Category: Your Money

Theme: High Sharpe Update 09.05.2016

0
held since returns (%)
RAJESHEXPO
2015-Dec-23
-15.86
CHOLAFIN
2015-Dec-23
+40.41
MPHASIS
2015-Dec-23
-2.75
PETRONET
2015-Dec-23
+12.15
MARICO
2015-Dec-23
+8.69
ASHOKLEY
2015-Dec-23
+17.54
IGL
2016-Feb-01
+1.84
TATAELXSI
2016-Mar-04
-1.33
JSWSTEEL
2016-Mar-04
+11.66
WELSPUNIND
2016-Mar-04
+10.18
APLLTD
2016-Mar-04
-7.26
KANSAINER
2016-Mar-04
+4.10
TORNTPOWER
2016-Mar-04
+2.44
VAKRANGEE
2016-Mar-04
-13.55
BAJAJFINSV
2016-Apr-05
+7.21
GODREJCP
2016-Apr-05
-0.37
INFY
2016-Apr-05
-2.09
JUBILANT
2016-Apr-05
-3.96
RAMCOCEM
2016-Apr-05
+22.85
TVSMOTOR
2016-Apr-05
-4.89
Since the last rebalance on 2016-Apr-05 till 2016-May-06, this strategy has returned +1.70%

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

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Theme: High Alpha Update 09.05.2016

0
held since returns (%)
SRF
2015-Dec-23
+11.22
AUROPHARMA
2015-Dec-23
-5.71
HINDPETRO
2015-Dec-23
-1.06
APLLTD
2015-Dec-23
-15.23
RAJESHEXPO
2015-Dec-23
-15.77
VAKRANGEE
2015-Dec-23
+6.97
ASHOKLEY
2015-Dec-23
+17.23
TORNTPOWER
2016-Feb-01
-2.08
TATAELXSI
2016-Mar-04
-1.37
JSWSTEEL
2016-Mar-04
+11.45
WELSPUNIND
2016-Mar-04
+10.24
SKSMICRO
2016-Mar-04
+12.43
PETRONET
2016-Mar-04
+14.10
IGL
2016-Apr-05
+1.65
RELINFRA
2016-Apr-05
+0.61
MPHASIS
2016-Apr-05
+3.60
JUBILANT
2016-Apr-05
-2.99
RAMCOCEM
2016-Apr-05
+22.67
KANSAINER
2016-Apr-05
+5.11
TV18BRDCST
2016-Apr-05
-3.72
Since the last rebalance on 2016-Apr-05 till 2016-May-06, this strategy has returned +2.20%

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

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Theme: Low Beta Update 09.05.2016

0
held since returns (%)
BAJAJHLDNG
2015-Dec-23
-12.59
CARERATING
2015-Dec-23
-19.79
SKFINDIA
2015-Dec-23
+3.34
COLPAL
2015-Dec-23
-11.12
HINDUNILVR
2015-Dec-23
-0.35
SUPREMEIND
2015-Dec-23
+20.60
CHOLAFIN
2015-Dec-23
+42.20
MPHASIS
2015-Dec-23
-2.72
KARURVYSYA
2015-Dec-23
-1.75
CYIENT
2015-Dec-23
+1.16
TITAN
2015-Dec-23
+3.89
INDHOTEL
2015-Dec-23
-8.23
CUB
2015-Dec-23
+6.04
AIAENG
2016-Feb-01
+15.76
SHRIRAMCIT
2016-Mar-04
+11.78
SUNDARMFIN
2016-Mar-04
+8.67
EMAMILTD
2016-Mar-04
+8.76
TUBEINVEST
2016-Mar-04
+14.03
PIDILITIND
2016-Apr-05
+1.60
POWERGRID
2016-Apr-05
+3.05
Since the last rebalance on 2016-Apr-05 till 2016-May-06, this strategy has returned +3.86%

