Weekly Recap 18.04.2015

world.2015-4-10.2015-4-17

Equities

Major
DAX(DEU) -5.54%
CAC(FRA) -1.85%
UKX(GBR) -1.34%
NKY(JPN) -1.28%
SPX(USA) -0.98%
MINTs
JCI(IDN) -1.47%
INMEX(MEX) +0.21%
NGSEINDX(NGA) +0.22%
XU030(TUR) -0.29%
BRICS
IBOV(BRA) -0.40%
SHCOMP(CHN) +6.27%
NIFTY(IND) -1.99%
INDEXCF(RUS) -0.03%
TOP40(ZAF) +0.76%

Commodities

Energy
Brent Crude Oil +10.29%
RBOB Gasoline +7.53%
WTI Crude Oil +9.18%
Ethanol +3.14%
Natural Gas +5.26%
Heating Oil +7.64%
Metals
Copper +1.82%
Gold 100oz -0.26%
Silver 5000oz +0.62%
Palladium +1.02%
Platinum -0.04%

Currencies

USDEUR:-2.00% USDJPY:-1.11%

MINTs
USDIDR(IDN) -0.60%
USDMXN(MEX) +0.89%
USDNGN(NGA) -0.04%
USDTRY(TUR) +1.81%
BRICS
USDBRL(BRA) -1.57%
USDCNY(CHN) -0.17%
USDINR(IND) +0.07%
USDRUB(RUS) -2.66%
USDZAR(ZAF) +0.76%
Agricultural
Cotton -2.53%
Orange Juice +3.22%
Soybeans +1.79%
Cattle -0.63%
Cocoa -0.05%
Coffee (Robusta) -0.66%
Soybean Meal +1.71%
Corn +0.66%
Lean Hogs +12.76%
Sugar #11 +2.10%
Coffee (Arabica) +3.00%
Feeder Cattle +0.28%
Lumber -7.98%
Wheat -6.23%
White Sugar +1.78%

Credit Indices

Index Change
Markit CDX EM -0.13%
Markit CDX NA HY -0.08%
Markit CDX NA IG +0.10%
Markit iTraxx Asia ex-Japan IG +0.96%
Markit iTraxx Australia +0.03%
Markit iTraxx Europe -0.46%
Markit iTraxx Europe Crossover +1.35%
Markit iTraxx Japan -3.42%
Markit iTraxx SovX Western Europe +0.69%
Markit LCDX (Loan CDS) -0.02%
Markit MCDX (Municipal CDS) -2.29%
Nifty looks benign compared to what hit the broader market. Friday was especially brutal for the German DAX and the negative sentiment might spillover to the Asian markets on Monday. However, the Shanghai Composite seems to be on another planet altogether…

Nifty Heatmap

CNX NIFTY.2015-4-10.2015-4-17

Index Returns

index performance.2015-4-10.2015-4-17

Advance Decline

advance.decline.line2.2015-4-10.2015-4-17

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -2.71% 76/59
2 +3.43% 71/63
3 +2.70% 74/60
4 +2.47% 69/66
5 +1.37% 70/64
6 +1.34% 66/68
7 +0.36% 66/69
8 +0.41% 73/61
9 -0.36% 69/65
10 (mega) -0.99% 67/68
Large caps got hammered…

Top Winners and Losers

SSLT +4.40%
ONGC +6.54%
OIL +11.39%
BHARATFORG -10.11%
LUPIN -9.88%
SRTRANSFIN -9.75%
Bharat Forge and Lupin got shellacked by downgrades…

ETF Performance

PSUBNKBEES +3.39%
GOLDBEES +0.41%
CPSEETF -0.28%
INFRABEES -0.93%
NIFTYBEES -1.54%
BANKBEES -2.24%
JUNIORBEES -3.26%
Note the divergence between PSU banks and the overall banking sector. Puzzling…

