Invest Without Emotions
A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.
The spread between 10yr US Treasuries and Indian Gilts remained within a tight range this month.
Long term US Treasury yields compressed.
FIIs were net buyers in July. A welcome relief after June’s selloff.
DIIs joined the bandwagon as well.
Oil got shellacked.
Gold got shellacked too.
Copper got shellacked three.
Here is the rally in US Dollar charted:
The fall in commodity prices should be a huge windfall for the Indian economy. However, the pace of reforms have come below expectations. The Monsoon Session of the parliament has been a disappointing mess. This has resulted in extended valuations in quality stocks. With a US rate-hike expected in September, we may see a bit of a wobble that might prove to be an excellent time to “buy the dip.”
| MINTs | |
|---|---|
| JCI(IDN) | -2.20% |
| INMEX(MEX) | -0.52% |
| NGSEINDX(NGA) | -9.79% |
| XU030(TUR) | -2.49% |
| BRICS | |
|---|---|
| IBOV(BRA) | -4.21% |
| SHCOMP(CHN) | -14.34% |
| NIFTY(IND) | +1.96% |
| INDEXCF(RUS) | +0.87% |
| TOP40(ZAF) | +0.90% |
| Energy | |
|---|---|
| Ethanol | -6.07% |
| Brent Crude Oil | -17.93% |
| Heating Oil | -16.11% |
| Natural Gas | -3.76% |
| RBOB Gasoline | -15.34% |
| WTI Crude Oil | -21.37% |
| Metals | |
|---|---|
| Gold 100oz | -6.50% |
| Copper | -9.92% |
| Platinum | -8.90% |
| Silver 5000oz | -4.49% |
| Palladium | -9.26% |
| MINTs | |
|---|---|
| USDIDR(IDN) | +1.50% |
| USDMXN(MEX) | +2.68% |
| USDNGN(NGA) | -0.13% |
| USDTRY(TUR) | +3.48% |
| BRICS | |
|---|---|
| USDBRL(BRA) | +10.15% |
| USDCNY(CHN) | +0.14% |
| USDINR(IND) | +0.76% |
| USDRUB(RUS) | +11.89% |
| USDZAR(ZAF) | +4.18% |
| Agricultural | |
|---|---|
| Cocoa | -0.56% |
| Coffee (Arabica) | -3.75% |
| Lean Hogs | +3.36% |
| Cattle | -0.95% |
| Corn | -10.04% |
| Cotton | -2.35% |
| Orange Juice | +7.45% |
| Wheat | -18.75% |
| White Sugar | -5.81% |
| Coffee (Robusta) | -13.05% |
| Feeder Cattle | -1.44% |
| Lumber | -12.67% |
| Soybean Meal | -1.42% |
| Soybeans | -7.29% |
| Sugar #11 | -8.91% |
| Index | Change |
|---|---|
| Markit CDX EM | +0.28% |
| Markit CDX NA HY | -0.15% |
| Markit CDX NA IG | -1.71% |
| Markit iTraxx Asia ex-Japan IG | -3.67% |
| Markit iTraxx Australia | -2.15% |
| Markit iTraxx Europe | -13.99% |
| Markit iTraxx Europe Crossover | -47.76% |
| Markit iTraxx Japan | -5.14% |
| Markit iTraxx SovX Western Europe | -2.34% |
| Markit LCDX (Loan CDS) | -0.06% |
| Markit MCDX (Municipal CDS) | -4.61% |
| Decile | Mkt. Cap. | Adv/Decl |
|---|---|---|
| 1 (micro) | +17.40% | 76/54 |
| 2 | +22.15% | 87/41 |
| 3 | +33.99% | 97/33 |
| 4 | +17.22% | 98/31 |
| 5 | +17.19% | 89/40 |
| 6 | +12.51% | 85/45 |
| 7 | +10.13% | 78/51 |
| 8 | +8.94% | 81/49 |
| 9 | +4.99% | 74/55 |
| 10 (mega) | +2.06% | 64/66 |
| ABIRLANUVO | +23.12% |
| BANKBARODA | +23.14% |
| HINDPETRO | +26.40% |
| VEDL | -25.21% |
| TATASTEEL | -18.94% |
| NMDC | -14.15% |
| JUNIORBEES | +6.42% |
| PSUBNKBEES | +6.31% |
| BANKBEES | +2.90% |
| NIFTYBEES | +2.43% |
| INFRABEES | +1.25% |
| CPSEETF | -1.48% |
| GOLDBEES | -6.20% |
| Sub Index | Change in YTM | Total Return(%) |
|---|---|---|
| 0 5 | -0.08 | +0.88% |
