StockViz – Page 117 – Invest Without Emotions

Is there a correlation between USDINR and Tech stocks?

shyam May 2, 2015

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.

Categories Investing Insight, Your Money Tags myth, quant

Monthly Recap: Good investing hurts

shyam May 2, 2015May 2, 2015

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

Index Returns

For a deeper dive into indices, check out our weekly Index Update.

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

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

Textile, Metals, Chemicals, Paper and Energy Quality to Price	+4.76%
Financial Strength Value	+3.32%
Tactical CNX 100	+2.51%
Momentum	-0.11%
Auto and Consumer Goods Quality to Price	-0.32%
Balance Sheet Strength	-0.61%
Quality to Price	-2.49%
ADAG stocks	-2.65%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	-3.16%
High Beta	-3.29%
CNX 100 Enterprise Yield	-4.41%
ASK Life	-5.50%
Low Volatility	-6.67%
PPFAS Long Term Value	-7.89%
Magic Formula	-8.44%
Next Trillion	-10.54%

Drawdowns galore across investment strategies…

Equity Mutual Funds

Best
Mirae Asset China Advantage Fund – Regular Plan Growth Option	+16.08%
JPMorgan Greater China Equity Off-shore Fund – Regular Plan – Growth Option	+13.54%
HSBC Brazil Fund-Growth	+12.24%
DSP BlackRock World Energy Fund – Regular Plan – Growth	+9.68%
DSP BlackRock World Mining Fund – Regular Plan – Growth	+9.67%
Mirae Asset Global Commodity Stocks – Growth Option	+9.40%
HSBC Emerging Markets Fund – Growth	+9.35%

Worst
BNP Paribas Long Term Equity Fund – Growth Option	-5.39%
HSBC Progressive Themes Fund – Growth	-5.41%
Axis Focused 25 Fund – Growth Option	-5.46%
Canara Robeco Infrastructure – Regular Plan – GROWTH	-5.65%
BNP PARIBAS Equity Fund-Growth Option	-5.69%
Religare Invesco AGILE Fund – Growth Option	-6.18%
Sundaram Growth Fund-Growth	-7.62%

Bond Mutual Funds

Best
Escorts Income Plan-Growth	+0.95%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.79%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.70%
Franklin India Dynamic Accrual Fund-Growth	+0.62%
Kotak Coporate Bond Fund- Retail Plan-Growth Option	+0.58%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.55%
Reliance Corporate Bond Fund – Growth Option	+0.51%

Worst
Canara Robeco Gilt PGS – Regular Plan – Growth	-0.52%
BARODA PIONEER INCOME FUND – Plan A – Growth Option	-0.53%
IDBI Gilt Fund Growth	-0.55%
Religare Invesco GILT Fund – Long Duration Plan – Growth	-0.61%
HDFC Inflation Indexed Bond Fund – Regular Growth	-0.72%
DWS Inflation Indexed Bond Fund- Regular Plan- Growth	-0.93%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	-0.95%

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

Categories Your Money Tags monthly

Weekly Recap: May Day

shyam May 2, 2015

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

Index Returns

For a deeper dive into indices, check out our weekly Index Update.

Sector Performance

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

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

Textile, Metals, Chemicals, Paper and Energy Quality to Price	+2.46%
Financial Strength Value	+2.29%
Next Trillion	+1.99%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	+1.03%
Low Volatility	+0.86%
Auto and Consumer Goods Quality to Price	+0.83%
The RBI Restricted List	+0.37%
Tactical CNX 100	-0.00%
CNX 100 Enterprise Yield	-0.17%
PPFAS Long Term Value	-0.52%
ASK Life	-0.55%
Momentum	-0.98%
High Beta	-1.18%
Balance Sheet Strength	-1.46%
ADAG stocks	-3.10%
Quality to Price	-3.23%
Magic Formula	-5.12%

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

Best
DSP BlackRock World Gold Fund – Regular Plan – Growth	+3.19%
Reliance Growth Fund-Growth Plan-Growth Option	+1.52%
JM Core 11 Fund – Growth option	+1.42%
Kotak Global Emerging Market Fund – Growth	+1.40%
Birla Sun Life Advantage Fund – Regular Growth	+1.32%
HSBC Midcap Equity Fund – Growth	+1.28%
DSP BlackRock World Energy Fund – Regular Plan – Growth	+1.21%