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

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Monthly Recap: April Angst

0

world.2016-03-31.2016-04-29

Equities

Major
DAX(DEU) +0.74%
CAC(FRA) +1.00%
UKX(GBR) +1.08%
NKY(JPN) -0.55%
SPX(USA) +0.22%
MINTs
JCI(IDN) -0.14%
INMEX(MEX) +0.12%
NGSEINDX(NGA) -0.96%
XU030(TUR) +2.39%
BRICS
IBOV(BRA) +7.81%
SHCOMP(CHN) -2.18%
NIFTY(IND) +1.44%
INDEXCF(RUS) +4.38%
TOP40(ZAF) +0.72%

Commodities

Energy
Natural Gas +9.63%
Brent Crude Oil +19.35%
WTI Crude Oil +18.78%
Ethanol +7.67%
Heating Oil +16.52%
RBOB Gasoline +12.21%
Metals
Gold 100oz +4.91%
Silver 5000oz +16.23%
Palladium +9.91%
Copper +3.65%
Platinum +10.43%

Currencies

USDEUR:-0.56% USDJPY:-5.32%

MINTs
USDIDR(IDN) -0.45%
USDMXN(MEX) -0.99%
USDNGN(NGA) -0.03%
USDTRY(TUR) -0.91%
BRICS
USDBRL(BRA) -4.40%
USDCNY(CHN) +0.38%
USDINR(IND) +0.12%
USDRUB(RUS) -3.34%
USDZAR(ZAF) -3.57%
Agricultural
Cattle -13.57%
Lean Hogs +14.21%
Soybean Meal +22.41%
Feeder Cattle -10.82%
Wheat +1.48%
Coffee (Arabica) -5.56%
Coffee (Robusta) +5.78%
Corn +11.55%
Cotton +8.51%
Lumber -5.54%
Orange Juice -12.86%
Soybeans +12.23%
Sugar #11 +6.16%
Cocoa +7.24%
White Sugar +5.30%

Credit Indices

Index Change
Markit CDX EM +0.60%
Markit CDX NA HY +0.89%
Markit CDX NA IG -4.40%
Markit iTraxx Asia ex-Japan IG -6.15%
Markit iTraxx Australia -9.74%
Markit iTraxx Europe -1.61%
Markit iTraxx Europe Crossover -9.50%
Markit iTraxx Japan -21.20%
Markit MCDX (Municipal CDS) +0.33%
An eventful month with the RBI cutting rates, ICICI dropping a bomb, BOJ holding off on more QE and oil recovering…

International ETFs (USD)

global.etf.performance.2016-03-31.2016-04-29

Nifty Heatmap

NIFTY 50.2016-03-31.2016-04-29

Index Returns

index.performance.2016-03-31.2016-04-29

Market Cap Decile Performance

deciles.perf.2016-04-29

Top Winners and Losers

UPL +12.60%
DLF +12.85%
VEDL +15.53%
NHPC -14.49%
BHARATFORG -8.59%
UBL -7.88%
High beta stocks rebounded from Jan/Feb lows…

ETF Performance

GOLDBEES +5.98%
BANKBEES +3.70%
JUNIORBEES +3.05%
INFRABEES +2.94%
CPSEETF +2.69%
PSUBNKBEES +1.03%
NIFTYBEES +0.49%
Is infra the next story?

Yield Curve

yieldCurve.2016-03-31.2016-04-29

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.05 +0.77%
5 10 -0.06 +0.92%
10 15 -0.04 +0.94%
15 20 -0.12 +1.75%
20 30 -0.08 +1.50%
Bonds rebounded…

Investment Theme Performance

Quality to Price +9.29%
Enterprise Yield +8.01%
Velocity +5.67%
High Beta +5.47%
Magic Formula +4.77%
Momentum +4.70%
Low Beta +4.23%
Low Volatility +4.11%
Balance Sheet Strength +4.00%
Financial Strength Value +3.56%
Acceleration +3.11%
High Alpha +2.64%
High Sharpe +2.57%
Tactical CNX 100 +1.76%
HighIR Momentum +0.44%
Midcap recovery under way…

