Category: Your Money

Index Update 08.08.2015

stockviz August 8, 2015August 8, 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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from June 01, 2015 through August 07, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+22.78%	CNX MEDIA (CAP)	+18.97%
CNX MEDIA (EQUAL)	+16.14%	CNX PHARMA (CAP)	+11.06%
CNX AUTO (EQUAL)	+8.23%	CNX MNC (CAP)	+5.35%
CNX MNC (EQUAL)	+6.50%	CNX CONSUMPTION (CAP)	+4.62%
CNX FMCG (EQUAL)	+6.47%	CNX AUTO (CAP)	+3.44%
CNX CONSUMPTION (EQUAL)	+6.37%	NI15 (CAP)	+2.57%
NSE QUALITY 30 (EQUAL)	+4.31%	CNX FINANCE (CAP)	+2.42%
NI15 (EQUAL)	+3.86%	CNX INFRA (CAP)	+2.26%
CNX FINANCE (EQUAL)	+3.73%	CNX FMCG (CAP)	+2.20%
CNX SERVICE (EQUAL)	+1.47%	NSE QUALITY 30 (CAP)	+1.92%
CNX INFRA (EQUAL)	+0.13%	CNX SERVICE (CAP)	+1.88%
CNX BANK (EQUAL)	-0.47%	CNX IT (CAP)	+1.75%
NV20 (EQUAL)	-0.58%	NV20 (CAP)	+1.54%
CPSE INDEX (EQUAL)	-0.75%	CNX BANK (CAP)	+1.43%
CNX IT (EQUAL)	-0.77%	CNX PSU BANK (CAP)	+1.21%
CNX PSE (EQUAL)	-1.55%	CNX ENERGY (CAP)	+0.73%
CNX COMMODITIES (EQUAL)	-2.33%	CNX COMMODITIES (CAP)	-0.47%
CNX ENERGY (EQUAL)	-2.91%	CNX PSE (CAP)	-1.57%
LIX 15 (EQUAL)	-3.05%	LIX 15 (CAP)	-4.33%
CNX PSU BANK (EQUAL)	-4.21%	LIX15 Midcap (CAP)	-4.34%
LIX15 Midcap (EQUAL)	-5.22%	CPSE INDEX (CAP)	-4.37%
CNX METAL (EQUAL)	-9.11%	CNX REALTY (CAP)	-10.49%
CNX REALTY (EQUAL)	-9.43%	CNX METAL (CAP)	-11.15%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	LONG	3.26	2015-Jan-27
CNX BANK	LONG	8.08	2015-Jan-27
CNX COMMODITIES	SHORT	28.46	2008-Jan-04
CNX CONSUMPTION	LONG	0.52	2015-Aug-05
CNX ENERGY	LONG	27.88	2008-Jan-14
CNX FMCG	LONG	6.25	2015-Feb-25
CNX INFRA	SHORT	47.01	2008-Jan-09
CNX IT	SHORT	87.86	2000-Feb-21
CNX MEDIA	LONG	15.34	2008-Jan-04
CNX METAL	LONG	61.19	2008-Jan-04
CNX MNC	LONG	0.00	2015-Aug-07
CNX NIFTY	LONG	4.80	2015-Mar-03
CNX PHARMA	LONG	8.60	2015-Apr-08
CNX PSE	SHORT	25.11	2008-Jan-04
CNX PSU BANK	LONG	33.42	2010-Nov-05
CNX REALTY	LONG	90.27	2008-Jan-14
CNX SERVICE	SHORT	6.02	2015-Mar-03

A total nightmare for commodity, energy and infrastructure investors. It continues to be a consumption driven market…

Categories Your Money Tags index, momentum, weekly

Correlation Update 08.08.2015

stockviz August 8, 2015August 8, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year 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.

Categories Your Money Tags correlation, weekly

Macro Update July 2015

shyam August 2, 2015

US TREASURIES VS. GILT SPREAD

The spread between 10yr US Treasuries and Indian Gilts remained within a tight range this month.

