Weekly Recap: Risk

world.2015-08-21.2015-08-28

Equities

Major
DAX(DEU) +1.72%
CAC(FRA) +0.95%
UKX(GBR) +0.97%
NKY(JPN) -1.54%
SPX(USA) -0.65%
MINTs
JCI(IDN) +2.54%
INMEX(MEX) +2.38%
NGSEINDX(NGA) -3.50%
XU030(TUR) +1.33%
BRICS
IBOV(BRA) +2.53%
SHCOMP(CHN) -7.85%
NIFTY(IND) -3.59%
INDEXCF(RUS) +3.36%
TOP40(ZAF) +2.26%

Commodities

Energy
Ethanol -0.48%
Heating Oil +7.11%
WTI Crude Oil +12.06%
RBOB Gasoline -0.87%
Brent Crude Oil +9.95%
Natural Gas +1.64%
Metals
Gold 100oz -2.32%
Palladium -2.78%
Copper +1.30%
Platinum -0.73%
Silver 5000oz -5.81%

Currencies

USDEUR:+1.52% USDJPY:-0.45%

MINTs
USDIDR(IDN) +0.30%
USDMXN(MEX) -0.84%
USDNGN(NGA) -0.04%
USDTRY(TUR) +0.23%
BRICS
USDBRL(BRA) +2.66%
USDCNY(CHN) +0.01%
USDINR(IND) +0.50%
USDRUB(RUS) -5.39%
USDZAR(ZAF) +2.72%
Agricultural
Cattle +0.50%
Cocoa +1.91%
Coffee (Arabica) -1.19%
Lean Hogs +6.16%
Lumber -3.34%
Soybean Meal -1.99%
Sugar #11 +4.89%
Wheat -4.26%
Feeder Cattle -4.41%
Orange Juice +1.41%
White Sugar +1.80%
Coffee (Robusta) -4.16%
Corn -0.75%
Cotton -4.89%
Soybeans -1.21%

Credit Indices

Index Change
Markit CDX EM -0.08%
Markit CDX NA HY +0.18%
Markit CDX NA IG +2.08%
Markit iTraxx Asia ex-Japan IG +14.30%
Markit iTraxx Australia +6.45%
Markit iTraxx Europe +3.44%
Markit iTraxx Europe Crossover +9.89%
Markit iTraxx Japan +4.46%
Markit iTraxx SovX Western Europe +0.76%
Markit LCDX (Loan CDS) -0.11%
Markit MCDX (Municipal CDS) +1.27%
A total mess of week that saw a sudden collapse, money being sucked out of risk-assets of all types and a retrace in most markets. This one goes to buy-and-hold dollar-cost averagers…

Nifty Heatmap

CNX NIFTY.2015-08-21.2015-08-28

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index.performance.2015-08-21.2015-08-28

Sector Performance

sectorperformance.2015-08-21.2015-08-28

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -10.11% 69/65
2 -8.75% 45/89
3 -8.68% 48/86
4 -9.56% 41/92
5 -8.71% 42/92
6 -7.32% 44/90
7 -7.77% 57/76
8 -5.78% 53/81
9 -5.45% 52/82
10 (mega) -5.32% 59/75
Massacre across the board…

Top Winners and Losers

CAIRN +2.75%
APOLLOHOSP +3.10%
NMDC +7.47%
BANKINDIA -14.98%
CANBK -14.40%
UNIONBANK -12.46%
PSU banks took it on the chin…

ETF Performance

GOLDBEES -1.27%
CPSEETF -2.37%
JUNIORBEES -3.37%
NIFTYBEES -3.69%
INFRABEES -4.48%
BANKBEES -4.49%
PSUBNKBEES -7.42%
Not a single ETF ended the week in the green…

Yield Curve

yieldCurve.2015-08-21.2015-08-28

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.01 +0.16%
5 10 +0.01 +0.09%
10 15 -0.02 +0.27%
15 20 +0.02 -0.01%
20 30 -0.01 +0.27%
Stocks down, bonds up?

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

Nothing in the world can give a damn less than risk. Risk doesn’t care about your political views or your morals. It doesn’t care what your view of the market is, or what you were taught in school. It’s an indiscriminate assassin and a master at humbling ideologies.