| 5 10 | -0.09 | +1.12% |
| 10 15 | -0.05 | +1.04% |
| 15 20 | -0.10 | +1.57% |
| 20 30 | -0.15 | +2.20% |
| Quality to Price | +26.04% |
| Magic Formula | +14.36% |
| Momentum | +13.78% |
| Low Volatility | +5.71% |
| ADAG stocks | +5.68% |
| Balance Sheet Strength | +5.13% |
| Next Trillion | +4.88% |
| Tactical CNX 100 | +4.42% |
| CNX 100 Enterprise Yield | +3.69% |
| ASK Life | +3.12% |
| High Beta | +2.58% |
| The RBI Restricted List | +1.11% |
| Financial Strength Value | +0.90% |
| PPFAS Long Term Value | -0.08% |
Hanging on every twist and turn of the headlines are a group of folks we call “macro tourists.” They are a terrific source of chatter at any cocktail party — such as “Tsipras may have just doomed the Greeks for the next decade.”
Why does this matter to investors? For two reasons: First, macro tourists are everywhere; and second, they seem to be terrible stewards of your capital.
Market-moving headlines would seem to present an opportunity to capitalize on the potential volatility that often follows.
But here’s the big risk for investors who try to game the headlines: Figuring out what just happened is hard enough; the macro investor must guess at what’s ahead — outcomes for the near and far future as well as the market reaction to those outcomes.
It’s no wonder the macro tourists, both professional manager and amateur investor alike, have been for the most part unsuccessful.
Source: Curse of the Macro Tourist
| MINTs | |
|---|---|
| JCI(IDN) | -1.11% |
| INMEX(MEX) | +1.26% |
| NGSEINDX(NGA) | -2.93% |
| XU030(TUR) | +1.96% |
| BRICS | |
|---|---|
| IBOV(BRA) | +4.31% |
| SHCOMP(CHN) | -10.00% |
| NIFTY(IND) | +0.13% |
| INDEXCF(RUS) | +4.60% |
| TOP40(ZAF) | +1.52% |
| Energy | |
|---|---|
| Ethanol | +0.54% |
| Natural Gas | -2.30% |
| WTI Crude Oil | -2.89% |
| Brent Crude Oil | -4.46% |
| Heating Oil | -3.15% |
| RBOB Gasoline | -3.34% |
| Metals | |
|---|---|
| Silver 5000oz | +2.76% |
| Copper | -0.84% |
| Gold 100oz | +0.62% |
| Palladium | -2.60% |
| Platinum | -0.48% |
| MINTs | |
|---|---|
| USDIDR(IDN) | +0.68% |
| USDMXN(MEX) | -0.92% |
| USDNGN(NGA) | -0.03% |
| USDTRY(TUR) | +1.19% |
| BRICS | |
|---|---|
| USDBRL(BRA) | +2.20% |
| USDCNY(CHN) | +0.00% |
| USDINR(IND) | +0.15% |
| USDRUB(RUS) | +5.57% |
| USDZAR(ZAF) | +0.37% |
| Agricultural | |
|---|---|
| Cattle | +2.45% |
| Orange Juice | -0.12% |
| Lean Hogs | +1.09% |
| Wheat | -2.73% |
| White Sugar | +1.04% |
| Cocoa | -0.05% |
| Coffee (Arabica) | +3.41% |
| Corn | -5.17% |
| Cotton | -2.03% |
| Soybean Meal | +0.31% |
| Soybeans | -1.19% |
| Sugar #11 | -0.80% |
| Coffee (Robusta) | -8.77% |
| Feeder Cattle | +0.95% |
| Lumber | -5.54% |
| Index | Change |
|---|---|
| Markit CDX EM | +0.20% |
| Markit CDX NA HY | +0.10% |
| Markit CDX NA IG | +0.56% |
| Markit iTraxx Asia ex-Japan IG | +3.22% |
| Markit iTraxx Australia | +3.07% |
| Markit iTraxx Europe | +1.45% |
| Markit iTraxx Europe Crossover | +6.61% |
| Markit iTraxx Japan | +1.04% |
| Markit iTraxx SovX Western Europe | +2.40% |
| Markit LCDX (Loan CDS) | -0.04% |
| Markit MCDX (Municipal CDS) | +1.72% |
For a deeper dive into indices, check out our weekly Index Update.
