Category: Your Money

Index Update 19.12.2015

stockviz December 19, 2015December 19, 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 October 06, 2015 through December 18, 2015:

Equally Weighted		Market Cap. Weighted
METAL (EQUAL)	+4.55%	ENERGY (CAP)	+4.49%
ENERGY (EQUAL)	+2.36%	MEDIA (CAP)	+4.07%
CONSUMPTION (EQUAL)	+2.08%	COMMODITIES (CAP)	+1.92%
MEDIA (EQUAL)	+1.71%	AUTO (CAP)	+1.75%
COMMODITIES (EQUAL)	+0.95%	METAL (CAP)	+0.42%
INFRA (EQUAL)	+0.01%	CONSUMPTION (CAP)	-1.13%
PSE (EQUAL)	-0.29%	MNC (CAP)	-1.19%
LIQ 15 (EQUAL)	-0.48%	LIQ 15 (CAP)	-2.33%
FMCG (EQUAL)	-2.07%	PSE (CAP)	-3.51%
AUTO (EQUAL)	-2.43%	VALUE 20 (CAP)	-4.15%
VALUE 20 (EQUAL)	-2.62%	FMCG (CAP)	-4.20%
QUALITY 30 (EQUAL)	-2.79%	QUALITY 30 (CAP)	-5.16%
MNC (EQUAL)	-3.03%	FIN SERVICE (CAP)	-5.16%
REALTY (EQUAL)	-4.19%	MIDCAP LIQUID 15 (CAP)	-5.41%
SERV SECTOR (EQUAL)	-4.50%	SERV SECTOR (CAP)	-5.43%
CPSE (EQUAL)	-4.51%	BANK (CAP)	-5.83%
MIDCAP LIQUID 15 (EQUAL)	-4.80%	REALTY (CAP)	-6.50%
FIN SERVICE (EQUAL)	-4.93%	IT (CAP)	-6.88%
GROWSECT 15 (EQUAL)	-5.63%	CPSE (CAP)	-6.96%
IT (EQUAL)	-5.79%	GROWSECT 15 (CAP)	-7.03%
PHARMA (EQUAL)	-7.30%	PSU BANK (CAP)	-7.93%
BANK (EQUAL)	-8.55%	INFRA (CAP)	-8.28%
PSU BANK (EQUAL)	-8.75%	PHARMA (CAP)	-12.16%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	11.21	2015-Jan-27
NIFTY BANK	LONG	19.27	2015-Jan-27
NIFTY COMMODITIES	SHORT	36.24	2008-Jan-04
NIFTY CONSUMPTION	SHORT	5.41	2015-Aug-05
NIFTY ENERGY	LONG	31.09	2008-Jan-14
NIFTY FIN SERVICE	SHORT	16.66	2015-Jan-28
NIFTY FMCG	SHORT	11.13	2015-Feb-25
NIFTY INFRA	SHORT	57.24	2008-Jan-09
NIFTY IT	SHORT	88.35	2000-Feb-21
NIFTY MEDIA	LONG	15.34	2008-Jan-04
NIFTY METAL	LONG	67.73	2008-Jan-04
NIFTY MNC	LONG	10.02	2015-Aug-10
NIFTY PHARMA	LONG	15.67	2015-Apr-08
NIFTY PSE	LONG	35.76	2008-Jan-04
NIFTY PSU BANK	LONG	45.99	2010-Nov-05
NIFTY REALTY	LONG	91.07	2008-Jan-14
NIFTY SERV SECTOR	SHORT	14.23	2015-Mar-03

Auto and Pharma – the darlings of days past.

Categories Your Money Tags index, momentum, weekly

Index Update 12.12.2015

stockviz December 12, 2015December 14, 2015

MOMENTUM

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 September 28, 2015 through December 11, 2015:

