Weekly Recap: How Mobile disrupted Airfreight

world.2015-05-15.2015-05-22

Equities

Major
DAX(DEU) +3.21%
CAC(FRA) +2.99%
UKX(GBR) +1.02%
NKY(JPN) +2.69%
SPX(USA) +0.34%
MINTs
JCI(IDN) +1.68%
INMEX(MEX) -0.92%
NGSEINDX(NGA) -0.49%
XU030(TUR) -2.35%
BRICS
IBOV(BRA) -5.07%
SHCOMP(CHN) +8.10%
NIFTY(IND) +2.38%
INDEXCF(RUS) -1.53%
TOP40(ZAF) -0.10%

Commodities

Energy
Ethanol -6.26%
WTI Crude Oil +0.69%
Heating Oil -2.32%
Natural Gas -4.60%
RBOB Gasoline +0.78%
Brent Crude Oil -1.96%
Metals
Gold 100oz -0.95%
Palladium -1.45%
Platinum -1.95%
Copper -4.41%
Silver 5000oz -2.29%

Currencies

USDEUR:+3.96% USDJPY:+1.85%

MINTs
USDIDR(IDN) +0.57%
USDMXN(MEX) +1.67%
USDNGN(NGA) +0.76%
USDTRY(TUR) +0.86%
BRICS
USDBRL(BRA) +3.75%
USDCNY(CHN) -0.15%
USDINR(IND) +0.01%
USDRUB(RUS) +1.27%
USDZAR(ZAF) +1.00%
Agricultural
Feeder Cattle +0.59%
Orange Juice +5.82%
Soybean Meal +0.30%
Soybeans -2.83%
Sugar #11 -4.12%
Wheat +0.98%
White Sugar -4.33%
Cattle -0.21%
Cocoa +2.18%
Coffee (Arabica) -7.87%
Coffee (Robusta) -3.06%
Corn -1.37%
Cotton -5.07%
Lumber +14.50%
Lean Hogs +0.66%

Credit Indices

Index Change
Markit CDX EM +0.21%
Markit CDX NA HY -0.07%
Markit CDX NA IG +0.44%
Markit iTraxx Asia ex-Japan IG -3.17%
Markit iTraxx Australia -0.76%
Markit iTraxx Europe -0.88%
Markit iTraxx Europe Crossover -6.29%
Markit iTraxx Japan -1.17%
Markit iTraxx SovX Western Europe -0.04%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +1.77%
A moment of silence to whoever shorted the market thinking the NIFTY will go to 7600. May your capital rest in peace.

Nifty Heatmap

CNX NIFTY.2015-05-15.2015-05-22

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index performance.2015-05-15.2015-05-22

Sector Performance

sector performance.2015-05-15.2015-05-22

Advance Decline

advance.decline.line2.2015-05-15.2015-05-22

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -1.51% 66/62
2 -0.05% 69/59
3 +2.14% 76/51
4 +2.33% 73/55
5 +2.22% 72/55
6 +1.23% 69/59
7 +2.07% 62/66
8 +2.42% 68/59
9 +1.44% 68/60
10 (mega) +2.14% 61/67
Ob-La-Di, Ob-La-Da…

Top Winners and Losers

ADANIENT +7.59%
HCLTECH +7.69%
TECHM +7.88%
TATASTEEL -6.26%
BHARATFORG -3.69%
OIL -3.58%
Tech broke through disappointing results while investors were served a reminder of the problems plaguing old-economy stocks…

ETF Performance

CPSEETF +1.97%
NIFTYBEES +1.73%
JUNIORBEES +1.66%
INFRABEES +1.05%
BANKBEES +0.98%
PSUBNKBEES -0.66%
GOLDBEES -0.91%
Look at the divergence between BANKBEES and PSUBNKBEES…

Yield Curve

yield Curve.2015-05-15.2015-05-22

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.18 +0.20%
GSEC SUB 1-3 -0.01 +0.33%
GSEC SUB 3-8 -0.04 +0.42%
GSEC SUB 8 -0.04 +0.56%
Lower inflation + tepid economy = rate cut?

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

From the mid-1980’s when PC’s and other hi-tech products first started being assembled in Asia, in places like Taiwan, Hong Kong, Singapore, Thailand and Malaysia, through 2010, after China had achieved the dominant manufacturing position it holds, the airfreight markets became increasingly reliant on the market for getting hi-tech goods built and assembled in Asia to North America and also to Europe.

