Quarterly Recap: January-March 2015

world.2014-12-31.2015-3-31

Equities

Major
DAX(DEU) +22.03%
CAC(FRA) +17.81%
UKX(GBR) +3.15%
NKY(JPN) +9.07%
SPX(USA) -0.39%
MINTs
JCI(IDN) +4.42%
INMEX(MEX) +1.58%
NGSEINDX(NGA) -8.38%
XU030(TUR) -6.67%
BRICS
IBOV(BRA) +2.29%
SHCOMP(CHN) +17.47%
NIFTY(IND) +2.28%
INDEXCF(RUS) +16.44%
TOP40(ZAF) +4.66%

Commodities

Energy
Natural Gas -10.56%
RBOB Gasoline +23.79%
Brent Crude Oil -3.03%
Ethanol -7.64%
Heating Oil -8.72%
WTI Crude Oil -10.42%
Metals
Gold 100oz -0.07%
Palladium -7.66%
Platinum -5.79%
Silver 5000oz +5.73%
Copper -3.17%

Currencies

USDEUR:+12.23% USDJPY:-0.20%

MINTs
USDIDR(IDN) +5.09%
USDMXN(MEX) +3.29%
USDNGN(NGA) +8.49%
USDTRY(TUR) +10.93%
BRICS
USDBRL(BRA) +20.28%
USDCNY(CHN) -0.15%
USDINR(IND) -0.87%
USDRUB(RUS) +0.00%
USDZAR(ZAF) +4.56%
Agricultural
Cocoa -3.70%
Lean Hogs -23.73%
Lumber -16.98%
Soybean Meal -9.07%
Cattle -2.64%
Coffee (Arabica) -21.60%
Corn -5.31%
Feeder Cattle -0.42%
Orange Juice -11.80%
Sugar #11 -17.63%
White Sugar -9.27%
Coffee (Robusta) -10.31%
Cotton +3.69%
Soybeans -3.67%
Wheat -12.19%

Credit Indices

Index Change
Markit CDX EM -2.01%
Markit CDX NA HY +1.59%
Markit CDX NA IG -1.99%
Markit iTraxx Asia ex-Japan IG -2.45%
Markit iTraxx Australia -11.70%
Markit iTraxx Europe -12.30%
Markit iTraxx Europe Crossover -79.11%
Markit iTraxx Japan -13.85%
Markit iTraxx SovX Western Europe -4.07%
Markit LCDX (Loan CDS) +0.17%
Markit MCDX (Municipal CDS) +6.37%
The Nifty managed to squeeze out a dribble of green but was nowhere near the best performing market Germany that clocked in a QE induced +22.03% whopper.

Index Returns

index performance.2014-12-31.2015-3-31

Advance Decline

advance.decline.line2.2014-12-31.2015-3-31

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -16.75% 60/74
2 -9.15% 54/79
3 -8.44% 55/78
4 -5.13% 55/78
5 -2.03% 52/81
6 +1.01% 65/68
7 +6.19% 69/64
8 +6.27% 76/57
9 +5.97% 72/61
10 (mega) +5.01% 68/66
Large-caps out-performed small-caps.

Top Winners and Losers

BHARATFORG +35.22%
LUPIN +40.65%
SIEMENS +53.97%
BANKINDIA -35.11%
UNIONBANK -34.63%
PNB -34.09%
PSU banks got rightfully pummeled. You know shit is bad when government employees stage a dharna on NPAs.

ETF Performance

INFRABEES +9.96%
JUNIORBEES +4.03%
NIFTYBEES +1.43%
GOLDBEES -2.65%
CPSEETF -3.16%
BANKBEES -4.48%
PSUBNKBEES -19.79%
Infrastructure was a surprise winner…

Yield Curve

yield Curve.2014-12-31.2015-3-31

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.30 +2.03%
GSEC SUB 1-3 -0.53 +1.43%
GSEC SUB 3-8 -0.10 +2.45%
GSEC SUB 8 -0.19 +2.27%
Rate cuts and lower inflation gave bonds a boost…

Investment Theme Performance

Momentum worked, low volatility worked better. High beta was left behind. Quality-to-price out-performed midcaps…

Equity Mutual Funds

Bond Mutual Funds

Refactored Indices

Housekeeping

A number of cool things happened on StockViz this quarter:

  1. We released our Android app. It is plain torture to develop. Hope you find it useful.
  2. We moved our website to SSL to ensure that your browsing is encrypted.
  3. We have a tax report that our investors will find useful during filing time. We will soon have tools that will optimize your trades with taxes in mind.