| Decile | Mkt. Cap. | Adv/Decl |
|---|---|---|
| 1 (micro) | +1.11% | 71/64 |
| 2 | +3.05% | 72/63 |
| 3 | +3.66% | 69/66 |
| 4 | +2.07% | 72/63 |
| 5 | +1.11% | 73/62 |
| 6 | +0.12% | 68/67 |
| 7 | +1.81% | 70/65 |
| 8 | -0.45% | 66/69 |
| 9 | -0.42% | 67/68 |
| 10 (mega) | -1.64% | 64/71 |
| UNIONBANK | +10.66% |
| GODREJCP | +11.97% |
| BANKBARODA | +13.96% |
| NMDC | -10.18% |
| TATASTEEL | -6.85% |
| EICHERMOT | -5.18% |
| PSUBNKBEES | +4.89% |
| JUNIORBEES | +1.11% |
| BANKBEES | +1.00% |
| NIFTYBEES | +0.21% |
| CPSEETF | -0.49% |
| GOLDBEES | -0.73% |
| INFRABEES | -4.01% |
| Sub Index | Change in YTM | Total Return(%) |
|---|---|---|
| 0 5 | -0.06 | +0.26% |
| 5 10 | -0.04 | +0.33% |
| 10 15 | -0.03 | +0.36% |
| 15 20 | -0.03 | +0.42% |
| 20 30 | -0.03 | +0.49% |
| Financial Strength Value | +5.59% |
| Quality to Price | +4.94% |
| Magic Formula | +4.87% |
| Momentum | +4.21% |
| Low Volatility | +3.44% |
| Next Trillion | +2.01% |
| ASK Life | +1.92% |
| CNX 100 Enterprise Yield | +1.25% |
| Balance Sheet Strength | +0.99% |
| Tactical CNX 100 | +0.67% |
| ADAG stocks | +0.42% |
| PPFAS Long Term Value | +0.23% |
| The RBI Restricted List | -0.50% |
| High Beta | -0.68% |
No strategy is magic; none work all the time. Don’t give up during the periods where it doesn’t seem to work, or when it occasionally blows up. The best time for any strategy typically come after a lot of marginal players give up because losses exceed their pain point.
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:
50-day performance, from May 25, 2015 through July 31, 2015:
| Index | Signal | % From Peak | Day of Peak |
|---|---|---|---|
| CNX AUTO | SHORT |
6.10
|
2015-Jan-27
|
| CNX BANK | SHORT |
8.88
|
2015-Jan-27
|
| CNX COMMODITIES | SHORT |
29.07
|
2008-Jan-04
|
| CNX CONSUMPTION | SHORT |
0.00
|
2015-Jul-31
|
| CNX ENERGY | LONG |
27.48
|
2008-Jan-14
|
| CNX FMCG | SHORT |
6.17
|
2015-Feb-25
|
| CNX INFRA | LONG |
47.33
|
2008-Jan-09
|
| CNX IT | SHORT |
87.86
|
2000-Feb-21
|
| CNX MEDIA | SHORT |
16.68
|
2008-Jan-04
|
| CNX METAL | LONG |
61.25
|
2008-Jan-04
|
| CNX MNC | SHORT |
0.00
|
2015-Jul-31
|
| CNX NIFTY | SHORT |
5.15
|
2015-Mar-03
|
| CNX PHARMA | LONG |
10.69
|
2015-Apr-08
|
| CNX PSE | LONG |
24.77
|
2008-Jan-04
|
| CNX PSU BANK | SHORT |
36.53
|
2010-Nov-05
|
| CNX REALTY | LONG |
90.60
|
2008-Jan-14
|
| CNX SERVICE | SHORT |
6.10
|
2015-Mar-03
|