Long term US Treasury yields compressed.

Institutional investments

FIIs were net buyers in July. A welcome relief after June’s selloff.

DIIs joined the bandwagon as well.

Oil

Oil got shellacked.

Gold

Gold got shellacked too.

Copper

Copper got shellacked three.

US Dollar

Here is the rally in US Dollar charted:

Outlook

The fall in commodity prices should be a huge windfall for the Indian economy. However, the pace of reforms have come below expectations. The Monsoon Session of the parliament has been a disappointing mess. This has resulted in extended valuations in quality stocks. With a US rate-hike expected in September, we may see a bit of a wobble that might prove to be an excellent time to “buy the dip.”

Categories Your Money Tags macro

Monthly Recap: How’s your macro?

shyam August 1, 2015August 1, 2015

world.2015-06-30.2015-07-31

Equities

Major
DAX(DEU)	+3.33%
CAC(FRA)	+6.10%
UKX(GBR)	+2.69%
NKY(JPN)	+1.73%
SPX(USA)	+1.43%

MINTs
JCI(IDN)	-2.20%
INMEX(MEX)	-0.52%
NGSEINDX(NGA)	-9.79%
XU030(TUR)	-2.49%

BRICS
IBOV(BRA)	-4.21%
SHCOMP(CHN)	-14.34%
NIFTY(IND)	+1.96%
INDEXCF(RUS)	+0.87%
TOP40(ZAF)	+0.90%

Commodities

Energy
Ethanol	-6.07%
Brent Crude Oil	-17.93%
Heating Oil	-16.11%
Natural Gas	-3.76%
RBOB Gasoline	-15.34%
WTI Crude Oil	-21.37%

Metals
Gold 100oz	-6.50%
Copper	-9.92%
Platinum	-8.90%
Silver 5000oz	-4.49%
Palladium	-9.26%

Currencies

USDEUR:+1.41% USDJPY:+1.27%

MINTs
USDIDR(IDN)	+1.50%
USDMXN(MEX)	+2.68%
USDNGN(NGA)	-0.13%
USDTRY(TUR)	+3.48%

BRICS
USDBRL(BRA)	+10.15%
USDCNY(CHN)	+0.14%
USDINR(IND)	+0.76%
USDRUB(RUS)	+11.89%
USDZAR(ZAF)	+4.18%

Agricultural
Cocoa	-0.56%
Coffee (Arabica)	-3.75%
Lean Hogs	+3.36%
Cattle	-0.95%
Corn	-10.04%
Cotton	-2.35%
Orange Juice	+7.45%
Wheat	-18.75%
White Sugar	-5.81%
Coffee (Robusta)	-13.05%
Feeder Cattle	-1.44%
Lumber	-12.67%
Soybean Meal	-1.42%
Soybeans	-7.29%
Sugar #11	-8.91%

Credit Indices

Index	Change
Markit CDX EM	+0.28%
Markit CDX NA HY	-0.15%
Markit CDX NA IG	-1.71%
Markit iTraxx Asia ex-Japan IG	-3.67%
Markit iTraxx Australia	-2.15%
Markit iTraxx Europe	-13.99%
Markit iTraxx Europe Crossover	-47.76%
Markit iTraxx Japan	-5.14%
Markit iTraxx SovX Western Europe	-2.34%
Markit LCDX (Loan CDS)	-0.06%
Markit MCDX (Municipal CDS)	-4.61%

Indian midcaps rallied; the bottom fell out of commodities and oil; China was a total shit show. Will the midcap party continue into August?

