Your Money – Page 15

Theme: High Beta Update 03.06.2016

stockviz June 3, 2016June 3, 2016

	held since	returns (%)
CANBK	2013-Oct-28	-22.11
CENTURYTEX	2015-Dec-23	+8.36
RELINFRA	2015-Dec-23	+12.66
RELCAPITAL	2015-Dec-23	-0.67
ARVIND	2015-Dec-23	-5.11
TATASTEEL	2015-Dec-23	+28.32
UNIONBANK	2015-Dec-23	-23.55
DLF	2015-Dec-23	+16.32
VEDL	2015-Dec-23	+23.34
RCOM	2015-Dec-23	-35.49
SUZLON	2015-Dec-23	-17.46
GMRINFRA	2015-Dec-23	-27.01
TATAELXSI	2016-Jan-25	-2.31
ADANIPOWER	2016-Jan-25	+5.25
BANKBARODA	2016-Feb-26	+5.38
HINDALCO	2016-Feb-26	+51.33
WOCKPHARMA	2016-Mar-29	-2.16
IDBI	2016-Mar-29	-6.27
TATAMOTORS	2016-May-02	+9.47
DHFL	2016-May-02	-4.65

Since the last rebalance on 2016-May-02 till 2016-Jun-02, this strategy has returned -1.99%

You can find more details about the High Beta Theme here.

Categories Your Money Tags High Beta, theme

Monthly Recap: May you live in Interesting Times…

shyam June 1, 2016June 1, 2016

Equities

Major
DAX(DEU)	+1.50%
CAC(FRA)	+0.92%
UKX(GBR)	-1.16%
NKY(JPN)	+1.74%
SPX(USA)	+2.15%

MINTs
JCI(IDN)	+0.02%
INMEX(MEX)	-1.61%
NGSEINDX(NGA)	+7.83%
XU030(TUR)	-9.43%

BRICS
IBOV(BRA)	-9.81%
SHCOMP(CHN)	-0.84%
NIFTY(IND)	+4.21%
INDEXCF(RUS)	-2.70%
TOP40(ZAF)	+2.50%

Commodities

Energy
Ethanol	+6.67%
Heating Oil	+7.38%
Natural Gas	+7.49%
Brent Crude Oil	+2.90%
RBOB Gasoline	+0.68%
WTI Crude Oil	+6.55%

Metals
Copper	-7.49%
Platinum	-8.82%
Silver 5000oz	-10.11%
Gold 100oz	-5.52%
Palladium	-12.65%

Currencies

USDEUR:+2.47% USDJPY:+2.45%

MINTs
USDIDR(IDN)	+3.65%
USDMXN(MEX)	+7.17%
USDNGN(NGA)	+0.00%
USDTRY(TUR)	+5.40%

BRICS
USDBRL(BRA)	+4.23%
USDCNY(CHN)	+1.54%
USDINR(IND)	+1.69%
USDRUB(RUS)	+3.25%
USDZAR(ZAF)	+10.07%

Agricultural
Lean Hogs	+3.33%
Lumber	+2.78%
Orange Juice	+20.00%
Wheat	-2.56%
White Sugar	+2.88%
Coffee (Robusta)	+6.04%
Corn	+2.81%
Cotton	+0.28%
Soybean Meal	+18.55%
Soybeans	+5.17%
Cattle	-2.34%
Cocoa	-3.81%
Coffee (Arabica)	+1.70%
Feeder Cattle	+5.01%
Sugar #11	+7.46%

Credit Indices

Index	Change
Markit CDX EM	-0.78%
Markit CDX NA HY	-0.24%
Markit CDX NA IG	+0.19%
Markit iTraxx Asia ex-Japan IG	+0.55%
Markit iTraxx Australia	-4.39%
Markit iTraxx Europe	-0.16%
Markit iTraxx Europe Crossover	+3.18%
Markit iTraxx Japan	-4.31%
Markit MCDX (Municipal CDS)	-2.00%

The US Dollar rallied, NIFTY was the best performing equity index…

International ETFs (USD)

Nifty Heatmap

Index Returns

Market Cap Decile Performance

Top Winners and Losers

PIDILITIND	+17.11%
LT	+17.45%
SRTRANSFIN	+25.19%
ADANIPORTS	-19.33%
RCOM	-16.46%
CIPLA	-11.98%

Mirroring the performance of sector indices…

ETF Performance

INFRABEES	+5.44%
BANKBEES	+4.88%
NIFTYBEES	+3.96%
JUNIORBEES	+2.15%
PSUBNKBEES	+0.93%
CPSEETF	-1.09%
GOLDBEES	-2.63%

Infrastructure caught a bid. But for how long?

