Category: Your Money

Index Update 18.04.2015

stockviz April 18, 2015April 18, 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:

Refactored Index Performance

50-day performance, from February 03, 2015 through April 17, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+9.94%	CNX PHARMA (CAP)	+5.90%
CNX IT (EQUAL)	+4.64%	CNX INFRA (CAP)	+1.64%
NI15 (EQUAL)	+3.39%	NI15 (CAP)	+1.27%
CNX CONSUMPTION (EQUAL)	+1.76%	CNX FMCG (CAP)	+1.24%
CNX PSE (EQUAL)	-0.52%	CNX CONSUMPTION (CAP)	+0.19%
CNX ENERGY (EQUAL)	-0.78%	CNX MNC (CAP)	-0.46%
CPSE INDEX (EQUAL)	-0.92%	CNX IT (CAP)	-1.19%
CNX INFRA (EQUAL)	-0.97%	CNX PSE (CAP)	-1.46%
CNX AUTO (EQUAL)	-1.28%	LIX15 Midcap (CAP)	-1.51%
CNX MNC (EQUAL)	-1.36%	CNX ENERGY (CAP)	-1.53%
CNX COMMODITIES (EQUAL)	-1.50%	CNX METAL (CAP)	-1.80%
CNX PHARMA (EQUAL)	-1.65%	CNX COMMODITIES (CAP)	-1.88%
CNX MEDIA (EQUAL)	-2.11%	CNX SERVICE (CAP)	-1.91%
CNX SERVICE (EQUAL)	-2.59%	CNX AUTO (CAP)	-2.70%
CNX METAL (EQUAL)	-2.95%	CPSE INDEX (CAP)	-2.82%
LIX15 Midcap (EQUAL)	-2.99%	CNX FINANCE (CAP)	-3.43%
CNX FINANCE (EQUAL)	-3.93%	NV20 (CAP)	-3.84%
CNX REALTY (EQUAL)	-4.17%	CNX PSU BANK (CAP)	-4.89%
NV20 (EQUAL)	-4.30%	CNX REALTY (CAP)	-5.09%
CNX BANK (EQUAL)	-4.72%	CNX BANK (CAP)	-5.39%
LIX 15 (EQUAL)	-5.42%	LIX 15 (CAP)	-6.05%
CNX PSU BANK (EQUAL)	-7.84%	CNX MEDIA (CAP)	-6.91%

Categories Your Money Tags index, momentum, weekly

Correlation Update 18.04.2015

stockviz April 18, 2015April 18, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Categories Your Money Tags correlation, weekly

Holiday Bell 14.04.2015

shyam April 14, 2015April 14, 2015

Your world at 9am

world.2015-04-14

Equities

Major
DAX(DEU)	-0.29%
CAC(FRA)	+0.26%
UKX(GBR)	-0.36%
NKY(JPN)	-0.04%
SPX(USA)	-0.46%

MINTs
JCI(IDN)	-0.17%
INMEX(MEX)	+0.30%
NGSEINDX(NGA)	+0.74%
XU030(TUR)	-1.03%

BRICS
IBOV(BRA)	+0.05%
SHCOMP(CHN)	+0.49%
NIFTY(IND)	+0.61%
INDEXCF(RUS)	+1.28%
TOP40(ZAF)	+0.37%

Commodities

Energy
Brent Crude Oil	+0.86%
Ethanol	+0.00%
Heating Oil	+0.85%
Natural Gas	+0.48%
RBOB Gasoline	+0.57%
WTI Crude Oil	+0.98%

Metals
Copper	+0.00%
Gold 100oz	+0.11%
Palladium	-0.74%
Platinum	+0.29%
Silver 5000oz	+0.00%

Currencies

USDEUR:-0.13% USDJPY:-0.24%

MINTs
USDIDR(IDN)	+0.09%
USDMXN(MEX)	-0.13%
USDNGN(NGA)	-0.00%
USDTRY(TUR)	-0.26%

BRICS
USDBRL(BRA)	+1.49%
USDCNY(CHN)	-0.03%
USDINR(IND)	+0.30%
USDRUB(RUS)	-0.29%
USDZAR(ZAF)	-0.48%

Agricultural
Cattle	+0.00%
Coffee (Robusta)	+0.00%
Lumber	-1.66%
Wheat	+0.10%
White Sugar	+0.00%
Corn	+0.13%
Orange Juice	-2.09%
Cocoa	+0.00%
Coffee (Arabica)	-0.74%
Cotton	-0.08%
Feeder Cattle	+0.00%
Lean Hogs	+0.00%
Sugar #11	+1.17%
Soybean Meal	+0.42%
Soybeans	+0.21%

Must reads

S&P: India’s hard-won fiscal improvement is vulnerable to financial or commodity shock, because of high subsidy and public debt. (ET, #economy)

Consumer price inflation hit a three-month low of 5.17% in March. (FE, #inflation)

Soon, we will all be totally jobless:

