Author: stockviz

Theme: Acceleration Update 01.12.2015

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Introduction

Momentum strategies are based on measures of “speed” – change in price (distance traveled) over a specific unit of time. Acceleration goes one step further and measures the rate of change of momentum. This strategy is relatively new – we set it up in the middle of November. It would be interesting to see how this strategy pans out.

Performance summary

held since returns (%)
8KMILES
2015-Nov-19
+0.54
GODFRYPHLP
2015-Nov-19
+19.06
RAJESHEXPO
2015-Nov-19
+3.81
GAYAPROJ
2015-Nov-19
+9.19
JUBILANT
2015-Nov-19
+2.91
COSMOFILMS
2015-Nov-19
+1.02
RUSHIL
2015-Nov-19
+3.29
MANGALAM
2015-Nov-19
+40.62
HIMATSEIDE
2015-Nov-19
+6.74
ALLSEC
2015-Nov-19
+18.78
TVSELECT
2015-Nov-19
+2.29
NIITLTD
2015-Nov-19
+7.47
PTL
2015-Nov-19
+8.51
ESTER
2015-Nov-19
+8.71
TRIGYN
2015-Nov-19
+25.91
EMMBI
2015-Nov-19
+22.39
TRIDENT
2015-Nov-19
+8.37
GUFICBIO
2015-Nov-19
+24.46
NITCO
2015-Nov-19
+20.29
MERCATOR
2015-Nov-19
+4.63
Since the last rebalance on 2015-Nov-19 till 2015-Nov-30, this strategy has returned +9.70%

You can find more details about the Acceleration Theme here.

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Theme: Velocity Update 01.12.2015

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Introduction

Our “absolute” momentum strategy is about three months old now and has put in some decent performance numbers. It will be interesting to see how this absolute-momentum strategy compares to relative-momentum over a longer time-frame.

Performance Summary

held since returns (%)
TATAELXSI
2015-Sep-04
+14.98
GAYAPROJ
2015-Sep-04
+88.74
GMBREW
2015-Sep-04
+129.97
SANGAMIND
2015-Sep-04
+25.82
RUSHIL
2015-Sep-04
+108.01
MIRZAINT
2015-Sep-04
+42.70
8KMILES
2015-Oct-06
+0.58
WELSPUNIND
2015-Oct-06
+1.45
DISHMAN
2015-Oct-06
-17.05
SRIPIPES
2015-Oct-06
-1.01
TAKE
2015-Oct-06
+21.04
NCLIND
2015-Oct-06
+45.22
LYKALABS
2015-Oct-06
+59.55
NAVINFLUOR
2015-Nov-02
+8.42
DEEPIND
2015-Nov-02
+6.78
PGEL
2015-Nov-02
-22.91
AEGISCHEM
2015-Nov-02
+7.13
MADHUCON
2015-Nov-02
+2.36
EMMBI
2015-Nov-02
+55.79
IZMO
2015-Nov-02
+36.50
Since the last rebalance on 2015-Nov-02 till 2015-Nov-30, this strategy has returned +9.22%

You can find more details about the Velocity Theme here.

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Theme: Momentum Update 01.12.2015

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Introduction

Our relative momentum strategy, simply called Momentum, is our longest-running momentum strategy. Between its inception in Aug 2013 and now, it has clocked an impressive +212% translating to an IRR of about +65%.

Performance summary

held since returns (%)
KEI
2015-Aug-10
-3.38
TATAELXSI
2015-Sep-07
+16.24
CAPLIPOINT
2015-Sep-07
-5.33
GAYAPROJ
2015-Sep-07
+88.39
SANGAMIND
2015-Sep-07
+30.35
TAKE
2015-Sep-07
+86.91
MIRZAINT
2015-Sep-07
+46.51
JUBILANT
2015-Oct-06
+5.36
NCLIND
2015-Oct-06
+45.48
NILKAMAL
2015-Nov-02
+5.41
ICIL
2015-Nov-02
+16.02
KPRMILL
2015-Nov-02
+4.05
VADILALIND
2015-Nov-02
+12.26
SRIPIPES
2015-Nov-02
-8.64
NDL
2015-Nov-02
+9.77
LYKALABS
2015-Nov-02
+19.55
NIBL
2015-Nov-02
-1.20
EMMBI
2015-Nov-02
+55.53
IZMO
2015-Nov-02
+37.54
MIC
2015-Nov-02
+13.82
Since the last rebalance on 2015-Nov-02 till 2015-Nov-30, this strategy has returned +13.31%

You can find more details about the Momentum Theme here.

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Index Update 28.11.2015

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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 2015-11-27 png

index momentum best 50 2015-11-27 png

index momentum worst 365 2015-11-27 png

index momentum worst 50 2015-11-27 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-27 png

Refactored Index Performance

50-day performance, from September 10, 2015 through November 27, 2015:

Equally Weighted Market Cap. Weighted
PSU BANK (EQUAL) +10.68% ENERGY (CAP) +10.44%
ENERGY (EQUAL) +10.51% PSU BANK (CAP) +8.58%
INFRA (EQUAL) +10.04% AUTO (CAP) +7.34%
REALTY (EQUAL) +7.90% CONSUMPTION (CAP) +7.16%
CONSUMPTION (EQUAL) +6.18% FMCG (CAP) +5.90%
FIN SERVICE (EQUAL) +5.16% REALTY (CAP) +4.96%
MIDCAP LIQUID 15 (EQUAL) +4.47% FIN SERVICE (CAP) +4.80%
BANK (EQUAL) +4.21% BANK (CAP) +4.63%
PSE (EQUAL) +4.06% MEDIA (CAP) +4.37%
SERV SECTOR (EQUAL) +3.88% COMMODITIES (CAP) +4.36%
COMMODITIES (EQUAL) +3.85% LIQ 15 (CAP) +3.19%
VALUE 20 (EQUAL) +3.77% VALUE 20 (CAP) +3.01%
CPSE (EQUAL) +3.43% CPSE (CAP) +2.75%
AUTO (EQUAL) +3.17% MIDCAP LIQUID 15 (CAP) +2.58%
METAL (EQUAL) +1.61% PSE (CAP) +2.56%
FMCG (EQUAL) +1.44% SERV SECTOR (CAP) +2.42%
MEDIA (EQUAL) +0.75% QUALITY 30 (CAP) +0.44%
GROWSECT 15 (EQUAL) +0.66% MNC (CAP) +0.11%
QUALITY 30 (EQUAL) +0.54% GROWSECT 15 (CAP) +0.06%
LIQ 15 (EQUAL) +0.37% METAL (CAP) -2.32%
PHARMA (EQUAL) +0.14% IT (CAP) -2.71%
IT (EQUAL) -0.47% INFRA (CAP) -4.01%
MNC (EQUAL) -1.48% PHARMA (CAP) -6.12%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
7.21
2015-Jan-27
NIFTY BANK SHORT
15.49
2015-Jan-27
NIFTY COMMODITIES SHORT
35.90
2008-Jan-04
NIFTY CONSUMPTION LONG
4.30
2015-Aug-05
NIFTY ENERGY LONG
31.03
2008-Jan-14
NIFTY FIN SERVICE SHORT
13.83
2015-Jan-28
NIFTY FMCG SHORT
8.34
2015-Feb-25
NIFTY INFRA SHORT
55.79
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
17.55
2008-Jan-04
NIFTY METAL SHORT
68.40
2008-Jan-04
NIFTY MNC SHORT
10.52
2015-Aug-10
NIFTY PHARMA SHORT
16.37
2015-Apr-08
NIFTY PSE SHORT
34.30
2008-Jan-04
NIFTY PSU BANK SHORT
40.16
2010-Nov-05
NIFTY REALTY SHORT
90.89
2008-Jan-14
NIFTY SERV SECTOR SHORT
12.35
2015-Mar-03
Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.
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Index Update 21.11.2015

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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 2015-11-20 png

index momentum best 50 2015-11-20 png

index momentum worst 365 2015-11-20 png

index momentum worst 50 2015-11-20 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-20 png

Refactored Index Performance

50-day performance, from September 04, 2015 through November 20, 2015:

Equally Weighted Market Cap. Weighted
INFRA (EQUAL) +11.95% ENERGY (CAP) +11.02%
ENERGY (EQUAL) +11.25% AUTO (CAP) +10.45%
PSU BANK (EQUAL) +8.40% CONSUMPTION (CAP) +7.05%
REALTY (EQUAL) +7.09% PSU BANK (CAP) +6.87%
FIN SERVICE (EQUAL) +5.93% BANK (CAP) +5.70%
MIDCAP LIQUID 15 (EQUAL) +5.91% MEDIA (CAP) +5.52%
PSE (EQUAL) +5.86% FIN SERVICE (CAP) +5.46%
CONSUMPTION (EQUAL) +5.82% COMMODITIES (CAP) +5.43%
COMMODITIES (EQUAL) +5.41% 00 LIQ 15 (CAP) +4.26%
BANK (EQUAL) +5.04% FMCG (CAP) +4.02%
0 VALUE 20 (EQUAL) +4.54% MIDCAP LIQUID 15 (CAP) +3.80%
AUTO (EQUAL) +4.53% REALTY (CAP) +3.54%
CPSE (EQUAL) +4.45% 0 VALUE 20 (CAP) +3.35%
SERV SECTOR (EQUAL) +4.37% PSE (CAP) +3.26%
METAL (EQUAL) +2.35% SERV SECTOR (CAP) +2.82%
00 LIQ 15 (EQUAL) +1.89% CPSE (CAP) +2.41%
FMCG (EQUAL) +0.70% MNC (CAP) +1.83%
MEDIA (EQUAL) +0.47% QUALITY 30 (CAP) +0.15%
QUALITY 30 (EQUAL) +0.44% METAL (CAP) -0.27%
GROWSECT 15 (EQUAL) +0.39% GROWSECT 15 (CAP) -0.68%
MNC (EQUAL) +0.26% INFRA (CAP) -1.63%
PHARMA (EQUAL) -0.11% IT (CAP) -2.83%
IT (EQUAL) -0.63% PHARMA (CAP) -6.74%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
8.35
2015-Jan-27
NIFTY BANK SHORT
17.03
2015-Jan-27
NIFTY COMMODITIES LONG
36.30
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.11
2015-Aug-05
NIFTY ENERGY SHORT
32.35
2008-Jan-14
NIFTY FIN SERVICE SHORT
15.36
2015-Jan-28
NIFTY FMCG SHORT
8.28
2015-Feb-25
NIFTY INFRA SHORT
56.17
2008-Jan-09
NIFTY IT LONG
88.36
2000-Feb-21
NIFTY MEDIA LONG
19.97
2008-Jan-04
NIFTY METAL SHORT
68.58
2008-Jan-04
NIFTY MNC SHORT
9.35
2015-Aug-10
NIFTY PHARMA LONG
15.51
2015-Apr-08
NIFTY PSE LONG
34.98
2008-Jan-04
NIFTY PSU BANK LONG
41.92
2010-Nov-05
NIFTY REALTY LONG
91.28
2008-Jan-14
NIFTY SERV SECTOR LONG
13.63
2015-Mar-03
Is there a dash-for-trash thing going on where the beaten-down, heavily leveraged sectors are finding a bid? Look at the recent performance of INFRA and ENERGY. Is this a blip or a fundamental shift?
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