Monthly Recap: How’s your macro?

world.2015-06-30.2015-07-31

Equities

Major
DAX(DEU) +3.33%
CAC(FRA) +6.10%
UKX(GBR) +2.69%
NKY(JPN) +1.73%
SPX(USA) +1.43%
MINTs
JCI(IDN) -2.20%
INMEX(MEX) -0.52%
NGSEINDX(NGA) -9.79%
XU030(TUR) -2.49%
BRICS
IBOV(BRA) -4.21%
SHCOMP(CHN) -14.34%
NIFTY(IND) +1.96%
INDEXCF(RUS) +0.87%
TOP40(ZAF) +0.90%

Commodities

Energy
Ethanol -6.07%
Brent Crude Oil -17.93%
Heating Oil -16.11%
Natural Gas -3.76%
RBOB Gasoline -15.34%
WTI Crude Oil -21.37%
Metals
Gold 100oz -6.50%
Copper -9.92%
Platinum -8.90%
Silver 5000oz -4.49%
Palladium -9.26%

Currencies

USDEUR:+1.41% USDJPY:+1.27%

MINTs
USDIDR(IDN) +1.50%
USDMXN(MEX) +2.68%
USDNGN(NGA) -0.13%
USDTRY(TUR) +3.48%
BRICS
USDBRL(BRA) +10.15%
USDCNY(CHN) +0.14%
USDINR(IND) +0.76%
USDRUB(RUS) +11.89%
USDZAR(ZAF) +4.18%
Agricultural
Cocoa -0.56%
Coffee (Arabica) -3.75%
Lean Hogs +3.36%
Cattle -0.95%
Corn -10.04%
Cotton -2.35%
Orange Juice +7.45%
Wheat -18.75%
White Sugar -5.81%
Coffee (Robusta) -13.05%
Feeder Cattle -1.44%
Lumber -12.67%
Soybean Meal -1.42%
Soybeans -7.29%
Sugar #11 -8.91%

Credit Indices

Index Change
Markit CDX EM +0.28%
Markit CDX NA HY -0.15%
Markit CDX NA IG -1.71%
Markit iTraxx Asia ex-Japan IG -3.67%
Markit iTraxx Australia -2.15%
Markit iTraxx Europe -13.99%
Markit iTraxx Europe Crossover -47.76%
Markit iTraxx Japan -5.14%
Markit iTraxx SovX Western Europe -2.34%
Markit LCDX (Loan CDS) -0.06%
Markit MCDX (Municipal CDS) -4.61%
Indian midcaps rallied; the bottom fell out of commodities and oil; China was a total shit show. Will the midcap party continue into August?

Index Returns

index.performance.2015-06-30.2015-07-31

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +17.40% 76/54
2 +22.15% 87/41
3 +33.99% 97/33
4 +17.22% 98/31
5 +17.19% 89/40
6 +12.51% 85/45
7 +10.13% 78/51
8 +8.94% 81/49
9 +4.99% 74/55
10 (mega) +2.06% 64/66
Midcaps and smallcaps put in some impressive numbers…

Top Winners and Losers

ABIRLANUVO +23.12%
BANKBARODA +23.14%
HINDPETRO +26.40%
VEDL -25.21%
TATASTEEL -18.94%
NMDC -14.15%
Commodities were the most-hated sector…

ETF Performance

JUNIORBEES +6.42%
PSUBNKBEES +6.31%
BANKBEES +2.90%
NIFTYBEES +2.43%
INFRABEES +1.25%
CPSEETF -1.48%
GOLDBEES -6.20%
Hopefully, a crashing gold will wean us off it?

Yield Curve

yield Curve.2015-06-30.2015-07-31

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.08 +0.88%
5 10 -0.09 +1.12%
10 15 -0.05 +1.04%
15 20 -0.10 +1.57%
20 30 -0.15 +2.20%
The long-end rallied…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought to sum up the month

Hanging on every twist and turn of the headlines are a group of folks we call “macro tourists.” They are a terrific source of chatter at any cocktail party — such as “Tsipras may have just doomed the Greeks for the next decade.”

Why does this matter to investors? For two reasons: First, macro tourists are everywhere; and second, they seem to be terrible stewards of your capital.

Market-moving headlines would seem to present an opportunity to capi­tal­ize on the potential volatility that often follows.

But here’s the big risk for investors who try to game the headlines: Figuring out what just happened is hard enough; the macro investor must guess at what’s ahead — outcomes for the near and far future as well as the market reaction to those outcomes.

It’s no wonder the macro tourists, both professional manager and amateur investor alike, have been for the most part unsuccessful.