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.03	+0.73%
5 10	-0.01	+0.73%
10 15	-0.10	+1.38%
15 20	-0.00	+0.71%
20 30	-0.01	+0.79%

Bonds put in a decent performance…

Investment Theme Performance

Low Beta	+6.53%
Tactical CNX 100	+3.05%
Enterprise Yield	+2.73%
Low Volatility	+2.72%
Acceleration	+2.44%
HighIR Momentum	+1.61%
Balance Sheet Strength	+1.09%
Financial Strength Value	+0.43%
Quality to Price	+0.21%
Magic Formula	-0.23%
High Beta	-1.50%
High Sharpe	-3.46%
Velocity	-4.45%
Momentum	-4.60%
High Alpha	-5.27%

Low Beta/Volatility outperformed momentum…

Equity Mutual Funds

Best
JM Core 11 Fund – Growth option	+9.70%
Escorts Tax Plan-Growth	+6.85%
DSP BlackRock 3 Years Close Ended Equity Fund – Regular Plan – Growth	+6.21%
Sundaram Rural India Fund Growth	+5.91%
Reliance Mid & Small Cap Fund -Growth Plan -Growth Option	+5.47%
Birla Sun Life Small & Midcap Fund – GROWTH	+5.42%
HSBC Equity Fund – Growth	+5.39%

Worst
SBI PSU Fund – REGULAR PLAN -Growth	-0.49%
Axis Triple Advantage Fund – Growth Option	-0.59%
IDFC Infrastructure Fund-Regular Plan-Growth	-0.64%
SBI Smal & Midcap – Regular Plan – Growth	-1.18%
HSBC Progressive Themes Fund – Growth	-1.96%
Baroda Pioneer PSU Equity Fund- Plan A – Growth Option	-2.24%
Principal Global Opportunities Fund-Growth Option	-2.34%

Bond Mutual Funds

Best
SBI Dynamic Bond Fund – REGULAR PLAN – Growth (Previously Magnum NRI – LTP Upto 22/11/09)	+0.83%
SBI Magnum Income Fund-REGULAR PLAN-Growth	+0.73%
ICICI Prudential Short Term Gilt Fund – Growth	+0.73%
Indiabulls Income Fund – Regular Plan – Growth Option	+0.66%
HDFC Gilt Fund-Short Term-Growth	+0.64%
IDFC GSF-Provident Fund-Regular Plan-Growth	+0.64%
Birla Sun Life Treasury Optimizer Plan – Discipline Advantage Plan – Growth	+0.63%

Worst
Sundaram Bond Saver-Growth	+0.22%
Canara Robeco Gilt PGS – Regular Plan – Growth	+0.19%
L&T Gilt Fund-Growth	+0.19%
Canara Robeco Dynamic Bond Fund – Regular Plan – Growth	+0.13%
Birla Sun Life Income Plus – Growth – Regular Plan	+0.09%
JM G-Sec Fund – Growth Option	+0.08%
IDBI Gilt Fund Growth	-0.05%

Indian bonds are cheap…

Institutional flows

Book of the Month

Everything is interpreted through the prism of our own experiences.

The Confidence Game: Why We Fall for It… Every Time by Maria Konnikova (Amazon)

Categories Your Money Tags monthly

Trading Day of Month Returns

shyam May 30, 2016May 30, 2016

An analysis of daily returns of the NIFTY 50 index between 1998 and 2015 shows that:

The first few and the last few trading days of a month are the best days to be long.
Middle of the month returns are more volatile and, on an average, negative.
Cumulative returns of a strategy that is long on the first 5 and the last 5 days of the month and short the others is 1,112.154% vs. 636.1821% of a buy and hold strategy.

Further reading: An Anatomy of Calendar Effects (SSRN)

Categories Investing Insight, Your Money Tags NIFTY, quant

When we back-test a strategy against the historical prices of an instrument, say, the NIFTY 50 index, we have to keep in mind that historical values are just one path of the many paths that the instrument could have taken.

For example, 10 tosses of a fair coin can result in TTTTTFFFFF and TFTFTFTFTF with equal probability. If your strategy is path dependent (as most strategies are,) then just because it was successful in one trial (historical prices) doesn’t mean that it would have been successful in all (or majority) of them.

The simple thing to do after a successful back-test against historical prices is to run a Monte Carlo simulation to check if the strategy comes out ahead in most of them. This can be setup by assuming returns are normally distributed and running a simulation using the mean and standard deviation of the sample.

For instance, in the recent past, daily NIFTY 50 returns have exhibited a mean of -0.0003742873 and std. dev. of 0.01079387. When you run a simulation and plot the results over the actual closing prices of the index, you get the resulting chart:

How many of these paths will result in a total equity wipeout of the back-tested strategy?

Categories Investing Insight, Your Money Tags quant

Theme: Low Volatility Update 09.05.2016

stockviz May 9, 2016May 12, 2016

	held since	returns (%)
WIPRO	2014-May-02	+3.59
ACC	2015-Dec-31	+6.69
HDFCBANK	2015-Dec-31	+5.40
INDUSINDBK	2015-Dec-31	+8.78
CIPLA	2015-Dec-31	-14.43
PIDILITIND	2015-Dec-31	+7.10
COLPAL	2016-Feb-01	-1.47
CASTROLIND	2016-Feb-01	+2.75
CRISIL	2016-Mar-04	+11.96
HDFC	2016-Mar-04	+6.80
ASIANPAINT	2016-Mar-04	+5.00
HINDUNILVR	2016-Mar-04	-0.37
DABUR	2016-Mar-04	+14.18
POWERGRID	2016-Mar-04	+3.96
INFY	2016-Apr-05	-2.25
RELIANCE	2016-Apr-05	-4.65
HCLTECH	2016-Apr-05	-14.83
BIOCON	2016-Apr-05	+14.86
TATACHEM	2016-Apr-05	+11.53
OIL	2016-Apr-05	+5.43

Since the last rebalance on 2016-Apr-05 till 2016-May-06, this strategy has returned +3.97%

You can find more details about the Low Volatility Theme here.

Categories Your Money Tags Low Volatility, theme

Category: Your Money