Your Money – Page 16

Theme: High Sharpe Update 09.05.2016

stockviz May 9, 2016May 12, 2016

	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.

Categories Your Money Tags High Sharpe, theme

Theme: High Alpha Update 09.05.2016

stockviz May 9, 2016May 12, 2016

	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.

Categories Your Money Tags High Alpha, theme

Theme: Low Beta Update 09.05.2016

stockviz May 9, 2016May 12, 2016

	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.

Categories Your Money Tags Low Beta, theme

Monthly Recap: April Angst

shyam May 1, 2016

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)

Nifty Heatmap

Index Returns

Market Cap Decile Performance

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

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…

US Treasuries

Gilts are in the process of normalizing.

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

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:

Amazon

Categories Your Money Tags monthly

Market-Cap Deciles, Part III

shyam April 24, 2016July 16, 2016

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.

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

Variance

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

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)

Categories Investing Insight, Your Money Tags decile, quant