Is there a correlation between USDINR and Tech stocks?

tl;dr

No.

The Myth

Regular viewers of CNBC might have heard the refrain that “IT stocks went up because the rupee went down.” But it turns out that it is the classic case of the journalist/reporter/anchor going in search of a reason to explain a random market event. If there is such a correlation, then a scatter plot of USDINR returns vs. CNX IT index returns should unearth it.

Scatter Plots of Returns

Weekly:
CNX IT.USDINR.scatter.weekly

Daily:
CNX IT.USDINR.scatter.daily

As you can see, there is no obvious link between USDINR and technology stocks. But what if the effect manifests after a lag?

Cross-Correlation Plots of Returns with Lag

Weekly:
CNX IT.USDINR.ccf.weekly

Daily:
CNX IT.USDINR.ccf.daily

Conclusion

Currency moves alone cannot be your go-to explanation for fluctuations in tech stocks.

Monthly Recap: Good investing hurts

world.2015-03-31.2015-04-30

Equities

Major
DAX(DEU) -4.28%
CAC(FRA) +0.26%
UKX(GBR) +3.14%
NKY(JPN) +1.69%
SPX(USA) +1.41%
MINTs
JCI(IDN) -7.83%
INMEX(MEX) +1.82%
NGSEINDX(NGA) +9.31%
XU030(TUR) +3.34%
BRICS
IBOV(BRA) +9.54%
SHCOMP(CHN) +18.51%
NIFTY(IND) -3.65%
INDEXCF(RUS) +3.82%
TOP40(ZAF) +4.73%

Commodities

Energy
WTI Crude Oil +23.33%
Ethanol +7.84%
Heating Oil +15.86%
RBOB Gasoline +14.75%
Brent Crude Oil +19.90%
Natural Gas +4.57%
Metals
Copper +6.91%
Palladium +5.40%
Gold 100oz -0.37%
Silver 5000oz -3.01%
Platinum -0.82%

Currencies

USDEUR:-4.08% USDJPY:+0.18%

MINTs
USDIDR(IDN) -0.96%
USDMXN(MEX) +1.88%
USDNGN(NGA) -0.62%
USDTRY(TUR) +4.23%
BRICS
USDBRL(BRA) -6.36%
USDCNY(CHN) +0.06%
USDINR(IND) +1.48%
USDRUB(RUS) -10.79%
USDZAR(ZAF) -0.61%
Agricultural
Cocoa +4.00%
Coffee (Arabica) -0.94%
Coffee (Robusta) +1.94%
Cotton +4.63%
Soybean Meal -3.44%
Corn -4.25%
Lean Hogs +22.47%
Lumber -8.52%
Orange Juice -8.61%
Soybeans -0.44%
Sugar #11 +7.58%
Feeder Cattle -2.02%
Wheat -8.19%
Cattle -7.48%
White Sugar +4.89%

Credit Indices

Index Change
Markit CDX EM +3.58%
Markit CDX NA HY -0.55%
Markit CDX NA IG -2.44%
Markit iTraxx Asia ex-Japan IG +7.09%
Markit iTraxx Australia +6.74%
Markit iTraxx Europe +9.57%
Markit iTraxx Europe Crossover +1.39%
Markit iTraxx Japan -3.23%
Markit iTraxx SovX Western Europe +2.17%
Markit LCDX (Loan CDS) -0.11%
Markit MCDX (Municipal CDS) +1.70%
Both the NIFTY and the rupee put in performances that they sooner forget. Stretched evaluations met a tepid earnings season and retroactive tax demands on FIIs. May will see more firms coming out earnings and we expect the markets to remain choppy.

Nifty Heatmap

CNX NIFTY.2015-03-31.2015-04-30

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index performance.2015-03-31.2015-04-30

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +3.97% 82/50
2 +10.85% 82/49
3 +7.66% 78/53
4 +6.24% 68/64
5 +4.32% 72/59
6 +2.89% 68/63
7 +2.84% 71/61
8 -2.06% 66/65
9 -3.55% 64/67
10 (mega) -2.64% 58/74
This doesn’t make any sense…

Top Winners and Losers

UPL +10.97%
GLENMARK +13.25%
TATASTEEL +13.76%
APOLLOHOSP -16.95%
WIPRO -14.35%
SRTRANSFIN -12.97%
A smorgasbord of performance…

ETF Performance

GOLDBEES +3.56%
PSUBNKBEES +2.07%
BANKBEES +1.54%
JUNIORBEES -0.62%
CPSEETF -2.15%
NIFTYBEES -3.29%
INFRABEES -5.49%
Infrastructure got whipped…

Yield Curve

yield Curve.2015-03-31.2015-04-30

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.09 +0.66%
GSEC SUB 1-3 -0.60 +0.25%
GSEC SUB 3-8 +0.04 +0.20%
GSEC SUB 8 +0.16 -0.07%
Listless…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought to sum up the month

Good investing hurts. Investors pay a high price for comfort and get paid a high price for doing what few others will. That will always be the case.

