Invest Without Emotions
The 10yr yield has been a one way trade ever since the Modi effect took hold.
The curve has become flatter as well, with the 2s10s going back to 0.2 levels.
The entire curve has shifted down a few notches to make way for Modi. The curve above shows 2013-09-02 vs. 2014-06-11.
Stay updated on the latest news related to Indian interest rates here. Its curated.
During our back-testing for pair trading strategies, we found that we were most comfortable in going long the spread (when the spread is below its historical average) and betting on pairs within the same index. We have bundled all the assumptions into an easy to use pair trading “tip-sheet” that can be found here.
The pairs are computed at the end-of-day and live pair status is computed roughly once an hour. The p-value, beta and spread display both end-of-day data and live status side-by-side so that you can decide for yourself if going long the pair makes sense or not.
It is still rough around the edges – you cannot really add a pair to your portfolio and track like you can do with option strategies. But once it is fleshed out, it will be available exclusively to your trading/demat customers.
Pair trading equity futures is not for the faint of heart. The capital at risk is bigger than what most individual investors can stomach. But when done right, the returns are commensurate with the risks.
The Nifty ended the week +4.89% (+4.60% in USD terms.)
| MINTs | |
|---|---|
| JCI(IDN) | +0.88% |
| INMEX(MEX) | +2.62% |
| NGSEINDX(NGA) | +0.13% |
| XU030(TUR) | +1.61% |
| BRICS | |
|---|---|
| IBOV(BRA) | +3.24% |
| SHCOMP(CHN) | -0.45% |
| NIFTY(IND) | +4.89% |
| INDEXCF(RUS) | +3.69% |
| TOP40(ZAF) | +0.64% |
| Energy | |
|---|---|
| Brent Crude Oil | -0.69% |
| Ethanol | -8.35% |
| Heating Oil | -0.22% |
| Natural Gas | +3.56% |
| RBOB Gasoline | -1.71% |
| WTI Crude Oil | +0.19% |
| Metals | |
|---|---|
| Copper | -2.55% |
| Gold 100oz | +0.61% |
| Palladium | +1.12% |
| Platinum | +0.08% |
| Silver 5000oz | +1.60% |
| MINTs | |
|---|---|
| USDIDR(IDN) | +1.38% |
| USDMXN(MEX) | +0.58% |
| USDNGN(NGA) | +1.02% |
| USDTRY(TUR) | -0.89% |
| BRICS | |
|---|---|
| USDBRL(BRA) | +0.16% |
| USDCNY(CHN) | +0.06% |
| USDINR(IND) | +0.14% |
| USDRUB(RUS) | -1.38% |
| USDZAR(ZAF) | +0.12% |
| Agricultural | |
|---|---|
| Cattle | +2.21% |
| Cocoa | +0.15% |
| Coffee (Arabica) | -3.32% |
| Coffee (Robusta) | +1.98% |
| Corn | -1.71% |
| Cotton | -1.01% |
| Feeder Cattle | +1.85% |
| Lean Hogs | +1.59% |
| Lumber | -2.47% |
| Orange Juice | +2.25% |
| Soybean Meal | -2.38% |
| Soybeans | -2.43% |
| Sugar #11 | -2.25% |
| Wheat | -1.51% |
| White Sugar | -2.15% |
| JUNIORBEES | +6.30% |
| PSUBNKBEES | +5.43% |
| NIFTYBEES | +5.24% |
| BANKBEES | +4.98% |
| INFRABEES | +3.03% |
| GOLDBEES | -0.75% |
| Magic Formula Investing | +10.17% |
| Market Fliers | +9.86% |
| Financial Strength Value | +8.03% |
| Quality to Price | +7.07% |
| Balance-sheet Strength | +6.18% |
| Consistent10* | +5.69% |
| Enterprise Yield | +5.01% |
| Long Term Equity* | +4.34% |
| IT 3rd Benchers | +3.11% |
| Momentum 200 | +3.06% |
| Market Elephants | +1.71% |
| Growth with Moat | +1.00% |
| Efficient Growth | -0.20% |
Bonds got bid up, yields compressed across the curve…
Source: Perma-Arguments
On the NSE, you can find two indices: CNX PSE and CNX MNC. They have been around since Jan-1995 – providing a quantifiable glimpse into how badly Nehruvian socialism has fared in modern India.
