Monthly Recap: April Angst

world.2016-03-31.2016-04-29

Equities

Major
DAX(DEU) +0.74%
CAC(FRA) +1.00%
UKX(GBR) +1.08%
NKY(JPN) -0.55%
SPX(USA) +0.22%
MINTs
JCI(IDN) -0.14%
INMEX(MEX) +0.12%
NGSEINDX(NGA) -0.96%
XU030(TUR) +2.39%
BRICS
IBOV(BRA) +7.81%
SHCOMP(CHN) -2.18%
NIFTY(IND) +1.44%
INDEXCF(RUS) +4.38%
TOP40(ZAF) +0.72%

Commodities

Energy
Natural Gas +9.63%
Brent Crude Oil +19.35%
WTI Crude Oil +18.78%
Ethanol +7.67%
Heating Oil +16.52%
RBOB Gasoline +12.21%
Metals
Gold 100oz +4.91%
Silver 5000oz +16.23%
Palladium +9.91%
Copper +3.65%
Platinum +10.43%

Currencies

USDEUR:-0.56% USDJPY:-5.32%

MINTs
USDIDR(IDN) -0.45%
USDMXN(MEX) -0.99%
USDNGN(NGA) -0.03%
USDTRY(TUR) -0.91%
BRICS
USDBRL(BRA) -4.40%
USDCNY(CHN) +0.38%
USDINR(IND) +0.12%
USDRUB(RUS) -3.34%
USDZAR(ZAF) -3.57%
Agricultural
Cattle -13.57%
Lean Hogs +14.21%
Soybean Meal +22.41%
Feeder Cattle -10.82%
Wheat +1.48%
Coffee (Arabica) -5.56%
Coffee (Robusta) +5.78%
Corn +11.55%
Cotton +8.51%
Lumber -5.54%
Orange Juice -12.86%
Soybeans +12.23%
Sugar #11 +6.16%
Cocoa +7.24%
White Sugar +5.30%

Credit Indices

Index Change
Markit CDX EM +0.60%
Markit CDX NA HY +0.89%
Markit CDX NA IG -4.40%
Markit iTraxx Asia ex-Japan IG -6.15%
Markit iTraxx Australia -9.74%
Markit iTraxx Europe -1.61%
Markit iTraxx Europe Crossover -9.50%
Markit iTraxx Japan -21.20%
Markit MCDX (Municipal CDS) +0.33%
An eventful month with the RBI cutting rates, ICICI dropping a bomb, BOJ holding off on more QE and oil recovering…

International ETFs (USD)

global.etf.performance.2016-03-31.2016-04-29

Nifty Heatmap

NIFTY 50.2016-03-31.2016-04-29

Index Returns

index.performance.2016-03-31.2016-04-29

Market Cap Decile Performance

deciles.perf.2016-04-29

Top Winners and Losers

UPL +12.60%
DLF +12.85%
VEDL +15.53%
NHPC -14.49%
BHARATFORG -8.59%
UBL -7.88%
High beta stocks rebounded from Jan/Feb lows…

ETF Performance

GOLDBEES +5.98%
BANKBEES +3.70%
JUNIORBEES +3.05%
INFRABEES +2.94%
CPSEETF +2.69%
PSUBNKBEES +1.03%
NIFTYBEES +0.49%
Is infra the next story?

Yield Curve

yieldCurve.2016-03-31.2016-04-29

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.05 +0.77%
5 10 -0.06 +0.92%
10 15 -0.04 +0.94%
15 20 -0.12 +1.75%
20 30 -0.08 +1.50%
Bonds rebounded…

Investment Theme Performance

Midcap recovery under way…

Equity Mutual Funds

Bond Mutual Funds

Institutional flows

FII’s seen renewing their love affair with Indian bonds…

fii-investments.2014-01-01.2016-04-29

dii-investments.2014-01-01.2016-04-29

US Treasuries

Gilts are in the process of normalizing.
ust-ind-10yr-spread.2014-01-01

Is spread between 2s and 10s calling a bluff on a Fed rate hike?

ust-yield-curve.2s10s

Thought to sum up the month

Chance plays a far larger role in life outcomes than most people realize. And yet, the luckiest among us appear especially unlikely to appreciate our good fortune. Wealthy people overwhelmingly attribute their own success to hard work rather than to factors like luck or being in the right place at the right time.

That’s troubling, because seeing ourselves as self-made—rather than as talented, hardworking, and lucky—leads us to be less generous and public-spirited. It may even make the lucky less likely to support the conditions (such as high-quality public infrastructure and education) that made their own success possible.