Index Returns

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	+17.40%	76/54
2	+22.15%	87/41
3	+33.99%	97/33
4	+17.22%	98/31
5	+17.19%	89/40
6	+12.51%	85/45
7	+10.13%	78/51
8	+8.94%	81/49
9	+4.99%	74/55
10 (mega)	+2.06%	64/66

Midcaps and smallcaps put in some impressive numbers…

Top Winners and Losers

ABIRLANUVO	+23.12%
BANKBARODA	+23.14%
HINDPETRO	+26.40%
VEDL	-25.21%
TATASTEEL	-18.94%
NMDC	-14.15%

Commodities were the most-hated sector…

ETF Performance

JUNIORBEES	+6.42%
PSUBNKBEES	+6.31%
BANKBEES	+2.90%
NIFTYBEES	+2.43%
INFRABEES	+1.25%
CPSEETF	-1.48%
GOLDBEES	-6.20%

Hopefully, a crashing gold will wean us off it?

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.08	+0.88%
5 10	-0.09	+1.12%
10 15	-0.05	+1.04%
15 20	-0.10	+1.57%
20 30	-0.15	+2.20%

The long-end rallied…

Investment Theme Performance

Quality to Price	+26.04%
Magic Formula	+14.36%
Momentum	+13.78%
Low Volatility	+5.71%
ADAG stocks	+5.68%
Balance Sheet Strength	+5.13%
Next Trillion	+4.88%
Tactical CNX 100	+4.42%
CNX 100 Enterprise Yield	+3.69%
ASK Life	+3.12%
High Beta	+2.58%
The RBI Restricted List	+1.11%
Financial Strength Value	+0.90%
PPFAS Long Term Value	-0.08%

Congratulations all around…

Equity Mutual Funds

Best
HSBC Midcap Equity Fund – Growth	+10.68%
HSBC Progressive Themes Fund – Growth	+10.17%
Reliance Small Cap Fund – Growth Plan – Growth Option	+9.51%
Sundaram S.M.I.L.E.Fund-iNST Growth	+9.12%
Sundaram S.M.I.L.E.Fund-Growth	+9.11%
Reliance Mid & Small Cap Fund -Growth Plan -Growth Option	+8.82%
Canara Robeco Emerging Equities – Regular Plan – GROWTH	+8.67%

Worst
Birla Sun Life Commodity Equities Fund – Global Agri Plan – Growth – Regular Plan	-0.77%
SBI Edge Fund – REGULAR PLAN Growth	-0.86%
BNP Paribas Income and Gold Fund – Growth	-0.86%
Franklin Asian Equity Fund – Growth Plan	-4.97%
Principal Global Opportunities Fund-Growth Option	-5.23%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	-8.12%
Mirae Asset Global Commodity Stocks – Growth Option	-8.31%

Bond Mutual Funds

Best
ICICI Prudential Dynamic Accrual Plan – Regular Plan – Growth	+4.78%
JPMorgan India Corporate Debt Opportunities Fund – Regular Plan – Growth Option	+1.75%
IDFC GSF-Provident Fund-Regular Plan-Growth	+1.67%
IDFC GSF-Provident Fund-Inst Plan B-Growth	+1.64%
Sundaram Flexible Fund -Flexible Income Plan Regular – Growth	+1.64%
ICICI Prudential Long Term Gilt Fund – Regular Plan – Growth	+1.61%
IDFC GSF – Investment Plan – Growth	+1.57%

Worst
Pramerica Income Fund – Regular Plan – Growth Option	+0.92%
IDBI Dynamic Bond Fund Growth	+0.90%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan	+0.87%
MOSt 10 Year Gilt Fund – Growth	+0.87%
Edelweiss Gilt Fund – Growth Option	+0.87%
HDFC Gilt Fund-Short Term-Growth	+0.75%
DWS Gilt Fund Growth	+0.73%

Thought to sum up the month

Hanging on every twist and turn of the headlines are a group of folks we call “macro tourists.” They are a terrific source of chatter at any cocktail party — such as “Tsipras may have just doomed the Greeks for the next decade.”

Why does this matter to investors? For two reasons: First, macro tourists are everywhere; and second, they seem to be terrible stewards of your capital.