CNX PSE: +247.69%
CNX MNC: +619.05%
There has been a lot of talk recently about reforming PSEs. The SEBI wants the 25% public shareholding rule to apply to all public sector companies as well. The earlier (UPA-2) government, finding no takers for PSE stock, got Goldman to form an ETF to put some lipstick on the sector. The Rajiv Gandhi Equity Savings Scheme gave out tax sops to get retail investors into “Maharatna, Navratna, or Miniratna” stocks.
As much as I would like to believe that things are going to be different this time, you can’t dismiss the fact that PSEs have only lost money for investors. Once the crutches come off, these firms will anyway have to go through gut-wrenching transformations to compete in the real world. That would be a better trigger to enter these stocks (if and when they happen) rather than now when all we have are promises.
The Nifty pitched in with a +7.97% bump (+10.35% in USD terms)
| MINTs | |
|---|---|
| JCI(IDN) | +1.11% |
| INMEX(MEX) | +2.27% |
| NGSEINDX(NGA) | +7.77% |
| XU030(TUR) | +7.85% |
| BRICS | |
|---|---|
| IBOV(BRA) | -0.25% |
| SHCOMP(CHN) | +0.63% |
| NIFTY(IND) | +7.97% |
| INDEXCF(RUS) | +9.65% |
| TOP40(ZAF) | +1.91% |
| Energy | |
|---|---|
| Brent Crude Oil | +1.35% |
| Ethanol | +4.87% |
| Heating Oil | -1.51% |
| Natural Gas | -5.54% |
| RBOB Gasoline | -1.18% |
| WTI Crude Oil | +3.40% |
| Metals | |
|---|---|
| Copper | +3.96% |
| Gold 100oz | -3.39% |
| Palladium | +3.27% |
| Platinum | +1.79% |
| Silver 5000oz | -2.08% |
| MINTs | |
|---|---|
| USDIDR(IDN) | +0.99% |
| USDMXN(MEX) | -1.73% |
| USDNGN(NGA) | -1.36% |
| USDTRY(TUR) | -0.88% |
| BRICS | |
|---|---|
| USDBRL(BRA) | +0.13% |
| USDCNY(CHN) | -0.20% |
| USDINR(IND) | -2.04% |
| USDRUB(RUS) | -2.15% |
| USDZAR(ZAF) | +0.52% |
| Agricultural | |
|---|---|
| Cattle | -5.59% |
| Cocoa | +6.21% |
| Coffee (Arabica) | -13.98% |
| Coffee (Robusta) | -10.70% |
| Corn | -9.49% |
| Cotton | -9.02% |
| Feeder Cattle | +8.98% |
| Lean Hogs | -3.53% |
| Lumber | -7.36% |
| Orange Juice | +2.80% |
| Soybean Meal | -0.75% |
| Soybeans | -2.53% |
| Sugar #11 | +0.58% |
| Wheat | -11.99% |
| White Sugar | -1.45% |
| INFRABEES | +28.66% |
| PSUBNKBEES | +23.23% |
| JUNIORBEES | +14.23% |
| BANKBEES | +13.71% |
| NIFTYBEES | +7.57% |
| GOLDBEES | -10.54% |
| Market Fliers | +36.20% |
| Long Term Equity* | +18.38% |
| Quality to Price | +17.71% |
| Consistent10* | +14.03% |
| Magic Formula Investing | +13.13% |
| Momentum 200 | +11.97% |
| Enterprise Yield | +11.48% |
| Balance-sheet Strength | +9.33% |
| Growth with Moat | +7.35% |
| IT 3rd Benchers | +5.82% |
| Financial Strength Value | +4.92% |
| Efficient Growth | +4.42% |
| Market Elephants | +3.00% |
Warren Buffett:
My most surprising discovery: the overwhelming importance in business of an unseen force that we might call “the institutional imperative.”
For example:
Source: Warren Buffett: These were my biggest early mistakes