Robot cook: A pair of dexterous robotic hands, suspended from the ceiling, assemble the ingredients, mix them, and cook them in pots and pans as required, on a hob or in an oven. When the dish is ready, they then serve it with the flourish of a professional. (Economist)
On-call scheduling: Software that forecasts staffing needs based on real-time sales and traffic information. (WSJ)
Proof that income inequality cannot be fixed by education: High-skilled workers have moved down the occupational ladder and have begun to perform jobs traditionally performed by lower-skilled workers. (NBER)

Markets closed today on account of Dr. Baba Saheb Ambedkar Jayanti

Categories Your Money Tags daily

Weekly Recap: What Causes Recessions?

shyam April 11, 2015April 11, 2015

world.2015-04-1.2015-04-10

Equities

Major
DAX(DEU)	+3.11%
CAC(FRA)	+3.52%
UKX(GBR)	+4.12%
NKY(JPN)	+4.59%
SPX(USA)	+2.24%

MINTs
JCI(IDN)	+0.45%
INMEX(MEX)	+2.01%
NGSEINDX(NGA)	+1.57%
XU030(TUR)	+1.23%

BRICS
IBOV(BRA)	+3.42%
SHCOMP(CHN)	+5.88%
NIFTY(IND)	+2.26%
INDEXCF(RUS)	-0.29%
TOP40(ZAF)	+2.18%

Commodities

Energy
Heating Oil	+1.02%
Brent Crude Oil	+1.01%
Ethanol	+1.03%
Natural Gas	-4.35%
RBOB Gasoline	-1.32%
WTI Crude Oil	+3.27%

Metals
Silver 5000oz	-1.20%
Palladium	+3.72%
Platinum	+0.60%
Copper	-0.36%
Gold 100oz	+0.17%

Currencies

USDEUR:+1.61% USDJPY:+0.50%

MINTs
USDIDR(IDN)	-0.93%
USDMXN(MEX)	+0.66%
USDNGN(NGA)	+0.01%
USDTRY(TUR)	+1.17%

BRICS
USDBRL(BRA)	-3.03%
USDCNY(CHN)	+0.17%
USDINR(IND)	-0.28%
USDRUB(RUS)	-6.78%
USDZAR(ZAF)	+0.07%

Agricultural
Sugar #11	+4.55%
Coffee (Arabica)	+1.08%
Coffee (Robusta)	+6.95%
Corn	-1.18%
Feeder Cattle	-3.00%
White Sugar	+2.18%
Cotton	+3.65%
Lean Hogs	-0.53%
Lumber	-2.52%
Orange Juice	-9.96%
Soybean Meal	-6.64%
Soybeans	-3.82%
Cattle	-1.88%
Cocoa	+0.99%
Wheat	-0.57%

Credit Indices

Index	Change
Markit CDX EM	+1.47%
Markit CDX NA HY	+0.49%
Markit CDX NA IG	-3.14%
Markit iTraxx Asia ex-Japan IG	-4.97%
Markit iTraxx Australia	-4.50%
Markit iTraxx Europe	-0.71%
Markit iTraxx Europe Crossover	-11.21%
Markit iTraxx Japan	-1.42%
Markit iTraxx SovX Western Europe	-0.56%
Markit LCDX (Loan CDS)	-0.09%
Markit MCDX (Municipal CDS)	-0.14%

It was a good week for the equity markets. Ruble strength came as a surprise and credit gauges were bullish.

Nifty Heatmap

Index Returns

Sector Performance

Advance Decline

advance.decline.line2.2015-04-1.2015-04-10

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	+10.90%	78/53
2	+11.87%	85/46
3	+12.22%	86/45
4	+11.65%	83/47
5	+9.90%	86/45
6	+8.36%	79/52
7	+8.67%	78/52
8	+5.18%	73/58
9	+4.27%	70/61
10 (mega)	+3.25%	71/60

A broad-based rally saw mid- and small-caps out-perform the large-caps.

Top Winners and Losers

GODREJCP	+10.90%
UBL	+14.68%
RCOM	+18.53%
LUPIN	-3.60%
HDFC	-3.49%
FEDERALBNK	-3.38%

Rally in RCOM seems a bit premature…

ETF Performance

JUNIORBEES	+4.48%
CPSEETF	+3.62%
PSUBNKBEES	+3.57%
NIFTYBEES	+2.22%
BANKBEES	+1.07%
INFRABEES	+1.07%
GOLDBEES	+0.83%

Green across the board, but gold under-performed equities…

Gold vs. Midcaps

You can send this to your mother-in-law. (http://svz.bz/1CCWifr)

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
GSEC TB	+0.01	+0.21%
GSEC SUB 1-3	+0.14	+0.19%
GSEC SUB 3-8	+0.09	-0.00%
GSEC SUB 8	+0.11	-0.48%

Rates went up a smidgen. One would think that with the Moody’s change in outlook to “Positive”, we would have seen a rally in bonds…

Investment Theme Performance

Financial Strength Value	+11.00%
Momentum	+10.31%
Quality to Price	+10.22%
ADAG stocks	+10.04%
Textile, Metals, Chemicals, Paper and Energy Quality to Price	+6.96%
High Beta	+6.56%
Auto and Consumer Goods Quality to Price	+5.58%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	+4.90%
Magic Formula	+4.84%
PPFAS Long Term Value	+4.68%
Tactical CNX 100	+4.50%
Balance Sheet Strength	+4.33%
ASK Life	+4.32%
CNX 100 Enterprise Yield	+3.67%
Low Volatility	+3.05%
Next Trillion	+2.22%

