES +0.27%
No asset left behind…

Yield Curve

yield Curve.2015-01-16.2015-01-23

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.11 +0.18%
GSEC SUB 1-3 +0.06 +0.21%
GSEC SUB 3-8 +0.08 -0.05%
GSEC SUB 8 +0.04 -0.11%
Weird that the long end of the curve ended the week in the red.

Investment Theme Performance

Large-cap dominance drove CNX 100 Tactical this week. Momentum was not far behind…

Thought for the weekend

Research:

Study participants from a range of ages generally did not enjoy spending even brief periods of time alone in a room with nothing to do but think, ponder or daydream. The participants, by and large, enjoyed much more doing external activities such as listening to music or using a smartphone. Some even preferred to give themselves mild electric shocks than to think.

Source: Most people are just not comfortable in their own heads

Correlation Update 24.01.2015

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.

Opening Bell 23.01.2015

Your world at 9am

world.2015-01-23

Equities

Major
DAX(DEU) +1.32%
CAC(FRA) +1.52%
UKX(GBR) +1.02%
NKY(JPN) +0.84%
SPX(USA) +1.53%
MINTs
JCI(IDN) +1.11%
INMEX(MEX) +1.54%
NGSEINDX(NGA) -0.24%
XU030(TUR) +0.65%
BRICS
IBOV(BRA) +0.44%
SHCOMP(CHN) +0.94%
NIFTY(IND) +0.37%
INDEXCF(RUS) +2.99%
TOP40(ZAF) +0.56%

Commodities

Energy
Brent Crude Oil +1.71%
Ethanol +0.00%
Heating Oil +1.35%
Natural Gas +1.34%
RBOB Gasoline +1.44%
WTI Crude Oil +1.75%
Metals
Copper +0.00%
Gold 100oz +0.00%
Palladium -0.34%
Platinum -0.41%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.01% USDJPY:-0.07%

MINTs
USDIDR(IDN) -0.21%
USDMXN(MEX) -0.09%
USDNGN(NGA) +0.51%
USDTRY(TUR) +0.10%
BRICS
USDBRL(BRA) -1.01%
USDCNY(CHN) +0.24%
USDINR(IND) +0.11%
USDRUB(RUS) +0.66%
USDZAR(ZAF) +0.05%
Agricultural
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) -0.59%
Coffee (Robusta) +0.00%
Corn +0.00%
Cotton +0.55%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.75%
Orange Juice -0.07%
Soybean Meal +0.06%
Soybeans -0.08%
Sugar #11 -0.25%
Wheat -0.23%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM -0.51%
Markit CDX NA HY +0.25%
Markit CDX NA IG -1.93%
Markit iTraxx Asia ex-Japan IG -6.60%
Markit iTraxx Australia -2.86%
Markit iTraxx Europe -3.18%
Markit iTraxx Europe Crossover -13.08%
Markit iTraxx Japan -2.93%
Markit iTraxx SovX Western Europe -0.41%
Markit LCDX (Loan CDS) +0.08%
Markit MCDX (Municipal CDS) -0.30%
Enjoy the QE sugar rush. Limited offer while supplies last.

Must reads

The Euro QE – but not exactly (WSJ, MW):

  1. €45bn in monthly purchases of sovereign debt
  2. €5bn of institutional and agency bonds
  3. €10bn of existing asset purchase programs
  4. The ECB will only share risk in 20% of the asset purchases. The remaining 80% of the risk will be born collectively by the individual National Central Banks.

Make no mistake, this is a global currency war. The Bank of Canada cut rates yesterday and the ECB announced QE today. In both cases, there were sharp responses in the currency markets, but they seem to have cancelled each other out (FT):

Shanta Kumar: cut food security coverage to 40% of population. (TOI)

RBI asks banks to display loan interest rates and processing fees on their websites. It also asked banks to publish annual percentage rate (APR) or such similar other arrangement of representing the total cost of credit on a loan to an individual borrower on their websites so as to allow customers to compare the costs associated with borrowing across products and lenders. (NDTV, #regulation)

Fuel subsidy reforms, benign tax rates, more income in the hands of consumers and a correction in the inverted duty structure faced by some sectors. (BS, #economy)

Big data: Identifying New York Taxi Muslim drivers solely from their trip data. (theiii). Tweets can predict heart disease rates better than income, smoking and diabetes. (WP)

Good luck!

Opening Bell 22.01.2015

Your world at 9am

world.2015-01-22

Equities

Major
DAX(DEU) +0.41%
CAC(FRA) +0.87%
UKX(GBR) +1.63%
NKY(JPN) -0.10%
SPX(USA) +0.47%
MINTs
JCI(IDN) +0.41%
INMEX(MEX) +1.90%
NGSEINDX(NGA) -0.20%
XU030(TUR) +1.43%
BRICS
IBOV(BRA) +2.81%
SHCOMP(CHN) -0.55%
NIFTY(IND) +0.39%
INDEXCF(RUS) +3.00%
TOP40(ZAF) +0.94%

Commodities

Energy
Brent Crude Oil -0.31%
Ethanol +0.00%
Heating Oil -0.44%
Natural Gas +1.85%
RBOB Gasoline -0.55%
WTI Crude Oil -0.67%
Metals
Copper +0.00%
Gold 100oz +0.00%
Palladium +0.68%
Platinum -0.02%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.08% USDJPY:+0.27%

MINTs
USDIDR(IDN) -0.12%
USDMXN(MEX) +0.08%
USDNGN(NGA) +0.28%
USDTRY(TUR) -0.04%
BRICS
USDBRL(BRA) -0.46%
USDCNY(CHN) -0.03%
USDINR(IND) -0.08%
USDRUB(RUS) -0.11%
USDZAR(ZAF) +0.04%
Agricultural
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) -1.77%
Coffee (Robusta) +0.00%
Corn +0.13%
Cotton -0.07%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.71%
Orange Juice +0.17%
Soybean Meal +0.27%
Soybeans +0.36%
Sugar #11 -0.25%
Wheat +0.37%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM -0.15%
Markit CDX NA HY -0.09%
Markit CDX NA IG +0.06%
Markit iTraxx Asia ex-Japan IG -2.72%
Markit iTraxx Australia -1.64%
Markit iTraxx Europe -1.51%
Markit iTraxx Europe Crossover -4.65%
Markit iTraxx Japan -3.38%
Markit iTraxx SovX Western Europe -1.23%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +0.00%
The hysteria around possible Eurozone QE hasn’t impressed NKY and Shanghai this morning. Will the NIFTY scale new highs today?

Must reads

ECB’s executive board has now called for bond purchases of roughly €50 billion ($58 billion) a month that would last for a minimum of one year. We’ll know for sure today. Reactions: WSJ

Labour productivity is the result of investment in machinery/automation as much as more effort or skill on the part of workers. Extra effort and higher skills do make a difference, but it is machinery that makes workers vastly more productive. (FT)

Real wage growth has languished at an average annual rate of 1% between 1983 and 2013, lagging real productivity improvement. (LiveMint, #economy)

Good luck!