Yield Curve

yield Curve.2015-4-10.2015-4-17

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.01 +0.15%
GSEC SUB 1-3 -0.63 -0.31%
GSEC SUB 3-8 -0.06 -0.04%
GSEC SUB 8 +0.01 +0.24%
The long-end caught a bid…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

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Index Update 18.04.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-04-15 png

index momentum best 50 2015-04-15 png

index momentum worst 365 2015-04-15 png

index momentum worst 50 2015-04-15 png

Refactored Index Performance

50-day performance, from February 03, 2015 through April 17, 2015:

Correlation Update 18.04.2015

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 17.04.2015

Your world at 9am

world.2015-04-17

Equities

Major
DAX(DEU) -1.90%
CAC(FRA) -0.57%
UKX(GBR) -0.51%
NKY(JPN) -0.50%
SPX(USA) -0.08%
MINTs
JCI(IDN) +0.11%
INMEX(MEX) +0.43%
NGSEINDX(NGA) -0.38%
XU030(TUR) +1.45%
BRICS
IBOV(BRA) -0.45%
SHCOMP(CHN) +2.06%
NIFTY(IND) -0.50%
INDEXCF(RUS) +0.54%
TOP40(ZAF) +1.16%

Commodities

Energy
Brent Crude Oil -1.00%
Ethanol +0.00%
Heating Oil -0.70%
Natural Gas +0.20%
RBOB Gasoline -0.70%
WTI Crude Oil -1.10%
Metals
Copper +0.00%
Gold 100oz +0.00%
Palladium +0.10%
Platinum +0.20%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.10% USDJPY:+0.01%

MINTs
USDIDR(IDN) +0.02%
USDMXN(MEX) -0.02%
USDNGN(NGA) -0.03%
USDTRY(TUR) +0.06%
BRICS
USDBRL(BRA) -0.27%
USDCNY(CHN) -0.06%
USDINR(IND) -0.11%
USDRUB(RUS) +0.03%
USDZAR(ZAF) +0.05%
Agricultural
Corn -0.10%
Lumber -1.30%
Sugar #11 +3.30%
Coffee (Arabica) +2.20%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Wheat -0.60%
White Sugar +0.00%
Cattle +0.00%
Cocoa +0.00%
Orange Juice -0.20%
Soybean Meal +0.20%
Soybeans +0.10%
Cotton +0.00%
Lean Hogs +0.00%

Credit Indices

Index Change
Markit CDX EM +2.23%
Markit CDX NA HY -0.85%
Markit CDX NA IG -0.81%
Markit iTraxx Asia ex-Japan IG +12.69%
Markit iTraxx Australia +10.62%
Markit iTraxx Europe +5.24%
Markit iTraxx Europe Crossover -1.07%
Markit iTraxx Japan +5.67%
Markit iTraxx SovX Western Europe +0.50%
Markit LCDX (Loan CDS) -0.02%
Markit MCDX (Municipal CDS) +6.66%
Europe, US, Japan equity markets down. Looks like the dice are loaded against the Nifty today…

Must reads

TCS just gave away Rs 2,628 crore that belonged to its shareholders. Should the board of directors be fired over this? (FP) TCS 2,473.90 -108.90 (-4.22%)

Big Data meets Big Government: NITI Aayog plans to marry data from Aadhaar, Jan Dhan accounts and the socioeconomic and caste census to better target subsidies. (LiveMint, #economy)

The European Commission sent a “statement of objections” to Google accusing it of abusing its dominant position in the internet-search market. Whether it has harmed consumers by using its dominant platform to steer them away from rival services and towards its own is at the heart of the case. I say it is. Just google any stock ticker and a large portion of the screen is filled with a box that has Google Finance data. (Economist)

The IMF says a sudden rise of 100 basis points in 10-year Treasury yields was “quite conceivable” once the market wakes up to the possibility of the first rise in official rates in nearly a decade. (FT)

Non-financial businesses are engaged in finance on a mighty scale. The share of American profits from finance is 33%. (Economist)

Date on demand: Hookups just got easier. (Techcrunch)

Good luck and have a nice weekend!