A week when all strategies kicked in…

Equity Mutual Funds

Best
Mirae Asset China Advantage Fund – Regular Plan Growth Option	+11.02%
SBI Smal & Midcap – Regular Plan – Growth	+6.76%
Escorts Leading Sectors Fund – Growth Option	+6.39%
HSBC Midcap Equity Fund – Growth	+6.13%
Kotak Global Emerging Market Fund – Growth	+5.98%
DSP BlackRock Micro Cap Fund – Regular – Growth	+5.90%
MOSt Focused Midcap 30-Regular Plan-Growth Option	+5.89%

Worst
ICICI Prudential Equity Arbitrage Fund – Regular Plan – Growth	+0.15%
BIRLA SUN LIFE ENHANCED ARBITRAGE FUND – RETAIL PLAN – GROWTH	+0.14%
ICICI Prudential Blended Plan A – Regular Plan – Growth	+0.13%
Kotak Equity Arbitrage Fund – Growth	+0.13%
Principal Debt Savings Fund – MIP – Growth Option	+0.05%
IDFC Arbitrage Plus Fund-Regular Plan-Growth	+0.04%
Birla Sun Life International Equity Fund Plan A- Growth	+0.03%

Bond Mutual Funds

Best
Escorts Income Plan-Growth	+0.49%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan	+0.40%
DWS PREMIER BOND FUND INST PLAN GROWTH	+0.38%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.30%
Kotak Coporate Bond Fund- Retail Plan-Growth Option	+0.27%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.27%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.26%

Worst
Canara Robeco Gilt PGS – Regular Plan – Growth	-0.34%
IDBI Gilt Fund Growth	-0.34%
Religare Invesco GILT Fund – Long Duration Plan – Growth	-0.37%
JM Income Fund-Growth Plan – Growth Option	-0.39%
HDFC Inflation Indexed Bond Fund – Regular Growth	-0.60%
DWS Inflation Indexed Bond Fund- Regular Plan- Growth	-0.75%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	-0.78%

Thought for the weekend

The market adjusts by the price mechanism. If the cost of something goes up, the price goes up to match. If demand falls, the price drops until the market clears. But prices themselves can’t adjust in response to events. This phenomenon is called “sticky prices.”

When prices are even a little sticky, bursts of technological progress actually hurt the economy for a short while, by causing a burst of deflation, before eventually boosting growth.

Source: How sticky prices might be the cause of recessions

Categories Your Money Tags weekly

Index Update 11.04.2015

stockviz April 11, 2015April 11, 2015

MOMENTUM

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

Refactored Index Performance

50-day performance, from January 28, 2015 through April 10, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+11.64%	CNX PHARMA (CAP)	+11.49%
CNX IT (EQUAL)	+11.54%	CNX IT (CAP)	+4.35%
NI15 (EQUAL)	+5.69%	NI15 (CAP)	+3.88%
CNX REALTY (EQUAL)	+3.89%	CNX REALTY (CAP)	+3.73%
CNX INFRA (EQUAL)	+2.05%	CNX INFRA (CAP)	+3.40%
CNX CONSUMPTION (EQUAL)	+1.53%	CNX FMCG (CAP)	+0.94%
CNX AUTO (EQUAL)	+0.94%	CNX MNC (CAP)	-0.15%
CNX PSE (EQUAL)	+0.84%	CNX AUTO (CAP)	-0.47%
CNX ENERGY (EQUAL)	+0.52%	CNX CONSUMPTION (CAP)	-0.90%
CNX PHARMA (EQUAL)	+0.33%	CNX COMMODITIES (CAP)	-1.12%
CPSE INDEX (EQUAL)	+0.17%	CNX ENERGY (CAP)	-1.30%
CNX COMMODITIES (EQUAL)	+0.14%	CNX PSE (CAP)	-1.37%
CNX MNC (EQUAL)	+0.05%	LIX15 Midcap (CAP)	-1.47%
CNX MEDIA (EQUAL)	-0.61%	CNX SERVICE (CAP)	-2.73%
CNX SERVICE (EQUAL)	-2.90%	CNX METAL (CAP)	-3.40%
LIX15 Midcap (EQUAL)	-3.43%	CPSE INDEX (CAP)	-4.24%
CNX METAL (EQUAL)	-3.72%	LIX 15 (CAP)	-4.77%
CNX FINANCE (EQUAL)	-4.07%	NV20 (CAP)	-5.13%
LIX 15 (EQUAL)	-5.06%	CNX MEDIA (CAP)	-6.45%
NV20 (EQUAL)	-5.71%	CNX FINANCE (CAP)	-6.84%
CNX BANK (EQUAL)	-9.94%	CNX BANK (CAP)	-8.26%
CNX PSU BANK (EQUAL)	-18.54%	CNX PSU BANK (CAP)	-17.25%

Categories Your Money Tags index, momentum, weekly