Category: Your Money

Theme: Velocity Update 01.12.2015

stockviz December 1, 2015December 1, 2015 0

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.

Categories Your Money Tags theme, Velocity

Theme: Momentum Update 01.12.2015

stockviz December 1, 2015December 1, 2015 0

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.

Categories Your Money Tags momentum, theme

Index Update 28.11.2015

stockviz November 28, 2015November 29, 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 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.

Categories Your Money Tags index, momentum, weekly

Cliff Asness on Momentum Investing

shyam November 21, 2015 0

In a wide ranging interview with Tyler Cowen, Cliff Asness discussed momentum and value investing strategies, disagreeing with Eugene Fama, the economics of Ayn Rand, bubble logic etc. The first half of the conversation was mostly about momentum investing and how it works.

Excepts on momentum:

Intro
A momentum investing strategy is the rather insane proposition that you can buy a portfolio of what’s been going up for the last 6 to 12 months, sell a portfolio of what’s been going down for the last 6 to 12 months, and you beat the market. Unfortunately for sanity, that seems to be true.

To some, it’s very intuitive. Just buy what’s going up.

Drawdowns
It has horrible streaks within that of not working. If your car worked like this, you’d fire your mechanic, if it worked like I use that word. I think it is harder than you might guess, even if something works long term, to have it go away because a lot of investors can’t live through the bad periods. They decide why it’s never going to work again at the wrong time.

Why it works
Underreation: News comes out. Price moves but not all the way. People update their priors but not fully efficiently. Therefore, just observing the price move is not going to move the same amount again but there’s some statistical tendency to continue.

Overreaction: People in fact do chase prices.

How to make it work
If you’re going to be momentum, you’ve got to really do it. You’ve got to be disciplined. You’ve got to come in every day, and you’ve got to count on these under- and overreaction things.

Momentum strategies on StockViz

We have been offering the Momentum Theme for more than two years now. It implements a relative momentum strategy where you compare the strengths of a universe of stocks to each other. 2014 returns were +90% and +36% so far this year (Compare.)

This year, we have introduced Velocity – an absolute momentum strategy – and Acceleration – a strategy that tracks changes in momentum.

If you are interested in momentum investing, please get in touch with us!

Source: A Conversation with Cliff Asness
Related: Small Cap Momentum Style Fund

Categories Investing Insight, Your Money Tags acceleration, investing, momentum, Velocity

Weekly Recap: Selective Memory

shyam November 21, 2015 0

Equities

Major
DAX(DEU)	+3.84%
CAC(FRA)	+2.14%
UKX(GBR)	+3.54%
NKY(JPN)	+1.44%
SPX(USA)	+2.85%

MINTs
JCI(IDN)	+1.98%
INMEX(MEX)	+2.60%
NGSEINDX(NGA)	-2.46%
XU030(TUR)	-1.54%

BRICS
IBOV(BRA)	+3.25%
SHCOMP(CHN)	+1.39%
NIFTY(IND)	+1.21%
INDEXCF(RUS)	+5.70%
TOP40(ZAF)	+2.14%

Commodities

Energy
Brent Crude Oil	+2.06%
Ethanol	+1.35%
Heating Oil	-1.43%
Natural Gas	-8.15%
WTI Crude Oil	+2.45%
RBOB Gasoline	+4.01%

Metals
Silver 5000oz	+0.00%
Gold 100oz	+0.15%
Copper	-5.56%
Palladium	+4.18%
Platinum	-0.94%

Currencies

USDEUR:+0.78% USDJPY:-0.05%

MINTs
USDIDR(IDN)	-0.45%
USDMXN(MEX)	-1.02%
USDNGN(NGA)	+0.76%
USDTRY(TUR)	-1.18%

BRICS
USDBRL(BRA)	-3.21%
USDCNY(CHN)	+0.17%
USDINR(IND)	+0.15%
USDRUB(RUS)	-3.26%
USDZAR(ZAF)	-3.01%

Agricultural
Cattle	-0.80%
Lumber	+0.68%
Wheat	-1.47%
Cocoa	+0.26%
Coffee (Robusta)	-0.70%
Soybeans	-0.32%
Sugar #11	+1.86%
White Sugar	+4.94%
Corn	+1.32%
Feeder Cattle	-6.95%
Soybean Meal	-1.84%
Coffee (Arabica)	+9.60%
Cotton	-2.69%
Lean Hogs	+5.30%
Orange Juice	-2.26%

Credit Indices

Index	Change
Markit CDX EM	+0.61%
Markit CDX NA HY	+0.54%
Markit CDX NA IG	-1.51%
Markit iTraxx Asia ex-Japan IG	+2.39%
Markit iTraxx Australia	+2.61%
Markit iTraxx Europe	-3.07%
Markit iTraxx Europe Crossover	-11.47%
Markit iTraxx Japan	+3.63%
Markit iTraxx SovX Western Europe	-0.51%
Markit LCDX (Loan CDS)	+0.00%
Markit MCDX (Municipal CDS)	-0.75%

It was a good week for the markets over all. Risk was firmly ON and most markets rallied. The market is expecting a US Fed December liftoff. The USD continued to rally against other major currencies, European bonds dipped in negative-yield territory on rumors of more ECB QE and oil dipped bellow $40 a barrel.