Equally Weighted		Market Cap. Weighted
METAL (EQUAL)	+5.60%	ENERGY (CAP)	+7.18%
ENERGY (EQUAL)	+3.66%	AUTO (CAP)	+4.84%
CONSUMPTION (EQUAL)	+3.63%	COMMODITIES (CAP)	+4.41%
COMMODITIES (EQUAL)	+3.03%	METAL (CAP)	+3.04%
INFRA (EQUAL)	+1.73%	MEDIA (CAP)	+2.23%
FMCG (EQUAL)	+0.22%	CONSUMPTION (CAP)	+2.17%
PSE (EQUAL)	+0.15%	FMCG (CAP)	+1.00%
VALUE 20 (EQUAL)	-0.92%	PSE (CAP)	-0.81%
LIQ 15 (EQUAL)	-1.16%	LIQ 15 (CAP)	-1.54%
MEDIA (EQUAL)	-1.29%	VALUE 20 (CAP)	-1.78%
AUTO (EQUAL)	-1.42%	CPSE (CAP)	-1.86%
CPSE (EQUAL)	-1.70%	MNC (CAP)	-1.90%
QUALITY 30 (EQUAL)	-2.14%	QUALITY 30 (CAP)	-2.97%
REALTY (EQUAL)	-2.41%	FIN SERVICE (CAP)	-3.10%
MNC (EQUAL)	-2.78%	MIDCAP LIQUID 15 (CAP)	-3.58%
FIN SERVICE (EQUAL)	-3.01%	SERV SECTOR (CAP)	-4.02%
SERV SECTOR (EQUAL)	-3.52%	BANK (CAP)	-4.50%
MIDCAP LIQUID 15 (EQUAL)	-3.55%	GROWSECT 15 (CAP)	-4.58%
GROWSECT 15 (EQUAL)	-3.70%	INFRA (CAP)	-4.68%
IT (EQUAL)	-6.01%	REALTY (CAP)	-5.61%
PHARMA (EQUAL)	-6.57%	IT (CAP)	-6.36%
BANK (EQUAL)	-7.75%	PSU BANK (CAP)	-7.54%
PSU BANK (EQUAL)	-8.82%	PHARMA (CAP)	-11.39%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	12.71	2015-Jan-27
NIFTY BANK	LONG	20.49	2015-Jan-27
NIFTY COMMODITIES	LONG	38.18	2008-Jan-04
NIFTY CONSUMPTION	LONG	7.56	2015-Aug-05
NIFTY ENERGY	LONG	33.38	2008-Jan-14
NIFTY FIN SERVICE	LONG	18.47	2015-Jan-28
NIFTY FMCG	LONG	11.98	2015-Feb-25
NIFTY INFRA	LONG	58.43	2008-Jan-09
NIFTY IT	SHORT	88.44	2000-Feb-21
NIFTY MEDIA	SHORT	19.15	2008-Jan-04
NIFTY METAL	LONG	69.06	2008-Jan-04
NIFTY MNC	LONG	12.51	2015-Aug-10
NIFTY PHARMA	SHORT	17.70	2015-Apr-08
NIFTY PSE	LONG	37.51	2008-Jan-04
NIFTY PSU BANK	LONG	46.32	2010-Nov-05
NIFTY REALTY	LONG	91.37	2008-Jan-14
NIFTY SERV SECTOR	LONG	16.10	2015-Mar-03

All eyes on the Fed…

Categories Your Money Tags index, momentum, weekly

Index Update 05.12.2015

stockviz December 5, 2015December 6, 2015

MOMENTUM

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 September 18, 2015 through December 04, 2015:

Equally Weighted		Market Cap. Weighted
ENERGY (EQUAL)	+6.71%	AUTO (CAP)	+5.18%
INFRA (EQUAL)	+6.01%	ENERGY (CAP)	+4.83%
CONSUMPTION (EQUAL)	+4.41%	CONSUMPTION (CAP)	+3.75%
METAL (EQUAL)	+4.31%	FMCG (CAP)	+3.06%
COMMODITIES (EQUAL)	+3.83%	COMMODITIES (CAP)	+2.26%
PSE (EQUAL)	+2.97%	MEDIA (CAP)	+1.52%
MEDIA (EQUAL)	+2.94%	REALTY (CAP)	+0.78%
CPSE (EQUAL)	+2.91%	CPSE (CAP)	-0.29%
REALTY (EQUAL)	+2.67%	MIDCAP LIQUID 15 (CAP)	-0.30%
MIDCAP LIQUID 15 (EQUAL)	+0.83%	METAL (CAP)	-0.32%
PSU BANK (EQUAL)	+0.79%	PSE (CAP)	-0.83%
FMCG (EQUAL)	+0.35%	MNC (CAP)	-1.71%
FIN SERVICE (EQUAL)	-0.35%	LIQ 15 (CAP)	-1.83%
AUTO (EQUAL)	-0.51%	PSU BANK (CAP)	-1.88%
VALUE 20 (EQUAL)	-0.83%	VALUE 20 (CAP)	-1.90%
QUALITY 30 (EQUAL)	-1.86%	QUALITY 30 (CAP)	-2.47%
LIQ 15 (EQUAL)	-2.06%	FIN SERVICE (CAP)	-2.67%
PHARMA (EQUAL)	-2.17%	BANK (CAP)	-3.00%
SERV SECTOR (EQUAL)	-2.56%	GROWSECT 15 (CAP)	-3.43%
GROWSECT 15 (EQUAL)	-2.71%	SERV SECTOR (CAP)	-3.99%
MNC (EQUAL)	-3.08%	IT (CAP)	-6.33%
IT (EQUAL)	-4.93%	INFRA (CAP)	-6.52%
BANK (EQUAL)	-5.06%	PHARMA (CAP)	-8.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	9.44	2015-Jan-27
NIFTY BANK	SHORT	17.80	2015-Jan-27
NIFTY COMMODITIES	SHORT	35.95	2008-Jan-04
NIFTY CONSUMPTION	SHORT	5.81	2015-Aug-05
NIFTY ENERGY	SHORT	31.97	2008-Jan-14
NIFTY FIN SERVICE	SHORT	16.57	2015-Jan-28
NIFTY FMCG	SHORT	9.90	2015-Feb-25
NIFTY INFRA	SHORT	56.92	2008-Jan-09
NIFTY IT	SHORT	88.51	2000-Feb-21
NIFTY MEDIA	LONG	18.62	2008-Jan-04
NIFTY METAL	LONG	67.66	2008-Jan-04
NIFTY MNC	SHORT	11.10	2015-Aug-10
NIFTY PHARMA	SHORT	15.81	2015-Apr-08
NIFTY PSE	SHORT	35.06	2008-Jan-04
NIFTY PSU BANK	LONG	42.61	2010-Nov-05
NIFTY REALTY	LONG	90.84	2008-Jan-14
NIFTY SERV SECTOR	SHORT	14.66	2015-Mar-03

NIFTY MNC has been trailing lately. Is the trade overdone?

Categories Your Money Tags index, momentum, weekly

Monthly Recap: November Rain

shyam December 1, 2015

Equities

Major
DAX(DEU)	+4.79%
CAC(FRA)	+1.10%
UKX(GBR)	+0.47%
NKY(JPN)	+4.87%
SPX(USA)	-0.55%

MINTs
JCI(IDN)	+2.30%
INMEX(MEX)	-2.01%
NGSEINDX(NGA)	-6.51%
XU030(TUR)	-4.51%

BRICS
IBOV(BRA)	-1.23%
SHCOMP(CHN)	+2.18%
NIFTY(IND)	-1.37%
INDEXCF(RUS)	+3.58%
TOP40(ZAF)	-4.05%

Commodities

Energy
RBOB Gasoline	-5.10%
Brent Crude Oil	-11.02%
Ethanol	-7.28%
Heating Oil	-9.08%
Natural Gas	-4.35%
WTI Crude Oil	-11.31%

Metals
Silver 5000oz	-8.39%
Gold 100oz	-6.35%
Platinum	-14.84%
Palladium	-18.51%
Copper	-10.39%

Currencies

USDEUR:+3.75% USDJPY:+2.02%

MINTs
USDIDR(IDN)	+0.73%
USDMXN(MEX)	+0.06%
USDNGN(NGA)	-0.76%
USDTRY(TUR)	-0.98%

BRICS
USDBRL(BRA)	+0.40%
USDCNY(CHN)	+1.29%
USDINR(IND)	+1.88%
USDRUB(RUS)	+4.88%
USDZAR(ZAF)	+4.55%

Agricultural
Cocoa	+1.63%
Feeder Cattle	-14.79%
Lean Hogs	-1.22%
Orange Juice	+5.55%
Sugar #11	+2.00%
Cattle	-6.61%
Cotton	-3.22%
Lumber	-3.23%
Soybean Meal	-5.11%
Wheat	-11.24%
White Sugar	+2.58%
Coffee (Arabica)	-3.65%
Corn	-3.66%
Coffee (Robusta)	-7.95%
Soybeans	+0.45%

Credit Indices

Index	Change
Markit CDX EM	+0.54%
Markit CDX NA HY	-0.97%
Markit CDX NA IG	+5.91%
Markit iTraxx Asia ex-Japan IG	-1.93%
Markit iTraxx Australia	+7.62%
Markit iTraxx Europe	-0.81%
Markit iTraxx Europe Crossover	-7.97%
Markit iTraxx Japan	+9.43%
Markit iTraxx SovX Western Europe	-0.27%
Markit LCDX (Loan CDS)	-0.04%
Markit MCDX (Municipal CDS)	-0.50%

Most global indices ended the month in the red. The US Dollar rallied against most major currencies and the market seems to have come to terms with a December liftoff in US interest rates.

