Category: Your Money

Index Update 21.11.2015

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:

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?
Categories Tags , ,

Samvat 2071: Bulls made money, Bears made money…

world.2014-10-27.2015-11-10

Equities

Major
DAX(DEU) +21.68%
CAC(FRA) +19.90%
UKX(GBR) -1.39%
NKY(JPN) +27.72%
SPX(USA) +6.16%
MINTs
JCI(IDN) -11.40%
INMEX(MEX) +0.06%
NGSEINDX(NGA) -25.16%
XU030(TUR) +2.87%
BRICS
IBOV(BRA) -8.68%
SHCOMP(CHN) +58.59%
NIFTY(IND) -2.61%
INDEXCF(RUS) +25.29%
TOP40(ZAF) +10.24%

Commodities

Energy
Ethanol -15.34%
Heating Oil -40.11%
Natural Gas -34.44%
WTI Crude Oil -45.96%
Brent Crude Oil -44.91%
RBOB Gasoline -37.32%
Metals
Palladium -23.91%
Gold 100oz -11.43%
Copper -27.92%
Platinum -27.90%
Silver 5000oz -15.79%

Currencies

USDEUR:+18.07% USDJPY:+14.13%

MINTs
USDIDR(IDN) +12.05%
USDMXN(MEX) +23.36%
USDNGN(NGA) +20.74%
USDTRY(TUR) +30.43%
BRICS
USDBRL(BRA) +48.29%
USDCNY(CHN) +4.03%
USDINR(IND) +8.17%
USDRUB(RUS) +52.65%
USDZAR(ZAF) +30.19%
Agricultural
Feeder Cattle -27.98%
Lumber -23.89%
Coffee (Arabica) -39.01%
Corn -0.96%
Lean Hogs -39.92%
Soybeans -13.54%
Sugar #11 -8.29%
Cocoa +16.12%
Cotton -2.18%
Soybean Meal -22.16%
Wheat -5.69%
Cattle -24.30%
Coffee (Robusta) -21.21%
Orange Juice +8.52%
White Sugar -8.77%

International ETFs (USD)

global.etf.performance.2014-10-27.2015-11-10

Index Returns

index.performance.2014-10-27.2015-11-10

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +29.48% 79/55
2 +42.65% 76/58
3 +11.26% 64/70
4 +19.62% 72/61
5 +15.77% 66/68
6 +18.22% 72/62
7 +13.38% 71/62
8 +15.21% 72/62
9 +11.70% 73/61
10 (mega) +5.37% 79/55
Most of the action was in the mid-and-small cap arena. Lot of dispersion, lot of good opportunities…

ETF Performance

JUNIORBEES +13.87%
BANKBEES +1.48%
NIFTYBEES -2.09%
GOLDBEES -5.69%
INFRABEES -15.20%
PSUBNKBEES -15.91%
CPSEETF -18.37%
The private sector created wealth and the public sector destroyed it.

Yield Curve

yieldCurve.2014-10-27.2015-11-10

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.83 +10.59%
5 10 -0.65 +12.11%
10 15 -0.62 +13.39%
15 20 -0.62 +14.29%
20 30 -0.63 +14.97%
Raghuram Rajan magic: low inflation + falling rates = bond investor jackpot!

Investment Theme Performance

Momentum +58.79%
Financial Strength Value +50.19%
Next Trillion +24.91%
Quality to Price +16.65%
Low Volatility +15.52%
ASK Life +13.12%
Magic Formula +9.28%
Balance Sheet Strength +5.34%
Enterprise Yield +3.63%
Tactical CNX 100 +2.73%
High Beta -24.19%
ADAG stocks -26.44%
And what a momentum driven market it was. In hindsight, it was a long momentum, short high-beta market. Will momentum continue into Samvat 2072?