The iPads and other Android-based and Windows-devices both usurped and combined many of the functions previously reserved for the PC platform or other dedicated electronic devices. Emerging from the Great Recession, these increasingly smaller, more powerful, alternative devices with their myriads of “apps” began to offer multiple capabilities on one platform that delivered capabilities which had previously taken multiple devices to deliver. This factor also significantly changed the dynamics of the airfreight markets.

Source: Avondale Asset Management

Index Update 23.05.2015

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 2015-05-22 png

index momentum best 50 2015-05-22 png

index momentum worst 365 2015-05-22 png

index momentum worst 50 2015-05-22 png

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.69
2015-Jan-27
CNX BANK SHORT
10.32
2015-Jan-27
CNX ENERGY SHORT
29.07
2008-Jan-14
CNX FMCG SHORT
9.54
2015-Feb-25
CNX INFRA SHORT
49.37
2008-Jan-09
CNX IT SHORT
87.72
2000-Feb-21
CNX MEDIA SHORT
29.01
2008-Jan-04
CNX METAL SHORT
56.14
2008-Jan-04
CNX MNC SHORT
3.97
2015-Mar-12
CNX NIFTY SHORT
5.97
2015-Mar-03
CNX PHARMA SHORT
8.25
2015-Apr-08
CNX PSE SHORT
26.16
2008-Jan-04
CNX REALTY SHORT
89.23
2008-Jan-14
Pharma and banks seem to be perking up.
And boy-oh-boy! MNCs have more or less covered their draw-down.

Correlation Update 23.05.2015

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.

Options Weekly 23.05.2015

Summary: May NIFTY 8800 calls added 1,005,250 contracts while 8300 calls shed 1,986,275. On the Put side of the equation, the 8400 strike added 3,969,100 while the 8200’s shed 2,116,550.

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

Opening Bell 22.05.2015

Your world at 9am

world.2015-05-22

Equities

Major
DAX(DEU) +0.14%
CAC(FRA) +0.26%
UKX(GBR) +0.09%
NKY(JPN) -0.15%
SPX(USA) +0.23%
MINTs
JCI(IDN) -0.19%
INMEX(MEX) -0.41%
NGSEINDX(NGA) -0.21%
XU030(TUR) -1.55%
BRICS
IBOV(BRA) +0.38%
SHCOMP(CHN) +1.66%
NIFTY(IND) -0.03%
INDEXCF(RUS) +1.37%
TOP40(ZAF) -0.16%

Commodities

Energy
Heating Oil -0.29%
Natural Gas +0.24%
WTI Crude Oil -0.30%
Brent Crude Oil -0.30%
Ethanol +0.32%
RBOB Gasoline -0.04%
Metals
Palladium +0.54%
Platinum +0.15%
Silver 5000oz +0.00%
Gold 100oz +0.00%
Copper +0.00%

Currencies

USDEUR:-0.20% USDJPY:-0.17%

MINTs
USDIDR(IDN) +0.10%
USDMXN(MEX) -0.08%
USDNGN(NGA) -1.03%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) +1.19%
USDCNY(CHN) -0.01%
USDINR(IND) -0.29%
USDRUB(RUS) -0.23%
USDZAR(ZAF) -0.03%
Agricultural
Lean Hogs +0.00%
Lumber -0.26%
Soybean Meal -0.03%
Sugar #11 -0.64%
Corn -0.14%
Cotton +0.13%
Feeder Cattle +0.00%
Soybeans -0.27%
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) -5.18%
Coffee (Robusta) +0.00%
Orange Juice +2.13%
Wheat +0.86%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM +0.23%
Markit CDX NA HY -0.06%
Markit CDX NA IG +0.52%
Markit iTraxx Asia ex-Japan IG -0.37%
Markit iTraxx Australia +0.29%
Markit iTraxx Europe +0.03%
Markit iTraxx Europe Crossover +0.00%
Markit iTraxx Japan -0.52%
Markit iTraxx SovX Western Europe -0.17%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.22%
The S&P 500 closed at a record high yesterday. Here’s what a trader had to say: “It doesn’t matter if we’re at an all-time high if there are just two guys trading a stock back and forth.” (Reuters)

Must reads

India to UN: It is our prerogative if we want to kill our forests and pollute our air. (ET)

Investments made by investors in NRIs, OCIs and PIOs from their rupee account (non-repatriation basis) in India will be treated as domestic investment. (DNA, #regulation)

FDI in e-commerce: nobody thought to ask the consumer. (LiveMint)

India’s microfinance industry increased its total loan portfolio 61% over the past financial year to a record high of $6bn — a remarkable turnround for an industry pushed to the brink of collapse five years ago. (FT) SKSMICRO 456.95 -2.70 (-0.59%)

Good luck and have a nice weekend!