Equity Mutual Funds

Best
SBI INFRASTRUCTURE FUND – SERIES I – REGULAR PLAN – GROWTH (6/7/2007) +7.11%
Escorts Leading Sectors Fund – Growth Option +6.49%
Sundaram Rural India Fund Growth +5.73%
SBI Magnum MIDCAP FUND – REGULAR PLAN – GROWTH +5.63%
SBI EMERGING BUSINESSES FUND – REGULAR PLAN -GROWTH +5.60%
Franklin India Smaller Companies Fund-Growth +5.59%
Escorts High Yield Equity Plan – Growth Option +5.41%
Worst
Baroda Pioneer PSU Equity Fund- Plan A – Growth Option +0.15%
Reliance Top 200 Fund- Growth Plan -Growth Option +0.05%
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth -0.01%
Franklin Asian Equity Fund – Growth Plan -0.04%
Birla Sun Life International Equity Fund – Plan A – Growth – Regular Plan -0.11%
DSP BlackRock India T.I.G.E.R. Fund – Regular Plan – Growth -0.17%
Sundaram Growth Fund-Growth -1.14%

Bond Mutual Funds

Best
Kotak Gilt-Investment Regular-Growth +1.53%
Kotak Gilt-Investment Provident Fund and Trust-Growth +1.53%
Kotak Bond-Plan A-Growth +1.42%
Kotak Bond-Deposit-Growth +1.42%
Principal Government Securities Fund-Growth +1.40%
ICICI Prudential Long Term Gilt Fund – Growth +1.39%
Reliance Gilt Securities Fund -Growth Plan – Growth Option +1.34%
Worst
Birla Sun Life Constant Maturity 10 Year Gilt Fund – Growth – Regular Plan +0.69%
Kotak Corporate Bond Fund- Standard Plan-Growth Option +0.67%
JM Income Fund – Growth Option +0.66%
Kotak Coporate Bond Fund- Retail Plan-Growth Option +0.65%
Religare Invesco Bank Debt Fund – Growth Option +0.57%
IIFL Dynamic Bond Fund – Regular Plan – Growth Option +0.55%
Taurus Dynamic Income Fund – Growth Option +0.52%

Institutional flows

FII’s seen renewing their love affair with Indian bonds…

fii-investments.2014-01-01.2016-04-29

dii-investments.2014-01-01.2016-04-29

US Treasuries

Gilts are in the process of normalizing.
ust-ind-10yr-spread.2014-01-01

Is spread between 2s and 10s calling a bluff on a Fed rate hike?

ust-yield-curve.2s10s

Thought to sum up the month

Chance plays a far larger role in life outcomes than most people realize. And yet, the luckiest among us appear especially unlikely to appreciate our good fortune. Wealthy people overwhelmingly attribute their own success to hard work rather than to factors like luck or being in the right place at the right time.

That’s troubling, because seeing ourselves as self-made—rather than as talented, hardworking, and lucky—leads us to be less generous and public-spirited. It may even make the lucky less likely to support the conditions (such as high-quality public infrastructure and education) that made their own success possible.

Source: Why Luck Matters More Than You Might Think

What I read this month

What I Learned Losing a Million Dollars:
_20160501_111546

Amazon

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Market-Cap Deciles, Part III

0

Part I, Part II of the series.

111% vs. 11%

A portfolio of ~150, equal-weight, small-cap stocks, rebalanced monthly, gave a return of 111% from 2015 through now.

decile.9.2016-04-24

While a similar portfolio of mega-cap stocks gave a return of 11% during the same time frame.

decile.0.2016-04-24

Variance

Returns from the small-cap portfolio are accompanied by larger volatility.

decile.distribution.9.2016-04-24

decile.distribution.0.2016-04-24

Accessibility

Is the alpha accessible? Given the meager volumes in the small-cap space, narrow circuit breakers and intra-day volatility of prices, small-cap alpha is hard to access. The impact cost of trading 150 small-cap stocks every month would be pretty high for large positions.

However, a portfolio with an exposure of Rs. 10,000 – Rs. 50,000 per stock is doable. So, theoretically, you can size the portfolio between Rs. 15,00,000 – Rs. 75,00,000 to access this alpha.

Appendix

Cumulative wealth charts for each decile (both cap- and equal-weighted): (a)

Box plots of cumulative returns of stocks in each decile: (b)

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