Equity Mutual Funds

Best
Birla Sun Life MNC Fund-Plan B (Growth) +36.08%
SBI Smal & Midcap – Regular Plan – Growth +35.54%
DSP BlackRock Micro Cap Fund – Regular – Growth +27.21%
MOSt Focused Midcap 30-Regular Plan-Growth Option +26.46%
Escorts High Yield Equity Plan – Growth Option +26.08%
UTI – MNC Fund (UGS 10000)-Growth Option +25.63%
MOSt Focused Multicap 35-Regular Plan-Growth Option +24.54%
Worst
DSP BlackRock World Energy Fund – Regular Plan – Growth -7.79%
SBI PSU Fund – REGULAR PLAN -Growth -12.66%
Sundaram Growth Fund-Growth -12.70%
Baroda Pioneer PSU Equity Fund- Plan A – Growth Option -16.55%
DSP BlackRock World Gold Fund – Regular Plan – Growth -21.32%
Mirae Asset Global Commodity Stocks – Growth Option -27.90%
DSP BlackRock World Mining Fund – Regular Plan – Growth -35.72%

Bond Mutual Funds

Best
JPMorgan India Government Securities Fund – Regular Plan – Growth Option +16.00%
SBI MAGNUM GILT FUND – LONG TERM – REGULAR PLAN – GROWTH +14.73%
BNP Paribas Government Securities Fund – Growth +14.40%
L&T Gilt Fund-Growth +14.33%
ICICI Prudential Very Cautious – Regular Plan – Growth +13.67%
UTI – GILT ADVANTAGE-LONG TERM-GROWTH +13.56%
IDFC GSF-Provident Fund-Regular Plan-Growth +13.26%
Worst
Franklin India Banking & PSU Debt Fund – Growth +8.70%
L&T Triple Ace Bond Fund-Growth Plan +8.60%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan +8.27%
JM Short Term Fund..-Growth Plan +8.23%
PEERLESS FLEXIBLE INCOME FUND-GROWTH +7.73%
DWS Inflation Indexed Bond Fund- Regular Plan- Growth +2.64%
HDFC Inflation Indexed Bond Fund – Regular Growth +2.57%

Thoughts

The only way an investor would have not made decent returns in Samvat 2071 is if one:

  1. Invested in the NIFTY ETF – Active management doesn’t work!
  2. Invested based on macro – Taper Tantrum! Will RBI cut rates tomorrow?!
  3. Invested based on financial television – Price-Volume Breakout! The pundit octa-box!
  4. Invested based on tips – Call from Indore: Aap trading karti?
  5. Invested based on emotions – Oh My God! The market is crashing! Sell! The market is shooting up! Buy!
Categories Tags ,

Index Update 07.11.2015

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:

index momentum best 365 2015-11-06 png

index momentum best 50 2015-11-06 png

index momentum worst 365 2015-11-06 png

index momentum worst 50 2015-11-06 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-11-06 png

Refactored Index Performance

50-day performance, from August 25, 2015 through November 06, 2015:

Equally Weighted Market Cap. Weighted
CNX ENERGY (EQUAL) +11.14% CNX ENERGY (CAP) +10.20%
CNX INFRA (EQUAL) +9.42% CNX REALTY (CAP) +9.27%
CNX REALTY (EQUAL) +9.40% CNX MEDIA (CAP) +6.32%
CNX COMMODITIES (EQUAL) +4.72% CNX COMMODITIES (CAP) +5.83%
CNX FINANCE (EQUAL) +4.56% CNX CONSUMPTION (CAP) +3.16%
CNX CONSUMPTION (EQUAL) +4.49% CNX AUTO (CAP) +2.93%
CNX PSE (EQUAL) +3.65% CPSE INDEX (CAP) +2.67%
CNX SERVICE (EQUAL) +3.08% CNX FMCG (CAP) +1.94%
CPSE INDEX (EQUAL) +3.03% CNX PSE (CAP) +1.91%
LIX 15 (EQUAL) +1.90% CNX IT (CAP) +1.69%
CNX MEDIA (EQUAL) +1.72% CNX SERVICE (CAP) +1.38%
LIX15 Midcap (EQUAL) +0.89% CNX FINANCE (CAP) +1.09%
CNX FMCG (EQUAL) +0.72% NSE QUALITY 30 (CAP) +1.01%
CNX IT (EQUAL) +0.54% NV20 (CAP) +0.73%
NV20 (EQUAL) +0.10% LIX 15 (CAP) +0.65%
CNX PSU BANK (EQUAL) -0.02% NI15 (CAP) +0.10%
CNX METAL (EQUAL) -0.40% CNX METAL (CAP) -0.41%
NSE QUALITY 30 (EQUAL) -0.40% CNX BANK (CAP) -0.72%
NI15 (EQUAL) -0.45% LIX15 Midcap (CAP) -0.94%
CNX PHARMA (EQUAL) -0.85% CNX MNC (CAP) -1.02%
CNX MNC (EQUAL) -1.31% CNX PSU BANK (CAP) -3.97%
CNX AUTO (EQUAL) -2.26% CNX INFRA (CAP) -4.26%
CNX BANK (EQUAL) -2.58% CNX PHARMA (CAP) -4.32%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.50
2015-Jan-27
CNX BANK LONG
16.88
2015-Jan-27
CNX COMMODITIES SHORT
35.50
2008-Jan-04
CNX CONSUMPTION SHORT
6.49
2015-Aug-05
CNX ENERGY SHORT
32.00
2008-Jan-14
CNX FMCG LONG
9.17
2015-Feb-25
CNX INFRA LONG
55.66
2008-Jan-09
CNX IT SHORT
87.97
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
68.69
2008-Jan-04
CNX MNC SHORT
9.63
2015-Aug-10
CNX NIFTY LONG
11.58
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
34.06
2008-Jan-04
CNX PSU BANK LONG
42.26
2010-Nov-05
CNX REALTY LONG
90.82
2008-Jan-14
CNX SERVICE LONG
12.09
2015-Mar-03
The DRL fiasco dinged the last samurai. Will FMCG lead from hear on out?
Categories Tags , ,

Equity Returns at the Turn of the Month

The Turn of the Month Effect

A recent paper in the Financial Analysts Journal looks at the Turn of the Month effect on equities. Equity Returns at the Turn of the Month, John J. McConnell and Wei Xu:

The turn-of-the-month effect in U.S. equities is found to be so powerful in the 1926–2005 period that, on average, investors received no reward for bearing market risk except at turns of the month. The effect is not confined to small-capitalization or low-price stocks, to calendar year-ends or quarter ends, or to the United States: This study finds that it occurs in 31 of the 35 countries examined. Furthermore, it is not caused by month-end buying pressure as measured by trading volume or net flows to equity funds. This persistent peculiarity in returns remains a puzzle in search of an answer.

Does it apply to Indian markets?

The study skips over the Indian markets. So we did a quick test on the CNX 100 index to check if the effect holds. Here’s the cumulative return chart between a Buy-and-Hold CNX 100 strategy (B&H, black) and a Turn-of-the-Month CNX 100 strategy (TOM, red):

CNX100.TOM

Although the TOM strategy has lower-drawdowns, the B&H wins – both in terms of tax advantage and trading costs. The Turn-of-the-Month effect doesn’t seem to apply to Indian equities.

Categories , Tags

Diwali Stock Picks: Doodh ya Paani?

Mostly Paani.

Back in October last year, we created two Themes to track the Diwali stock picks collated by ET and Kotak. ET had written that the 10 stocks that they assembled from the recommendations of four brokers could double by next Diwali.

However, between 2014-10-21 and 2015-11-02, ET Diwali Picks 2014 returned a cumulative 2.50% (IRR of 2.41%) vs. CNX Midcap’s cumulative return of 17.60% (16.10%.) While Kotak Diwali Picks 2014 has returned a cumulative 14.60% (14.11%.) (ET Picks, Kotak Picks)

ET has once again put out stock picks for this Diwali. You can track the portfolio here: Diwali Picks ET 2015

Better luck this year!

Categories , Tags