Market-moving headlines would seem to present an opportunity to capitalize on the potential volatility that often follows.

But here’s the big risk for investors who try to game the headlines: Figuring out what just happened is hard enough; the macro investor must guess at what’s ahead — outcomes for the near and far future as well as the market reaction to those outcomes.

It’s no wonder the macro tourists, both professional manager and amateur investor alike, have been for the most part unsuccessful.

Source: Curse of the Macro Tourist

Categories Your Money Tags monthly

Weekly Recap: Pick a Valid Strategy, Stick With It

shyam August 1, 2015August 1, 2015

world.2015-07-24.2015-07-31

Equities

Major
DAX(DEU)	-0.34%
CAC(FRA)	+0.50%
UKX(GBR)	+1.77%
NKY(JPN)	+0.20%
SPX(USA)	+1.15%

MINTs
JCI(IDN)	-1.11%
INMEX(MEX)	+1.26%
NGSEINDX(NGA)	-2.93%
XU030(TUR)	+1.96%

BRICS
IBOV(BRA)	+4.31%
SHCOMP(CHN)	-10.00%
NIFTY(IND)	+0.13%
INDEXCF(RUS)	+4.60%
TOP40(ZAF)	+1.52%

Commodities

Energy
Ethanol	+0.54%
Natural Gas	-2.30%
WTI Crude Oil	-2.89%
Brent Crude Oil	-4.46%
Heating Oil	-3.15%
RBOB Gasoline	-3.34%

Metals
Silver 5000oz	+2.76%
Copper	-0.84%
Gold 100oz	+0.62%
Palladium	-2.60%
Platinum	-0.48%

Currencies

USDEUR:-0.08% USDJPY:+0.14%

MINTs
USDIDR(IDN)	+0.68%
USDMXN(MEX)	-0.92%
USDNGN(NGA)	-0.03%
USDTRY(TUR)	+1.19%

BRICS
USDBRL(BRA)	+2.20%
USDCNY(CHN)	+0.00%
USDINR(IND)	+0.15%
USDRUB(RUS)	+5.57%
USDZAR(ZAF)	+0.37%

Agricultural
Cattle	+2.45%
Orange Juice	-0.12%
Lean Hogs	+1.09%
Wheat	-2.73%
White Sugar	+1.04%
Cocoa	-0.05%
Coffee (Arabica)	+3.41%
Corn	-5.17%
Cotton	-2.03%
Soybean Meal	+0.31%
Soybeans	-1.19%
Sugar #11	-0.80%
Coffee (Robusta)	-8.77%
Feeder Cattle	+0.95%
Lumber	-5.54%

Credit Indices

Index	Change
Markit CDX EM	+0.20%
Markit CDX NA HY	+0.10%
Markit CDX NA IG	+0.56%
Markit iTraxx Asia ex-Japan IG	+3.22%
Markit iTraxx Australia	+3.07%
Markit iTraxx Europe	+1.45%
Markit iTraxx Europe Crossover	+6.61%
Markit iTraxx Japan	+1.04%
Markit iTraxx SovX Western Europe	+2.40%
Markit LCDX (Loan CDS)	-0.04%
Markit MCDX (Municipal CDS)	+1.72%

China did its thing and tanked 10%. Overall, not a good week for the commodity complex. Oil took it on the chin. The Nifty managed to end the week in the green.

Nifty Heatmap

Index Returns

For a deeper dive into indices, check out our weekly Index Update.

Sector Performance

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	+1.11%	71/64
2	+3.05%	72/63
3	+3.66%	69/66
4	+2.07%	72/63
5	+1.11%	73/62
6	+0.12%	68/67
7	+1.81%	70/65
8	-0.45%	66/69
9	-0.42%	67/68
10 (mega)	-1.64%	64/71

Not a good week for large-caps.