Source: Why Luck Matters More Than You Might Think

What I read this month

What I Learned Losing a Million Dollars:
_20160501_111546

Amazon

Opening Bell 29.04.2016

Your world at 9am

world.2016-04-29

Equities

Major
DAX(DEU) +0.21%
CAC(FRA) -0.04%
UKX(GBR) +0.04%
NKY(JPN) -3.61%
SPX(USA) -0.92%
MINTs
JCI(IDN) -0.24%
INMEX(MEX) -0.70%
NGSEINDX(NGA) +0.63%
XU030(TUR) +0.19%
BRICS
IBOV(BRA) -0.30%
SHCOMP(CHN) -0.19%
NIFTY(IND) -1.66%
INDEXCF(RUS) +1.82%
TOP40(ZAF) +0.21%

Commodities

Energy
Brent Crude Oil +0.00%
WTI Crude Oil +0.04%
Heating Oil +0.14%
RBOB Gasoline -0.73%
Ethanol +0.00%
Natural Gas -0.29%
Metals
Copper +1.12%
Gold 100oz +1.23%
Platinum +1.27%
Silver 5000oz +1.78%
Palladium +0.82%

Currencies

USDEUR:-0.30% USDJPY:-0.81%

MINTs
USDIDR(IDN) +0.19%
USDMXN(MEX) -0.20%
USDNGN(NGA) -0.03%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) -1.08%
USDCNY(CHN) -0.04%
USDINR(IND) +0.10%
USDRUB(RUS) -0.07%
USDZAR(ZAF) -0.17%
Agricultural
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn -0.13%
Cotton -0.28%
Feeder Cattle +0.00%
Sugar #11 +0.00%
Wheat -0.68%
White Sugar +0.00%
Coffee (Arabica) +0.00%
Lean Hogs +0.00%
Cocoa +0.00%
Soybean Meal -0.48%
Soybeans -0.59%
Lumber +0.00%
Orange Juice +0.00%

Credit Indices

Index Change
Markit CDX EM +0.37%
Markit CDX NA HY +0.24%
Markit CDX NA IG -0.71%
Markit iTraxx Asia ex-Japan IG -0.22%
Markit iTraxx Australia +0.20%
Markit iTraxx Europe -0.59%
Markit iTraxx Europe Crossover -2.76%
Markit iTraxx Japan +0.26%
Markit MCDX (Municipal CDS) -0.33%
Out of 42 world ETFs listed in NYSE that we track, 17 are trading above their 10-day SMA and 37 are trading above their 50-day SMA. Also, there were 28 sigma events over the last 24 hours. Details here.

Must reads

Bank of Japan shocks markets by voting against more stimulus. Despite weak inflation and household spending, central bank decides against fresh measures to stimulate economy, pushing the yen up. (Guardian, Reuters, FT)

Those filing for bankruptcy could find their assets in other countries assessed under Indian laws. (BS)

RBI says it would be ‘prudent’ to regulate P2P lending businesses, proposes registering platforms as NBFCs. (LiveMint)

Infy’s bet on AI driven automation. (TOI) INFY 1,208.10 0.00 (0.00%)

Good luck and have a nice weekend!

Opening Bell 28.04.2016

Your world at 9am

world.2016-04-28

Equities

Major
DAX(DEU) +0.39%
CAC(FRA) +0.58%
UKX(GBR) +0.56%
NKY(JPN) +1.41%
SPX(USA) +0.16%
MINTs
JCI(IDN) +0.23%
INMEX(MEX) +1.25%
NGSEINDX(NGA) -0.06%
XU030(TUR) -0.56%
BRICS
IBOV(BRA) +2.63%
SHCOMP(CHN) -0.62%
NIFTY(IND) +0.22%
INDEXCF(RUS) -0.61%
TOP40(ZAF) +0.24%

Commodities

Energy
Ethanol +0.00%
Heating Oil -0.12%
RBOB Gasoline -0.23%
WTI Crude Oil -0.18%
Natural Gas -0.51%
Brent Crude Oil -0.21%
Metals
Gold 100oz -0.82%
Copper -0.07%
Palladium +0.06%
Platinum -0.56%
Silver 5000oz -0.80%

Currencies

USDEUR:-0.12% USDJPY:-1.90%

MINTs
USDIDR(IDN) -0.00%
USDMXN(MEX) +0.29%
USDNGN(NGA) +0.11%
USDTRY(TUR) +0.21%
BRICS
USDBRL(BRA) -0.07%
USDCNY(CHN) -0.12%
USDINR(IND) -0.11%
USDRUB(RUS) -0.08%
USDZAR(ZAF) +0.62%
Agricultural
Sugar #11 +0.00%
Wheat -0.37%
Coffee (Arabica) +0.00%
Cocoa +0.00%
Lean Hogs +0.00%
Soybean Meal -0.65%
Soybeans -0.74%
White Sugar +0.00%
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn -0.39%
Cotton +0.00%
Feeder Cattle +0.00%
Lumber +0.00%
Orange Juice +0.00%

Credit Indices

Index Change
Markit CDX EM +0.21%
Markit CDX NA HY +0.06%
Markit CDX NA IG -0.08%
Markit iTraxx Asia ex-Japan IG -1.39%
Markit iTraxx Australia +1.92%
Markit iTraxx Europe -0.30%
Markit iTraxx Europe Crossover -0.35%
Markit iTraxx Japan +0.83%
Markit MCDX (Municipal CDS) -0.34%
Out of 42 world ETFs listed in NYSE that we track, 28 are trading above their 10-day SMA and 41 are trading above their 50-day SMA. Also, there were 20 sigma events over the last 24 hours. Details here.