Source: This Was Never Easy

Weekly Recap: May Day

world.2015-04-24.2015-05-01

Equities

Major
DAX(DEU) -3.02%
CAC(FRA) -2.98%
UKX(GBR) -1.20%
NKY(JPN) -2.44%
SPX(USA) -0.49%
MINTs
JCI(IDN) -6.42%
INMEX(MEX) -1.97%
NGSEINDX(NGA) +0.64%
XU030(TUR) -1.90%
BRICS
IBOV(BRA) -0.74%
SHCOMP(CHN) +1.09%
NIFTY(IND) -1.49%
INDEXCF(RUS) +0.34%
TOP40(ZAF) -1.57%

Commodities

Energy
Heating Oil +3.51%
Ethanol -0.06%
Brent Crude Oil +2.61%
Natural Gas +9.66%
RBOB Gasoline +2.36%
WTI Crude Oil +3.93%
Metals
Gold 100oz +0.07%
Palladium +0.62%
Copper +6.91%
Platinum +0.85%
Silver 5000oz +1.90%

Currencies

USDEUR:-2.96% USDJPY:+1.06%

MINTs
USDIDR(IDN) +0.20%
USDMXN(MEX) +1.01%
USDNGN(NGA) -0.26%
USDTRY(TUR) -0.40%
BRICS
USDBRL(BRA) +1.68%
USDCNY(CHN) +0.14%
USDINR(IND) -0.22%
USDRUB(RUS) +1.76%
USDZAR(ZAF) -0.36%
Agricultural
Cocoa +0.61%
Coffee (Arabica) -7.30%
Coffee (Robusta) -3.84%
Cotton +1.74%
Cattle -7.32%
Lean Hogs +6.12%
Lumber -1.59%
Orange Juice -0.83%
Soybeans -0.05%
Sugar #11 -1.75%
Feeder Cattle -0.68%
Wheat -3.04%
White Sugar -0.35%
Corn -1.17%
Soybean Meal +0.13%

Credit Indices

Index Change
Markit CDX EM -0.13%
Markit CDX NA HY -0.15%
Markit CDX NA IG +1.38%
Markit iTraxx Asia ex-Japan IG -0.23%
Markit iTraxx Australia +0.03%
Markit iTraxx Europe +0.76%
Markit iTraxx Europe Crossover +7.53%
Markit iTraxx Japan +0.72%
Markit iTraxx SovX Western Europe -0.02%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.41%
Are world markets prepping for “sell in May and go away?”

Nifty Heatmap

CNX NIFTY.2015-04-24.2015-04-30

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index performance.2015-04-24.2015-04-30

Sector Performance

sector performance.2015-04-24.2015-04-30

Advance Decline

advance.decline.line2.2015-04-24.2015-04-30

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 -8.22% 64/68
2 -5.11% 56/75
3 -5.87% 50/81
4 -3.93% 57/74
5 -4.40% 62/69
6 -3.90% 61/70
7 -3.51% 56/75
8 -4.70% 64/67
9 -4.26% 59/72
10 -1.21% 70/62
An ocean of red, nary a green in sight…

Top Winners and Losers

MOTHERSUMI +7.93%
SIEMENS +10.80%
UPL +12.87%
UBL -12.70%
APOLLOHOSP -12.21%
ITC -7.36%
What’s next for ITC?

ETF Performance

BANKBEES +2.20%
GOLDBEES +1.00%
JUNIORBEES -0.71%
NIFTYBEES -1.19%
PSUBNKBEES -1.47%
CPSEETF -2.27%
INFRABEES -3.91%
Have banks found a bottom?

Yield Curve

yield Curve.2015-04-24.2015-04-30

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.18 +0.18%
GSEC SUB 1-3 -0.04 +0.34%
GSEC SUB 3-8 -0.00 +0.26%
GSEC SUB 8 +0.02 +0.12%
Rates went down a smidgen…

Investment Theme Performance

Magic Formula turned into Tragic Formula thanks to the cliff dive in KPIT stock. But the specks of green may be indicating that the current correction is on its last legs…

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

The issue of inequality has never been about the fairness of the results, but should focus on the equality of opportunity.

The neo-classical solutions that the markets will take care of everything risks the kind of social instability seen in places like Ferguson, Baltimore, or worse.

You can use comparative advantages, such as low labor costs and convenient geographic proximity to markets, to spur development. But the Porter-Jacobs framework doesn’t explain why India and China succeeded and Kenya and Egypt didn’t.

You are left with culture: both the Jews and the Romani (Gypsies) have historically been outcasts in Europe. How did one group succeed and acquire power (e.g., the Rothchilds) and the other remains shunned throughout the region?

Source: May Day thoughts on inequality (and development)

Index Update 02.05.2015

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 2015-04-30 png

index momentum best 50 2015-04-30 png

index momentum worst 365 2015-04-30 png

index momentum worst 50 2015-04-30 png

Refactored Index Performance

50-day performance, from February 16, 2015 through April 30, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.02
2015-Jan-27
CNX BANK SHORT
10.79
2015-Jan-27
CNX ENERGY SHORT
30.64
2008-Jan-14
CNX FMCG SHORT
12.49
2015-Feb-25
CNX INFRA SHORT
49.61
2008-Jan-09
CNX IT SHORT
88.48
2000-Feb-21
CNX MEDIA SHORT
30.24
2008-Jan-04
CNX METAL SHORT
56.27
2008-Jan-04
CNX MNC SHORT
6.12
2015-Mar-12
CNX NIFTY SHORT
9.06
2015-Mar-03
CNX PHARMA SHORT
12.82
2015-Apr-08
CNX PSE SHORT
27.16
2008-Jan-04
CNX REALTY SHORT
89.10
2008-Jan-14
MNCs remain an oasis of calm in a desert landscape filled with fallen stars. Every other sector index has experienced double digit drawdowns from this year’s highs. Some indices are yet to recover from their 2008 blow offs. Are we due for a reversal?

Correlation Update 02.05.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month 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.