Weekly Recap: Illusion of Insight

world.2015-06-26.2015-07-03

Equities

Major
DAX(DEU) -3.78%
CAC(FRA) -4.96%
UKX(GBR) -2.49%
NKY(JPN) -0.80%
SPX(USA) -1.07%
MINTs
JCI(IDN) +1.22%
INMEX(MEX) -1.33%
NGSEINDX(NGA) -0.96%
XU030(TUR) -3.24%
BRICS
IBOV(BRA) -2.42%
SHCOMP(CHN) -12.07%
NIFTY(IND) +1.24%
INDEXCF(RUS) -0.78%
TOP40(ZAF) -1.49%

Commodities

Energy
Brent Crude Oil -4.66%
Ethanol +3.10%
Natural Gas +0.18%
WTI Crude Oil -6.97%
Heating Oil -3.60%
RBOB Gasoline -2.01%
Metals
Copper -1.13%
Palladium +0.78%
Platinum +0.21%
Gold 100oz -0.29%
Silver 5000oz -0.64%

Currencies

USDEUR:+0.51% USDJPY:-0.86%

MINTs
USDIDR(IDN) +0.09%
USDMXN(MEX) +0.96%
USDNGN(NGA) -0.03%
USDTRY(TUR) +0.95%
BRICS
USDBRL(BRA) +0.25%
USDCNY(CHN) -0.06%
USDINR(IND) -0.32%
USDRUB(RUS) +1.83%
USDZAR(ZAF) +0.82%
Agricultural
Corn +9.16%
Feeder Cattle +0.15%
Lean Hogs +4.63%
Lumber -1.60%
Cattle +2.02%
Cocoa -0.23%
Coffee (Arabica) -4.07%
Cotton +1.26%
Coffee (Robusta) -2.48%
Orange Juice -2.44%
Soybean Meal +4.91%
Soybeans +4.58%
Sugar #11 +6.14%
Wheat +4.59%
White Sugar +3.31%

Credit Indices

Index Change
Markit CDX EM -0.19%
Markit CDX NA HY +0.10%
Markit CDX NA IG +1.32%
Markit iTraxx Asia ex-Japan IG +5.12%
Markit iTraxx Australia +5.77%
Markit iTraxx Europe +6.41%
Markit iTraxx Europe Crossover +27.25%
Markit iTraxx Japan +0.68%
Markit iTraxx SovX Western Europe +2.22%
Markit LCDX (Loan CDS) -0.04%
Markit MCDX (Municipal CDS) +4.16%
The Nifty was one of the few global indices that ended this week in the green. Pretty much all markets were buffetted by the Greece drama. Shanghai had one of the worst weeks ever – Chinese regulators have allowed pretty much anything to be posted as collateral, the only thing that remains to be tried is outlawing falling stock prices.

Nifty Heatmap

CNX NIFTY.2015-06-26.2015-07-03

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index.performance.2015-06-26.2015-07-03

Sector Performance

sector performance.2015-06-26.2015-07-03

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +2.10% 64/67
2 +2.76% 71/59
3 +3.02% 72/59
4 +2.47% 68/62
5 +3.80% 76/55
6 +2.73% 67/63
7 +1.58% 69/62
8 +1.35% 67/63
9 +1.52% 63/68
10 (mega) +0.81% 72/59
Midcaps outperformed large-caps. Is this a sign of the market turning around?

Top Winners and Losers

AMBUJACEM +6.76%
BAJAJFINSV +12.09%
UBL +13.80%
TECHM -9.62%
HINDALCO -5.47%
BHARATFORG -3.67%
Who would’ve thunk that a cement stock can go up more than 6% in a week?

ETF Performance

BANKBEES +1.72%
JUNIORBEES +1.70%
PSUBNKBEES +1.02%
NIFTYBEES +0.88%
CPSEETF +0.56%
INFRABEES +0.36%
GOLDBEES -1.07%
Banks caught a bid. Gold sank.

Yield Curve

yield Curve.2015-06-26.2015-07-03

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.14 +0.12%
GSEC SUB 1-3 +0.16 -0.10%
GSEC SUB 3-8 +0.32 -1.27%
GSEC SUB 8 +0.19 -1.32%
The long end of the curve got creamed…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

People were more confident that they knew the answers — had the information in their heads — if they had access to [internet] search. It’s more like thinking you know how to fix a car if you have access to a mechanic.

Plus, searching the internet is almost effortless, and it’s almost always accessible. You never face your ignorance when it’s there. Because we’re so deeply plugged into it, we misattribute the connection to knowledge to actually having the knowledge ourselves.

Emotional investments can give people the illusion of insight.

Source: The Internet Makes You Think You’re Smarter Than You Are

Index Update 04.07.2015

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 2015-07-03 png

index momentum best 50 2015-07-03 png

index momentum worst 365 2015-07-03 png

index momentum worst 50 2015-07-03 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-03 png

Refactored Index Performance

50-day performance, from April 24, 2015 through July 03, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.66
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX ENERGY SHORT
25.33
2008-Jan-14
CNX FMCG LONG
9.20
2015-Feb-25
CNX INFRA LONG
46.95
2008-Jan-09
CNX IT LONG
88.27
2000-Feb-21
CNX MEDIA LONG
23.15
2008-Jan-04
CNX METAL LONG
58.71
2008-Jan-04
CNX MNC LONG
1.66
2015-Mar-12
CNX NIFTY SHORT
5.68
2015-Mar-03
CNX PHARMA LONG
11.32
2015-Apr-08
CNX PSE LONG
23.84
2008-Jan-04
CNX REALTY SHORT
90.35
2008-Jan-14
50-day performance turns green for most indices and the MNCs have more or less covered their draw-downs. Looks like financials and FMCG have found their mojo. Will the markets keep their trend?

Correlation Update 04.07.2015

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 04.07.2015

Summary: Jul NIFTY 8500 calls added 2,179,725 contracts while 8300 calls shed 316,075. On the Put side of the equation, the 8000 strike added 2,812,250 while the 8000’s shed 676,650.

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

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

Options Daily 03.07.2015

Summary: Jul NIFTY 8700 calls added 305,150 contracts while 8900 calls shed 103,025. On the Put side of the equation, the 8100 strike added 768,300 while the 8000’s shed 676,650.

Our trend model indicates a SHORT on the NIFTY and SHORT on the BANKNIFTY.

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

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