Monthly Recap: The Unreliable Experts

world.2015-07-31.2015-08-31

Equities

Major
DAX(DEU) -11.53%
CAC(FRA) -10.53%
UKX(GBR) -8.87%
NKY(JPN) -11.75%
SPX(USA) -6.44%
MINTs
JCI(IDN) -8.12%
INMEX(MEX) -2.52%
NGSEINDX(NGA) -0.09%
XU030(TUR) -7.15%
BRICS
IBOV(BRA) -8.27%
SHCOMP(CHN) -13.57%
NIFTY(IND) -8.82%
INDEXCF(RUS) +2.53%
TOP40(ZAF) -6.33%

Commodities

Energy
Brent Crude Oil +1.55%
RBOB Gasoline -20.43%
Heating Oil +5.31%
Natural Gas -0.11%
WTI Crude Oil +2.13%
Ethanol -2.80%
Metals
Copper -2.53%
Gold 100oz +3.98%
Platinum +2.33%
Silver 5000oz -2.01%
Palladium -3.68%

Currencies

USDEUR:-2.46% USDJPY:-3.07%

MINTs
USDIDR(IDN) +4.13%
USDMXN(MEX) +4.51%
USDNGN(NGA) +0.18%
USDTRY(TUR) +5.21%
BRICS
USDBRL(BRA) +5.63%
USDCNY(CHN) +2.49%
USDINR(IND) +3.39%
USDRUB(RUS) +5.67%
USDZAR(ZAF) +5.15%
Agricultural
Coffee (Robusta) -10.83%
White Sugar -3.49%
Coffee (Arabica) -4.25%
Cotton -0.87%
Orange Juice +5.07%
Sugar #11 -3.86%
Wheat -2.76%
Cattle -1.92%
Cocoa -1.60%
Corn -2.89%
Feeder Cattle -4.25%
Soybeans -8.96%
Lean Hogs -13.32%
Lumber -7.58%
Soybean Meal -9.85%

Credit Indices

Index Change
Markit CDX EM -1.30%
Markit CDX NA HY -1.26%
Markit CDX NA IG +8.97%
Markit iTraxx Asia ex-Japan IG +20.22%
Markit iTraxx Australia +10.82%
Markit iTraxx Europe +7.90%
Markit iTraxx Europe Crossover +35.71%
Markit iTraxx Japan +3.62%
Markit iTraxx SovX Western Europe +0.08%
Markit LCDX (Loan CDS) -0.14%
Markit MCDX (Municipal CDS) +3.22%
All major indices suffered huge losses. The dollar rallied, commodities fell and investors fled risk-assets.

Oil

oil_fut_chart_august_2015

With oil down about 57 per cent from its peak last June, and copper and iron ore down about 50 and 70 per cent respectively from their peaks in early 2011, it has become clear that story was profoundly misleading. Whether or not the supercycle exists, the regular old cycle definitely does, and there is nothing very super about it at all.

Why the commodities super cycle was a myth

USDINR

usd_fut_chart_august_2015

Nifty Heatmap

CNX NIFTY.2015-07-31.2015-08-31

Index Returns

index.performance.2015-07-31.2015-08-31

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -10.15% 69/68
2 -9.65% 53/83
3 -11.73% 45/92
4 -10.91% 50/86
5 -11.00% 46/90
6 -8.71% 51/86
7 -6.63% 56/80
8 -5.76% 57/80
9 -6.01% 61/75
10 (mega) -4.25% 72/65
Midcaps bore the brunt…

Top Winners and Losers

LUPIN +14.08%
GLENMARK +14.12%
DIVISLAB +20.52%
VEDL -24.26%
HINDALCO -23.91%
RELCAPITAL -19.41%
Pharma vastly out-performed the cyclicals and commodity players…

ETF Performance

GOLDBEES +7.12%
JUNIORBEES -3.41%
NIFTYBEES -6.44%
PSUBNKBEES -6.53%
BANKBEES -8.55%
INFRABEES -10.30%
CPSEETF -12.67%
Gold caught a safe-haven bid…

Yield Curve

yieldCurve.2015-07-31.2015-08-31

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.01 +0.73%
5 10 -0.03 +0.77%
10 15 -0.08 +1.25%
15 20 -0.04 +0.98%
20 30 -0.02 +0.89%
Yields went down a smidgen…

Investment Theme Performance

The only strategy that ended in the green was low-vol…

Equity Mutual Funds

Bond Mutual Funds

FII and DII Activity

fii-investments.2014-01-01.2015-08-31

dii-investments.2014-01-01.2015-08-31

FII’s pulled out more than $2.5bn from the Indian markets. DII’s barely lent any support.

Thought to sum up the month

What ails the truth is that it is mainly uncomfortable, and often dull. The human mind seeks something more amusing, and more caressing.

