Weekly Recap: Experience vs. Memory

world.2015-03-20.2015-03-27

Equities

Major
DAX(DEU) -1.42%
CAC(FRA) -1.05%
UKX(GBR) -2.39%
NKY(JPN) -1.40%
SPX(USA) -2.43%
MINTs
JCI(IDN) -0.85%
INMEX(MEX) -1.38%
NGSEINDX(NGA) +4.19%
XU030(TUR) -2.11%
BRICS
IBOV(BRA) -3.75%
SHCOMP(CHN) +2.04%
NIFTY(IND) -2.68%
INDEXCF(RUS) -3.51%
TOP40(ZAF) -1.96%

Commodities

Energy
Ethanol +0.20%
WTI Crude Oil +5.63%
Brent Crude Oil +2.21%
Natural Gas -4.59%
Heating Oil -0.01%
RBOB Gasoline +0.28%
Metals
Copper -0.36%
Gold 100oz +1.09%
Silver 5000oz +1.19%
Palladium -5.09%
Platinum +0.08%

Currencies

USDEUR:-0.58% USDJPY:-0.86%

MINTs
USDIDR(IDN) -0.45%
USDMXN(MEX) +1.29%
USDNGN(NGA) -0.10%
USDTRY(TUR) +1.33%
BRICS
USDBRL(BRA) +0.48%
USDCNY(CHN) +0.18%
USDINR(IND) -0.08%
USDRUB(RUS) -2.49%
USDZAR(ZAF) +0.06%
Agricultural
Cattle +2.56%
Corn +1.36%
Feeder Cattle +1.78%
Wheat -4.05%
Cotton +0.92%
Soybeans -0.46%
Sugar #11 -4.65%
White Sugar -1.91%
Coffee (Arabica) -3.53%
Coffee (Robusta) -0.66%
Lumber +0.28%
Soybean Meal -0.68%
Cocoa -1.29%
Lean Hogs +4.79%
Orange Juice +10.93%

Credit Indices

Index Change
Markit CDX EM +0.62%
Markit CDX NA HY +0.09%
Markit CDX NA IG +0.79%
Markit iTraxx Asia ex-Japan IG -1.54%
Markit iTraxx Australia -0.45%
Markit iTraxx Europe -1.36%
Markit iTraxx Europe Crossover -1.06%
Markit iTraxx Japan -1.24%
Markit iTraxx SovX Western Europe -0.42%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +1.48%
It was a sea of red ink in the markets this week. Oil gyrated and the US Dollar ended mixed.

Nifty Heatmap

CNX NIFTY.2015-03-20.2015-03-27

Index Returns

index performance.2015-03-20.2015-03-27

Sector Performance

sector performance.2015-03-20.2015-03-27

Advance Decline

advance.decline.line2.2015-03-20.2015-03-27

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -12.20% 58/76
2 -8.87% 52/81
3 -7.74% 50/83
4 -7.73% 52/81
5 -6.92% 54/79
6 -6.81% 57/77
7 -5.57% 47/86
8 -5.34% 56/77
9 -3.95% 62/71
10 (mega) -3.40% 68/66
Stocks across the board got shellacked…

Top Winners and Losers

BPCL +3.10%
AUROPHARMA +3.97%
UPL +4.30%
PNB -9.89%
SRTRANSFIN -9.15%
BOSCHLTD -7.88%
Momentum names were hurt the most…

ETF Performance

GOLDBEES +1.61%
INFRABEES -1.04%
CPSEETF -2.44%
NIFTYBEES -2.71%
BANKBEES -3.15%
JUNIORBEES -3.24%
PSUBNKBEES -5.50%
PSU banks are yet to fully acknowledge the full extent of NPAs. Also, who is going to fill the holes in their balance-sheets?

Yield Curve

yield Curve.2015-03-20.2015-03-27

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB +0.35 +0.03%
GSEC SUB 1-3 +0.38 -0.33%
GSEC SUB 3-8 +0.12 -0.80%
GSEC SUB 8 +0.04 -0.54%
The long end of the curve came under a bit of pressure…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought to sum up the week

Our “experiencing selves” and our “remembering selves” perceive facts differently.

Index Update 28.03.2015

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 2015-03-27 png

index momentum best 50 2015-03-27 png

index momentum worst 365 2015-03-27 png

index momentum worst 50 2015-03-27 png

Refactored Index Performance

50-day performance, from January 15, 2015 through March 27, 2015:

Correlation Update 28.03.2015

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 28.03.2015

Summary: Apr NIFTY 8600 calls added 2,486,125 contracts while 9500 calls shed 545,425. On the Put side of the equation, the 8400 strike added 1,637,950 while the 9100’s shed 145,200.

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

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

Opening Bell 27.03.2015

Your world at 9am

world.2015-03-27

Equities

Major
DAX(DEU) -0.18%
CAC(FRA) -0.29%
UKX(GBR) -1.37%
NKY(JPN) +0.48%
SPX(USA) -0.24%
MINTs
JCI(IDN) +0.18%
INMEX(MEX) -0.98%
NGSEINDX(NGA) +0.61%
XU030(TUR) -1.51%
BRICS
IBOV(BRA) -2.47%
SHCOMP(CHN) -0.33%
NIFTY(IND) -2.21%
INDEXCF(RUS) -2.08%
TOP40(ZAF) -1.55%

Commodities

Energy
Brent Crude Oil -1.59%
Ethanol +0.00%
Heating Oil -0.70%
Natural Gas -0.45%
RBOB Gasoline -1.39%
WTI Crude Oil -1.96%
Metals
Copper -0.58%
Gold 100oz +0.00%
Palladium -0.80%
Platinum -0.34%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.00% USDJPY:+0.08%

MINTs
USDIDR(IDN) +0.37%
USDMXN(MEX) -0.04%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.32%
BRICS
USDBRL(BRA) -0.56%
USDCNY(CHN) +0.08%
USDINR(IND) +0.19%
USDRUB(RUS) +0.08%
USDZAR(ZAF) -0.04%
Agricultural
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn +0.19%
Lumber +0.63%
Soybeans -0.13%
Wheat +0.30%
Cocoa +0.00%
Coffee (Arabica) +0.07%
Cotton -0.03%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Sugar #11 -1.20%
White Sugar +0.00%
Orange Juice -2.33%
Soybean Meal -0.09%

Credit Indices

Index Change
Markit CDX EM -0.33%
Markit CDX NA HY -0.19%
Markit CDX NA IG +1.76%
Markit iTraxx Asia ex-Japan IG +0.27%
Markit iTraxx Australia +0.00%
Markit iTraxx Europe +0.60%
Markit iTraxx Europe Crossover +6.81%
Markit iTraxx Japan -0.07%
Markit iTraxx SovX Western Europe +0.14%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +0.99%
What a mess…

Must reads

Do IPOs make sense for retail investors? No. #savedyouaclick (LiveMint, #ipo)

Goldman Sachs said in an overnight note that the strikes in Yemen would have little effect on oil supplies as the country was only a small crude exporter and tankers could avoid passing its waters to reach their ports of destination. (EuroNews)

The ability to digest milk may explain how Europe got rich. (Economist)

Good luck and have a nice weekend!