International ETFs (USD)

Nifty Heatmap

Index Returns

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	+9.56%	68/67
2	+10.94%	78/56
3	+9.16%	78/56
4	+5.00%	74/60
5	+4.13%	84/50
6	+4.99%	78/56
7	+2.13%	71/63
8	+1.53%	65/69
9	+0.87%	67/67
10 (mega)	-1.62%	64/71

Large caps trailed mid and small caps…

Top Winners and Losers

MOTHERSUMI	+17.63%
GAIL	+18.37%
PETRONET	+20.69%
DRREDDY	-27.39%
SUNPHARMA	-17.98%
SAIL	-14.34%

Biggest moves where brought about by regulatory events…

ETF Performance

PSUBNKBEES	+6.77%
CPSEETF	+1.19%
BANKBEES	+0.34%
JUNIORBEES	-0.22%
NIFTYBEES	-1.87%
INFRABEES	-2.50%
GOLDBEES	-6.07%

PSU Banks: dead cat bounce or are government efforts finally turning things around?

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	+0.08	+0.38%
5 10	+0.13	-0.07%
10 15	+0.13	-0.28%
15 20	+0.15	-0.83%
20 30	+0.13	-0.72%

Next rate cuts are probably six months away…

Investment Theme Performance

Quality to Price	+16.23%
Momentum	+12.69%
Magic Formula	+10.72%
Velocity	+10.23%
The RBI Restricted List	+9.46%
ADAG stocks	+5.99%
Financial Strength Value	+2.97%
PPFAS Long Term Value	+2.69%
High Beta	+1.35%
Balance Sheet Strength	-0.91%
Enterprise Yield	-0.91%
Tactical CNX 100	-2.00%
ASK Life	-3.82%
Next Trillion	-4.49%
Low Volatility	-6.96%

Most investment strategies did well… November saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.

Equity Mutual Funds

Best
Sahara Star Value Fund-Growth Option	+8.92%
Escorts Tax Plan-Growth	+5.84%
Escorts Growth Plan-GROWTH OPTION	+5.73%
HDFC Core and Satellite Fund – GROWTH	+5.14%
HDFC Premier Multi-Cap Fund-Growth	+4.53%
Sundaram S.M.I.L.E.Fund-iNST Growth	+4.45%
Sundaram S.M.I.L.E.Fund-Growth	+4.40%

Worst
JPMorgan India Top 100 Fund – Regular Plan – Growth Option	-2.84%
Birla Sun Life India Opportunities Fund – Growth – Regular Plan	-2.93%
Taurus Ethical Fund – Growth Option	-3.04%
Kotak Classic Equity Scheme—Growth	-3.19%
Tata Ethical Fund Regular Plan – Growth	-3.43%
Sundaram Growth Fund-Growth	-3.44%
Mirae Asset Global Commodity Stocks – Growth Option	-3.52%

Bond Mutual Funds

Best
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.60%
Franklin India Dynamic Accrual Fund-Growth	+0.51%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.49%
Reliance Corporate Bond Fund – Growth Option	+0.48%
DWS Premier Bond Fund – Premium Plus Plan – Growth	+0.47%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.46%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.45%

Worst
Kotak Gilt-Investment Provident Fund and Trust-Growth	-0.89%
JM G-Sec Fund – Growth Option	-0.90%
Religare Invesco GILT Fund – Long Duration Plan – Growth	-0.90%
Kotak Bond-Deposit-Growth	-0.93%
Kotak Bond-Plan A-Growth	-0.93%
HDFC Inflation Indexed Bond Fund – Regular Growth	-0.99%
DWS Inflation Indexed Bond Fund – Regular Plan – Growth	-1.41%

Institutional flows

FPIs sold off both bonds and equities…

US Yield Curve

Spread between Indian and US long bonds

Categories Your Money Tags monthly

Theme: Acceleration Update 01.12.2015

stockviz December 1, 2015December 1, 2015

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.

Categories Your Money Tags acceleration, theme