Category: Your Money

Index Update 19.12.2015

stockviz December 19, 2015December 19, 2015 0

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 0

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 0

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 0

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 0

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