Worst
SBI PSU Fund – REGULAR PLAN -Growth	-1.75%
Baroda Pioneer PSU Equity Fund- Plan A – Growth Option	-1.92%
Birla Sun Life Pure Value Fund – Growth Option	-1.93%
Sundaram Growth Fund-Growth	-2.03%
JPMorgan ASEAN Equity Off-shore Fund – Regular Plan – Growth Option	-2.35%
HSBC Brazil Fund-Growth	-3.20%
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth	-3.24%

Bond Mutual Funds

Best
DWS Inflation Indexed Bond Fund- Regular Plan- Growth	+0.21%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	+0.16%
HDFC Inflation Indexed Bond Fund – Regular Growth	+0.15%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.10%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.08%
Kotak Coporate Bond Fund- Retail Plan-Growth Option	+0.07%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.06%

Worst
Franklin India Govt.Sec. Fund-Long Term Plan – Growth	-0.35%
JM G-Sec Fund-Regular Plan-Growth Plan – Growth Option	-0.36%
JPMorgan India Government Securities Fund – Regular Plan – Growth Option	-0.37%
IIFL Dynamic Bond Fund – Regular Plan – Growth Option	-0.39%
DSP BlackRock Constant Maturity 10Y G-Sec Fund – Regular Plan – Growth	-0.40%
Canara Robeco Gilt PGS – Regular Plan – Growth	-0.40%
Birla Sun Life Govt, Securities Long Term Fund-Plan B (Growth)	-0.42%

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)

Categories Your Money Tags weekly

Index Update 02.05.2015

stockviz May 2, 2015May 2, 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 16, 2015 through April 30, 2015:

Equally Weighted		Market Cap. Weighted
CNX MNC (EQUAL)	-0.40%	CNX INFRA (CAP)	-1.12%
CNX FMCG (EQUAL)	-1.55%	CNX MNC (CAP)	-2.13%
CNX INFRA (EQUAL)	-3.18%	CNX PHARMA (CAP)	-2.40%
CNX ENERGY (EQUAL)	-3.99%	LIX15 Midcap (CAP)	-3.33%
CNX BANK (EQUAL)	-4.18%	CNX BANK (CAP)	-4.37%
CNX PSE (EQUAL)	-4.32%	CNX PSE (CAP)	-4.71%
CNX AUTO (EQUAL)	-4.44%	CNX ENERGY (CAP)	-5.23%
LIX15 Midcap (EQUAL)	-4.90%	CNX COMMODITIES (CAP)	-5.49%
CNX CONSUMPTION (EQUAL)	-5.11%	CNX AUTO (CAP)	-5.52%
CPSE INDEX (EQUAL)	-5.22%	CNX FINANCE (CAP)	-5.83%
CNX COMMODITIES (EQUAL)	-5.72%	CNX METAL (CAP)	-6.19%
CNX FINANCE (EQUAL)	-5.91%	CPSE INDEX (CAP)	-6.46%
NI15 (EQUAL)	-5.94%	LIX 15 (CAP)	-6.91%
CNX SERVICE (EQUAL)	-6.65%	NV20 (CAP)	-7.02%
NV20 (EQUAL)	-6.85%	CNX SERVICE (CAP)	-7.03%
LIX 15 (EQUAL)	-7.11%	CNX CONSUMPTION (CAP)	-7.74%
CNX PHARMA (EQUAL)	-7.32%	NI15 (CAP)	-9.32%
CNX MEDIA (EQUAL)	-8.45%	CNX PSU BANK (CAP)	-10.44%
CNX IT (EQUAL)	-8.75%	CNX REALTY (CAP)	-10.54%
CNX PSU BANK (EQUAL)	-8.96%	CNX FMCG (CAP)	-10.99%
CNX METAL (EQUAL)	-10.05%	CNX MEDIA (CAP)	-11.67%
CNX REALTY (EQUAL)	-10.79%	CNX IT (CAP)	-11.73%

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?

Categories Your Money Tags index, momentum, weekly