Opening Bell 01.04.2015

Your world at 9am

world.2015-04-01

Equities

Major
DAX(DEU) -0.99%
CAC(FRA) -0.98%
UKX(GBR) -1.72%
NKY(JPN) -0.89%
SPX(USA) -0.88%
MINTs
JCI(IDN) -0.92%
INMEX(MEX) -0.40%
NGSEINDX(NGA) +2.13%
XU030(TUR) -1.89%
BRICS
IBOV(BRA) -0.18%
SHCOMP(CHN) +0.80%
NIFTY(IND) -0.02%
INDEXCF(RUS) +0.83%
TOP40(ZAF) -0.60%

Commodities

Energy
Brent Crude Oil -0.20%
Ethanol +0.00%
Heating Oil -0.40%
Natural Gas +0.00%
RBOB Gasoline +0.00%
WTI Crude Oil -0.60%
Metals
Copper +0.10%
Gold 100oz +0.50%
Palladium +0.30%
Platinum +0.00%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.40% USDJPY:-0.41%

MINTs
USDIDR(IDN) -0.32%
USDMXN(MEX) -0.11%
USDNGN(NGA) -0.12%
USDTRY(TUR) -0.08%
BRICS
USDBRL(BRA) -1.03%
USDCNY(CHN) -0.07%
USDINR(IND) -0.29%
USDRUB(RUS) -0.12%
USDZAR(ZAF) -0.26%
Agricultural
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber -1.00%
White Sugar +0.00%
Coffee (Robusta) +0.00%
Corn +0.70%
Cotton -0.20%
Sugar #11 +0.20%
Cattle +0.00%
Coffee (Arabica) +0.20%
Soybean Meal +1.00%
Cocoa +0.00%
Orange Juice -4.50%
Soybeans +1.00%
Wheat +0.80%

Credit Indices

Index Change
Markit CDX EM +0.11%
Markit CDX NA HY +0.24%
Markit CDX NA IG -0.62%
Markit iTraxx Asia ex-Japan IG -2.11%
Markit iTraxx Australia -0.99%
Markit iTraxx Europe -0.23%
Markit iTraxx Europe Crossover -0.39%
Markit iTraxx Japan -0.77%
Markit iTraxx SovX Western Europe -0.16%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +0.00%
Bank holiday today, plus markets are closed tomorrow and day-after. Expect volumes to be thin…

Must reads

The EPFO will invest over Rs8,000 crore in ETFs that reflect the Indian economy by the end of 31 March 2016. (LiveMint)

Growth in India’s core sector slumped to 1.4%, a 16-month low, in February. (ET, #economy)

Name and shame: The Income Tax department published names of 18 entities who owe over Rs 500 crore tax to the exchequer. (NDTV)

Good luck and have a nice long weekend!

Options Daily 01.04.2015

Summary: Apr NIFTY 8800 calls added 483,925 contracts while 8600 calls shed 138,725. On the Put side of the equation, the 8300 strike added 529,400 while the 8400’s shed 130,350.

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 31.03.2015

Your world at 9am

world.2015-03-31

Equities

Major
DAX(DEU) +1.83%
CAC(FRA) +0.98%
UKX(GBR) +0.53%
NKY(JPN) -0.01%
SPX(USA) +1.22%
MINTs
JCI(IDN) +0.94%
INMEX(MEX) +0.67%
NGSEINDX(NGA) +1.73%
XU030(TUR) +1.67%
BRICS
IBOV(BRA) +2.29%
SHCOMP(CHN) +0.11%
NIFTY(IND) +1.81%
INDEXCF(RUS) +2.63%
TOP40(ZAF) +1.34%

Commodities

Energy
Brent Crude Oil -0.82%
Ethanol +0.00%
Heating Oil -0.66%
Natural Gas -0.26%
RBOB Gasoline -0.70%
WTI Crude Oil -1.29%
Metals
Copper +0.00%
Gold 100oz -0.15%
Palladium +0.60%
Platinum +0.27%
Silver 5000oz -0.04%

Currencies

USDEUR:+0.21% USDJPY:+0.07%

MINTs
USDIDR(IDN) +0.14%
USDMXN(MEX) +0.07%
USDNGN(NGA) -0.03%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) -0.61%
USDCNY(CHN) -0.06%
USDINR(IND) -0.13%
USDRUB(RUS) -0.13%
USDZAR(ZAF) -0.09%
Agricultural
Coffee (Robusta) +0.00%
Lean Hogs +0.00%
Orange Juice +1.92%
Soybean Meal -0.09%
White Sugar +0.00%
Corn -0.13%
Coffee (Arabica) -4.38%
Sugar #11 -1.32%
Wheat -0.05%
Cattle +0.00%
Cocoa +0.00%
Cotton +0.43%
Feeder Cattle +0.00%
Lumber +0.47%
Soybeans -0.05%

Must reads

Banks can now use more funds from their emergency reserves to provide for NPAs. RBI has allowed lenders to use up to 50% of their provisioning buffer at the end of December 2014 for making specific provisions for NPAs, as against the earlier norm of 33%. (TOI, #regulation)

SEBI has proposed a an ‘Alternate Capital Raising Platform’, which will allow start-ups to raise funding from institutions and high net worth individuals from the capital markets. Due to the risks involved, retail investors will not be allowed to invest in such companies. (FP, #SEBI)

Tata Motors Finance is venturing into financing of used trucks and construction equipment. It will offer credit on used vehicles it has in its possession through channels like exchange schemes or through re-possession from defaulters. (LiveMint) TATAMOTORS 566.10 15.90 (2.89%)

China has entered a period of “deindustrialization” and its slowdown to a GDP growth rate of 6 to 7 percent is a safe bet. (CS)

Good luck!