Source: Risk: Your Best Friend and Worst Enemy

Index Update 29.08.2015

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 2015-08-28 png

index momentum best 50 2015-08-28 png

index momentum worst 365 2015-08-28 png

index momentum worst 50 2015-08-28 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-28 png

Refactored Index Performance

50-day performance, from June 22, 2015 through August 28, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.83
2015-Jan-27
CNX BANK LONG
16.26
2015-Jan-27
CNX COMMODITIES LONG
36.29
2008-Jan-04
CNX CONSUMPTION LONG
7.46
2015-Aug-05
CNX ENERGY LONG
35.67
2008-Jan-14
CNX FMCG SHORT
9.51
2015-Feb-25
CNX INFRA LONG
52.21
2008-Jan-09
CNX IT LONG
87.87
2000-Feb-21
CNX MEDIA LONG
20.76
2008-Jan-04
CNX METAL LONG
66.87
2008-Jan-04
CNX MNC LONG
8.07
2015-Aug-10
CNX NIFTY LONG
11.05
2015-Mar-03
CNX PHARMA SHORT
6.44
2015-Apr-08
CNX PSE LONG
33.30
2008-Jan-04
CNX PSU BANK LONG
40.41
2010-Nov-05
CNX REALTY LONG
91.29
2008-Jan-14
CNX SERVICE LONG
11.61
2015-Mar-03
A week that saw momentum come crashing down. Worst part: CNX REALTY is more than 91% down from its peak in Jan’08…

Correlation Update 29.08.2015

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 28.08.2015

Your world at 9am

world.2015-08-28

Equities

Major
DAX(DEU) +3.18%
CAC(FRA) +3.49%
UKX(GBR) +3.56%
NKY(JPN) +2.77%
SPX(USA) +2.43%
MINTs
JCI(IDN) +1.73%
INMEX(MEX) +2.72%
NGSEINDX(NGA) +0.30%
XU030(TUR) +1.54%
BRICS
IBOV(BRA) +3.64%
SHCOMP(CHN) +2.49%
NIFTY(IND) +2.02%
INDEXCF(RUS) +2.06%
TOP40(ZAF) +1.80%

Commodities

Energy
Ethanol +0.00%
WTI Crude Oil +0.96%
RBOB Gasoline -0.34%
Heating Oil +1.20%
Brent Crude Oil +0.36%
Natural Gas +0.45%
Metals
Gold 100oz +0.69%
Palladium +1.88%
Platinum +0.33%
Copper -0.19%
Silver 5000oz +0.30%

Currencies

USDEUR:-0.13% USDJPY:-0.01%

MINTs
USDIDR(IDN) +0.21%
USDMXN(MEX) -0.05%
USDNGN(NGA) +0.04%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) -1.19%
USDCNY(CHN) -0.21%
USDINR(IND) -0.15%
USDRUB(RUS) +0.30%
USDZAR(ZAF) -0.08%
Agricultural
Cattle +0.00%
Cocoa +0.00%
White Sugar +0.00%
Coffee (Arabica) +3.16%
Lean Hogs +0.00%
Lumber -2.47%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Orange Juice +0.00%
Soybean Meal +0.56%
Soybeans +0.79%
Sugar #11 +4.84%
Wheat +0.36%
Corn +0.69%
Cotton +0.00%

Credit Indices

Index Change
Markit CDX EM +1.06%
Markit CDX NA HY +1.10%
Markit CDX NA IG -4.41%
Markit iTraxx Asia ex-Japan IG +3.92%
Markit iTraxx Australia -0.21%
Markit iTraxx Europe +0.46%
Markit iTraxx Europe Crossover -2.96%
Markit iTraxx Japan -2.70%
Markit iTraxx SovX Western Europe +0.17%
Markit LCDX (Loan CDS) -0.05%
Markit MCDX (Municipal CDS) -0.98%
The Dow already retraced its China Syndrome. How long before Nifty does the same?

Must reads

98 smart cities! (ET) Related: Smart City Stocks

Irony: Rajan wants PSBs to be compensated by the government for carrying out public interest activities. (BS)

The proposed labour reform plan includes mandatory national minimum wage and extension of social security benefits. (LiveMint)

The U.S. economy grew faster than initially thought in the second quarter on solid domestic demand. GDP expanded at a 3.7% annual pace instead of the 2.3% rate reported last month. (Reuters)

In the recent turbulence of the markets, there have been some signs that investors are distinguishing within the increasingly dissimilar EM world. Superior economic fundamentals and policy-making credibility are gaining some reward. (FT)

Good luck and have a nice weekend!