Source: Curse of the Macro Tourist

Weekly Recap: Pick a Valid Strategy, Stick With It

world.2015-07-24.2015-07-31

Equities

Major
DAX(DEU) -0.34%
CAC(FRA) +0.50%
UKX(GBR) +1.77%
NKY(JPN) +0.20%
SPX(USA) +1.15%
MINTs
JCI(IDN) -1.11%
INMEX(MEX) +1.26%
NGSEINDX(NGA) -2.93%
XU030(TUR) +1.96%
BRICS
IBOV(BRA) +4.31%
SHCOMP(CHN) -10.00%
NIFTY(IND) +0.13%
INDEXCF(RUS) +4.60%
TOP40(ZAF) +1.52%

Commodities

Energy
Ethanol +0.54%
Natural Gas -2.30%
WTI Crude Oil -2.89%
Brent Crude Oil -4.46%
Heating Oil -3.15%
RBOB Gasoline -3.34%
Metals
Silver 5000oz +2.76%
Copper -0.84%
Gold 100oz +0.62%
Palladium -2.60%
Platinum -0.48%

Currencies

USDEUR:-0.08% USDJPY:+0.14%

MINTs
USDIDR(IDN) +0.68%
USDMXN(MEX) -0.92%
USDNGN(NGA) -0.03%
USDTRY(TUR) +1.19%
BRICS
USDBRL(BRA) +2.20%
USDCNY(CHN) +0.00%
USDINR(IND) +0.15%
USDRUB(RUS) +5.57%
USDZAR(ZAF) +0.37%
Agricultural
Cattle +2.45%
Orange Juice -0.12%
Lean Hogs +1.09%
Wheat -2.73%
White Sugar +1.04%
Cocoa -0.05%
Coffee (Arabica) +3.41%
Corn -5.17%
Cotton -2.03%
Soybean Meal +0.31%
Soybeans -1.19%
Sugar #11 -0.80%
Coffee (Robusta) -8.77%
Feeder Cattle +0.95%
Lumber -5.54%

Credit Indices

Index Change
Markit CDX EM +0.20%
Markit CDX NA HY +0.10%
Markit CDX NA IG +0.56%
Markit iTraxx Asia ex-Japan IG +3.22%
Markit iTraxx Australia +3.07%
Markit iTraxx Europe +1.45%
Markit iTraxx Europe Crossover +6.61%
Markit iTraxx Japan +1.04%
Markit iTraxx SovX Western Europe +2.40%
Markit LCDX (Loan CDS) -0.04%
Markit MCDX (Municipal CDS) +1.72%
China did its thing and tanked 10%. Overall, not a good week for the commodity complex. Oil took it on the chin. The Nifty managed to end the week in the green.

Nifty Heatmap

CNX NIFTY.2015-07-24.2015-07-31

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index.performance.2015-07-24.2015-07-31

Sector Performance

sectorperformance.2015-07-24.2015-07-31

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +1.11% 71/64
2 +3.05% 72/63
3 +3.66% 69/66
4 +2.07% 72/63
5 +1.11% 73/62
6 +0.12% 68/67
7 +1.81% 70/65
8 -0.45% 66/69
9 -0.42% 67/68
10 (mega) -1.64% 64/71
Not a good week for large-caps.

Top Winners and Losers

UNIONBANK +10.66%
GODREJCP +11.97%
BANKBARODA +13.96%
NMDC -10.18%
TATASTEEL -6.85%
EICHERMOT -5.18%
Eicher Motors got dinged with a downgrade.

ETF Performance

PSUBNKBEES +4.89%
JUNIORBEES +1.11%
BANKBEES +1.00%
NIFTYBEES +0.21%
CPSEETF -0.49%
GOLDBEES -0.73%
INFRABEES -4.01%
A truck filled with free tax-payer cash just rammed into PSU banks. Party on…

Yield Curve

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.06 +0.26%
5 10 -0.04 +0.33%
10 15 -0.03 +0.36%
15 20 -0.03 +0.42%
20 30 -0.03 +0.49%
Not a bad week for bonds…

Investment Theme Performance

Higher Relative Strength Spread translated into better investment strategy performance across the board.

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

No strategy is magic; none work all the time. Don’t give up during the periods where it doesn’t seem to work, or when it occasionally blows up. The best time for any strategy typically come after a lot of marginal players give up because losses exceed their pain point.

Source: Pick a Valid Strategy, Stick With It

Index Update 01.08.2015

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 2015-07-31 png

index momentum best 50 2015-07-31 png

index momentum worst 365 2015-07-31 png

index momentum worst 50 2015-07-31 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-31 png

Refactored Index Performance

50-day performance, from May 25, 2015 through July 31, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.10
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX COMMODITIES SHORT
29.07
2008-Jan-04
CNX CONSUMPTION SHORT
0.00
2015-Jul-31
CNX ENERGY LONG
27.48
2008-Jan-14
CNX FMCG SHORT
6.17
2015-Feb-25
CNX INFRA LONG
47.33
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA SHORT
16.68
2008-Jan-04
CNX METAL LONG
61.25
2008-Jan-04
CNX MNC SHORT
0.00
2015-Jul-31
CNX NIFTY SHORT
5.15
2015-Mar-03
CNX PHARMA LONG
10.69
2015-Apr-08
CNX PSE LONG
24.77
2008-Jan-04
CNX PSU BANK SHORT
36.53
2010-Nov-05
CNX REALTY LONG
90.60
2008-Jan-14
CNX SERVICE SHORT
6.10
2015-Mar-03
Relative strength spread shot through its long-term median – good for momentum strategies.
CONSUMPTION and MNC indices recovered from their drawdowns. Will NIFTY be next?

Correlation Update 01.08.2015

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.