Source: The Unreliable Experts: getting in the way of outstanding performance

Opening Bell 01.09.2015

Your world at 9am

world.2015-09-01

Equities

Major
DAX(DEU) -0.38%
CAC(FRA) -0.47%
UKX(GBR) +0.90%
NKY(JPN) -2.38%
SPX(USA) -0.84%
MINTs
JCI(IDN) -1.31%
INMEX(MEX) +1.06%
NGSEINDX(NGA) +2.96%
XU030(TUR) +0.78%
BRICS
IBOV(BRA) -1.12%
SHCOMP(CHN) -1.88%
NIFTY(IND) -0.38%
INDEXCF(RUS) +0.81%
TOP40(ZAF) -0.08%

Commodities

Energy
Brent Crude Oil -2.64%
Heating Oil -2.19%
WTI Crude Oil -2.87%
Ethanol +0.00%
Natural Gas +0.15%
RBOB Gasoline -1.99%
Metals
Copper -0.68%
Platinum -0.03%
Silver 5000oz +0.54%
Palladium -1.30%
Gold 100oz +0.62%

Currencies

USDEUR:-0.54% USDJPY:-0.41%

MINTs
USDIDR(IDN) -0.11%
USDMXN(MEX) +0.15%
USDNGN(NGA) +0.17%
USDTRY(TUR) -0.07%
BRICS
USDBRL(BRA) +1.09%
USDCNY(CHN) -0.15%
USDINR(IND) +0.48%
USDRUB(RUS) +1.09%
USDZAR(ZAF) -0.10%
Agricultural
Cattle +0.00%
Cocoa +0.00%
Orange Juice +0.00%
White Sugar +0.00%
Coffee (Robusta) +0.00%
Corn -0.55%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber -0.51%
Soybean Meal -0.28%
Coffee (Arabica) +0.46%
Cotton +0.00%
Soybeans -0.67%
Sugar #11 -3.01%
Wheat +0.00%

Must reads

Oil prices have rocketed more than 25% in three trading sessions. (FT)

The index of eight core industries again saw a fall in its rate of growth, falling to 1.1% in July compared to 3% in the previous month. The silver-lining, however, is that gross value-added has perked up sharply from 6.1% in Jan-Mar to 7.1% in the Apr-Jun. (HBL, LiveMint, #economy)

JP Morgan MF capped redemptions in two of its short-term debt funds. (BS, #fund)

Good luck!

Options Daily 01.09.2015

Summary: Sep NIFTY 8000 calls added 344,875 contracts while 8700 calls shed 121,200. On the Put side of the equation, the 7200 strike added 708,650 while the 8300’s shed 49,250.

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

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

Opening Bell 31.08.2015

Your world at 9am

world.2015-08-31

Equities

Major
DAX(DEU) -0.17%
CAC(FRA) +0.36%
UKX(GBR) +0.90%
NKY(JPN) -1.05%
SPX(USA) +0.06%
MINTs
JCI(IDN) +0.58%
INMEX(MEX) -0.33%
NGSEINDX(NGA) +2.16%
XU030(TUR) -0.29%
BRICS
IBOV(BRA) -1.18%
SHCOMP(CHN) -2.65%
NIFTY(IND) +0.67%
INDEXCF(RUS) +1.41%
TOP40(ZAF) +1.74%

Commodities

Energy
Heating Oil -1.39%
Brent Crude Oil -1.94%
Natural Gas -1.69%
WTI Crude Oil -1.77%
Ethanol +0.91%
RBOB Gasoline +4.25%
Metals
Copper -0.94%
Gold 100oz +0.02%
Palladium -1.52%
Platinum -1.29%
Silver 5000oz -0.14%

Currencies

USDEUR:-0.45% USDJPY:-0.49%

MINTs
USDIDR(IDN) +0.39%
USDMXN(MEX) +0.27%
USDNGN(NGA) +0.04%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) +0.78%
USDCNY(CHN) -0.19%
USDINR(IND) +0.18%
USDRUB(RUS) +0.55%
USDZAR(ZAF) +0.12%
Agricultural
Lean Hogs -0.19%
Lumber -2.19%
Cattle +0.99%
Cocoa +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle -3.39%
Soybean Meal -0.09%
White Sugar +0.00%
Corn +0.21%
Cotton +0.00%
Sugar #11 -1.18%
Wheat -0.05%
Coffee (Arabica) -0.37%
Orange Juice +0.00%
Soybeans -0.14%

Credit Indices

Index Change
Markit CDX EM +0.89%
Markit CDX NA HY +0.49%
Markit CDX NA IG -2.47%
Markit iTraxx Asia ex-Japan IG -8.00%
Markit iTraxx Australia -6.96%
Markit iTraxx Europe -2.42%
Markit iTraxx Europe Crossover -17.40%
Markit iTraxx Japan -3.92%
Markit iTraxx SovX Western Europe -0.69%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -1.24%
Risk ON/OFF?

Must reads

Rajan hints at rate cut. (HBL, #rates)

The government is paying lip service to the need to press ahead with the unfinished economic reforms agenda. (LiveMint, #economy)

The Social Democratic Republic of Americal? (P&F)

Good luck!

Options Daily 31.08.2015

Summary: Sep NIFTY 8300 calls added 748,325 contracts while 8800 calls shed 133,000. On the Put side of the equation, the 7400 strike added 1,325,575 while the 8200’s shed 41,925.

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

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.