Must reads

Nestlé spent three decades building a beloved noodle brand in India. Then the world’s biggest food and beverage company stumbled into a public relations debacle that cost it half a billion dollars. (Fortune) NESTLEIND 5,725.45 0.00 (0.00%)

Infy embraces blockchain. (ET) INFY 1,208.10 0.00 (0.00%)

India to see severe shortage of jobs in the next 35 years. Guns, germs or steel? (LiveMint, #economy)

Growth without productivity is unsustainable. (FT)

In an apparent rejection of the basic principles of the U.S. economy, a new poll shows that most young people do not support capitalism. (WaPo)

Good luck!

Opening Bell 26.04.2016

Your world at 9am

world.2016-04-26

Equities

Major
DAX(DEU) -0.76%
CAC(FRA) -0.52%
UKX(GBR) -0.78%
NKY(JPN) -1.26%
SPX(USA) -0.18%
MINTs
JCI(IDN) -1.72%
INMEX(MEX) -0.22%
NGSEINDX(NGA) -0.34%
XU030(TUR) -0.99%
BRICS
IBOV(BRA) -1.98%
SHCOMP(CHN) +0.03%
NIFTY(IND) -0.56%
INDEXCF(RUS) -0.60%
TOP40(ZAF) +0.17%

Commodities

Energy
RBOB Gasoline +0.64%
Brent Crude Oil +0.65%
Heating Oil +0.72%
WTI Crude Oil +0.68%
Ethanol +0.00%
Natural Gas +0.34%
Metals
Platinum -0.37%
Copper +0.00%
Gold 100oz +0.07%
Palladium -0.36%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.02%
USDJPY:-0.25%

MINTs
USDIDR(IDN) +0.14%
USDMXN(MEX) +0.01%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.04%
BRICS
USDBRL(BRA) -0.23%
USDCNY(CHN) +0.02%
USDINR(IND) +0.20%
USDRUB(RUS) +0.14%
USDZAR(ZAF) -0.09%
Agricultural
Cocoa +0.00%
Feeder Cattle +0.00%
Soybean Meal -0.98%
Wheat -0.53%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Lumber +0.00%
Orange Juice +0.00%
Soybeans -0.45%
White Sugar +0.00%
Cattle +0.00%
Corn -0.20%
Cotton +0.34%
Lean Hogs +0.00%
Sugar #11 +0.00%

Out of 42 world ETFs listed in NYSE that we track, 21 are trading above their 10-day SMA and 40 are trading above their 50-day SMA. Also, there were 13 sigma events over the last 24 hours. Details here.

Must reads

India needs more judges. (LiveMint)

India’s outsourcing firms like Infosys and Wipro are increasingly more open to making large upfront payments while bidding for large deals that offer assured revenues. (ET) WIPRO 554.35 0.00 (0.00%) INFY 1,208.10 0.00 (0.00%)

Goldman is opening its doors to the masses with the launch of GS Bank, an FDIC-insured, Internet-based savings bank. (TC, FT)

Bank of Japan’s exchange-traded fund purchases have made it a top 10 shareholder in about 90% of the Nikkei 225 Stock Average. And they are not done. (Bloomberg, FT)

T Rowe Price predicts that computers will become increasingly important in asset management, supplanting the industry’s traditional backbone of human stock pickers, economists and analysts. (FT)

Good luck!

Market-Cap Deciles, Part III

Part I, Part II of the series.

111% vs. 11%

A portfolio of ~150, equal-weight, small-cap stocks, rebalanced monthly, gave a return of 111% from 2015 through now.

decile.9.2016-04-24

While a similar portfolio of mega-cap stocks gave a return of 11% during the same time frame.

decile.0.2016-04-24

Variance

Returns from the small-cap portfolio are accompanied by larger volatility.

decile.distribution.9.2016-04-24

decile.distribution.0.2016-04-24

Accessibility

Is the alpha accessible? Given the meager volumes in the small-cap space, narrow circuit breakers and intra-day volatility of prices, small-cap alpha is hard to access. The impact cost of trading 150 small-cap stocks every month would be pretty high for large positions.

However, a portfolio with an exposure of Rs. 10,000 – Rs. 50,000 per stock is doable. So, theoretically, you can size the portfolio between Rs. 15,00,000 – Rs. 75,00,000 to access this alpha.

Appendix

Cumulative wealth charts for each decile (both cap- and equal-weighted): (a)

Box plots of cumulative returns of stocks in each decile: (b)