International ETFs (USD)

Nifty Heatmap

Index Returns

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

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	+2.00%	66/65
2	+5.28%	70/60
3	+2.36%	65/65
4	+2.32%	74/57
5	+1.82%	68/62
6	+2.32%	69/61
7	+1.76%	69/62
8	+1.65%	63/67
9	+1.54%	70/60
10 (mega)	+0.95%	66/65

What? Me Worry?

Top Winners and Losers

PETRONET	+7.70%
CROMPGREAV	+9.11%
GAIL	+23.95%
PFC	-5.31%
AXISBANK	-5.18%
INFY	-4.40%

What happened to AXISBANK? Its down more than 30% since March this year…

ETF Performance

INFRABEES	+1.67%
CPSEETF	+1.59%
JUNIORBEES	+1.43%
PSUBNKBEES	+1.21%
NIFTYBEES	+0.97%
BANKBEES	+0.81%
GOLDBEES	+0.26%

Given gold bonds, will GOLDBEES continue?

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	+0.04	+0.05%
5 10	+0.04	-0.05%
10 15	+0.03	-0.10%
15 20	+0.05	-0.26%
20 30	+0.02	-0.11%

Bond yields widened – is it the pay-commission effect?

Investment Theme Performance

Magic Formula	+2.61%
Financial Strength Value	+2.51%
Next Trillion	+2.37%
ASK Life	+2.06%
Momentum	+2.02%
PPFAS Long Term Value	+1.70%
Balance Sheet Strength	+1.20%
Velocity	+1.07%
Enterprise Yield	+1.02%
ADAG stocks	+0.91%
High Beta	+0.68%
Low Volatility	+0.39%
Quality to Price	+0.32%
Tactical CNX 100	-0.00%
The RBI Restricted List	-1.55%

Pretty much every investment strategy ended the week in the green. We introduced a new momentum strategy: Acceleration. Do check it out.

Equity Mutual Funds

Best
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth	+3.38%
Reliance Mid & Small Cap Fund -Growth Plan -Growth Option	+3.35%
Sundaram S.M.I.L.E.Fund-iNST Growth	+3.29%
Sundaram S.M.I.L.E.Fund-Growth	+3.29%
HSBC Midcap Equity Fund – Growth	+3.27%
Mirae Asset Global Commodity Stocks – Growth Option	+3.20%
MOSt Focused Midcap 30-Regular Plan-Growth Option	+3.13%

Worst
Religare Invesco Monthly Income Plan – Growth Option	-0.13%
ICICI Prudential Very Aggressive – Regular Plan – Growth	-0.14%
Pramerica Dynamic Monthly Income Fund – Growth Option	-0.17%
Principal Debt Savings Fund – MIP – Growth Option	-0.18%
SBI Edge Fund – REGULAR PLAN Growth	-0.20%
Reliance Vision Fund-GROWTH PLAN-Growth Option	-0.20%
Religare Invesco Monthly Income Plan (MIP) Plus – Growth	-0.34%

Bond Mutual Funds

Best
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.15%
DWS Premier Bond Fund – Premium Plus Plan – Growth	+0.15%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.14%
Kotak Coporate Bond Fund- Retail Plan-Growth Option	+0.14%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.13%
DWS Premier Bond Fund – Growth	+0.13%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.12%

Worst
IDFC GSF – Investment Plan -Regular Plan-GROWTH	-0.49%
DWS Inflation Indexed Bond Fund – Regular Plan – Growth	-0.50%
IDFC Dynamic Bond Fund -Regular Plan-GROWTH	-0.53%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	-0.53%
IDFC Super Saver Income Fund- IP-Plan F Growth	-0.53%
IDFC – SSIF – Investment Plan -Regular Plan- Growth Option	-0.53%
IDFC Dynamic Bond Fund – Growth	-0.53%

Thoughts for the weekend

Force yourself to relive the anxiety and worry of being down 5% and wondering if 20% is coming next. Remember what it was like to worry that war might break out or disease was spreading or economic collapse was around the corner. Not because this alone is a good practice, but because it is going to happen again, and sooner than you think. It happens every year like clockwork. You can’t pick a time in history that something scary wasn’t around the corner. You need to hold on to those past moment and then recognize that even though it was truly scary life moved on and markets recovered and the world didn’t, in fact, come to an end.

Source: My Dangerously Selective Memory

Categories Your Money Tags weekly