Top Winners and Losers

UNIONBANK	+10.66%
GODREJCP	+11.97%
BANKBARODA	+13.96%
NMDC	-10.18%
TATASTEEL	-6.85%
EICHERMOT	-5.18%

Eicher Motors got dinged with a downgrade.

ETF Performance

PSUBNKBEES	+4.89%
JUNIORBEES	+1.11%
BANKBEES	+1.00%
NIFTYBEES	+0.21%
CPSEETF	-0.49%
GOLDBEES	-0.73%
INFRABEES	-4.01%

A truck filled with free tax-payer cash just rammed into PSU banks. Party on…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.06	+0.26%
5 10	-0.04	+0.33%
10 15	-0.03	+0.36%
15 20	-0.03	+0.42%
20 30	-0.03	+0.49%

Not a bad week for bonds…

Investment Theme Performance

Financial Strength Value	+5.59%
Quality to Price	+4.94%
Magic Formula	+4.87%
Momentum	+4.21%
Low Volatility	+3.44%
Next Trillion	+2.01%
ASK Life	+1.92%
CNX 100 Enterprise Yield	+1.25%
Balance Sheet Strength	+0.99%
Tactical CNX 100	+0.67%
ADAG stocks	+0.42%
PPFAS Long Term Value	+0.23%
The RBI Restricted List	-0.50%
High Beta	-0.68%

Higher Relative Strength Spread translated into better investment strategy performance across the board.

Equity Mutual Funds

Best
Canara Robeco Emerging Equities – Regular Plan – GROWTH	+3.09%
Birla Sun Life India Opportunities Fund – Growth – Regular Plan	+2.84%
L&T Mid Cap Fund-Growth	+2.78%
BNP Paribas Mid Cap Fund-Growth Option	+2.17%
SBI EMERGING BUSINESSES FUND – REGULAR PLAN -GROWTH	+2.14%
Reliance Small Cap Fund – Growth Plan – Growth Option	+2.14%
JPMorgan India Mid and Small Cap Fund – Regular Plan – Growth Option	+2.11%

Worst
Religare Invesco Pan European Equity Fund – Regular Plan – Growth Option	-0.91%
Birla Sun Life Commodity Equities Fund – Global Agri Plan – Growth – Regular Plan	-0.94%
Principal Global Opportunities Fund-Growth Option	-1.38%
Quantum Tax Saving Fund – Growth Option	-1.38%
Quantum Long-Term Equity Fund-Growth Option	-1.41%
Franklin Asian Equity Fund – Growth Plan	-2.02%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	-3.95%

Bond Mutual Funds

Best
Escorts Income Plan-Growth	+0.74%
IIFL Dynamic Bond Fund – Regular Plan – Growth Option	+0.71%
Birla Sun Life Government Securities Fund – Long Term Plan – Growth – Regular Plan	+0.67%
JPMorgan India Corporate Debt Opportunities Fund – Regular Plan – Growth Option	+0.67%
ICICI Prudential Long Term Plan – Premium Growth Option	+0.66%
ICICI Prudential Long Term – Regular Plan – Growth	+0.66%
UTI – GILT ADVANTAGE-LONG TERM-GROWTH	+0.66%

Worst
HDFC Inflation Indexed Bond Fund – Regular Growth	+0.27%
MOSt 10 Year Gilt Fund – Growth	+0.25%
HDFC Gilt Fund-Short Term-Growth	+0.25%
Pramerica Income Fund – Regular Plan – Growth Option	+0.24%
ICICI Prudential Short Term Gilt Fund – Regular Plan – Growth	+0.23%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan	+0.21%
DWS Gilt Fund Growth	+0.19%

Thought for the weekend

No strategy is magic; none work all the time. Don’t give up during the periods where it doesn’t seem to work, or when it occasionally blows up. The best time for any strategy typically come after a lot of marginal players give up because losses exceed their pain point.

Source: Pick a Valid Strategy, Stick With It

Categories Your Money Tags weekly