StockViz – Page 80 – Invest Without Emotions

Theme: High Alpha Update 10.06.2016

stockviz June 10, 2016June 10, 2016

	held since	returns (%)
SRF	2015-Dec-23	-1.57
HINDPETRO	2015-Dec-23	+6.23
RAJESHEXPO	2015-Dec-23	-26.10
VAKRANGEE	2015-Dec-23	-7.02
ASHOKLEY	2015-Dec-23	+16.16
TORNTPOWER	2016-Feb-01	-22.75
TATAELXSI	2016-Mar-04	-4.59
JSWSTEEL	2016-Mar-04	+18.75
SKSMICRO	2016-Mar-04	+27.50
PETRONET	2016-Mar-04	+12.32
IGL	2016-Apr-05	+3.13
RELINFRA	2016-Apr-05	+2.02
JUBILANT	2016-Apr-05	-10.48
RAMCOCEM	2016-Apr-05	+28.83
KANSAINER	2016-Apr-05	+4.63
BAJAJFINSV	2016-May-09	-3.48
TRENT	2016-May-09	-0.15
KAJARIACER	2016-May-09	+9.19
CHOLAFIN	2016-May-09	+8.88
FEL	2016-May-09	-82.66

Since the last rebalance on 2016-May-09 till 2016-Jun-09, this strategy has returned -4.84%

You can find more details about the High Alpha Theme here.

Categories Your Money Tags High Alpha, theme

Theme: Low Beta Update 10.06.2016

stockviz June 10, 2016June 10, 2016

	held since	returns (%)
BAJAJHLDNG	2015-Dec-23	-4.63
CARERATING	2015-Dec-23	-20.09
SKFINDIA	2015-Dec-23	+2.64
COLPAL	2015-Dec-23	-8.50
HINDUNILVR	2015-Dec-23	+2.71
SUPREMEIND	2015-Dec-23	+30.59
CHOLAFIN	2015-Dec-23	+55.13
MPHASIS	2015-Dec-23	+10.81
KARURVYSYA	2015-Dec-23	-1.01
CYIENT	2015-Dec-23	+5.79
INDHOTEL	2015-Dec-23	+9.87
CUB	2015-Dec-23	+20.95
AIAENG	2016-Feb-01	+21.71
SUNDARMFIN	2016-Mar-04	+17.71
EMAMILTD	2016-Mar-04	+2.10
TUBEINVEST	2016-Mar-04	+19.09
PIDILITIND	2016-Apr-05	+18.39
POWERGRID	2016-Apr-05	+10.81
ECLERX	2016-May-09	+15.65
BALKRISIND	2016-May-09	+3.22

Since the last rebalance on 2016-May-09 till 2016-Jun-09, this strategy has returned +7.05%

You can find more details about the Low Beta Theme here.

Categories Your Money Tags Low Beta, theme

Theme: High Beta Update 03.06.2016

stockviz June 3, 2016June 3, 2016

	held since	returns (%)
CANBK	2013-Oct-28	-22.11
CENTURYTEX	2015-Dec-23	+8.36
RELINFRA	2015-Dec-23	+12.66
RELCAPITAL	2015-Dec-23	-0.67
ARVIND	2015-Dec-23	-5.11
TATASTEEL	2015-Dec-23	+28.32
UNIONBANK	2015-Dec-23	-23.55
DLF	2015-Dec-23	+16.32
VEDL	2015-Dec-23	+23.34
RCOM	2015-Dec-23	-35.49
SUZLON	2015-Dec-23	-17.46
GMRINFRA	2015-Dec-23	-27.01
TATAELXSI	2016-Jan-25	-2.31
ADANIPOWER	2016-Jan-25	+5.25
BANKBARODA	2016-Feb-26	+5.38
HINDALCO	2016-Feb-26	+51.33
WOCKPHARMA	2016-Mar-29	-2.16
IDBI	2016-Mar-29	-6.27
TATAMOTORS	2016-May-02	+9.47
DHFL	2016-May-02	-4.65

Since the last rebalance on 2016-May-02 till 2016-Jun-02, this strategy has returned -1.99%

You can find more details about the High Beta Theme here.

Categories Your Money Tags High Beta, theme

Monthly Recap: May you live in Interesting Times…

shyam June 1, 2016June 1, 2016

Equities

Major
DAX(DEU)	+1.50%
CAC(FRA)	+0.92%
UKX(GBR)	-1.16%
NKY(JPN)	+1.74%
SPX(USA)	+2.15%

MINTs
JCI(IDN)	+0.02%
INMEX(MEX)	-1.61%
NGSEINDX(NGA)	+7.83%
XU030(TUR)	-9.43%

BRICS
IBOV(BRA)	-9.81%
SHCOMP(CHN)	-0.84%
NIFTY(IND)	+4.21%
INDEXCF(RUS)	-2.70%
TOP40(ZAF)	+2.50%

Commodities

Energy
Ethanol	+6.67%
Heating Oil	+7.38%
Natural Gas	+7.49%
Brent Crude Oil	+2.90%
RBOB Gasoline	+0.68%
WTI Crude Oil	+6.55%

Metals
Copper	-7.49%
Platinum	-8.82%
Silver 5000oz	-10.11%
Gold 100oz	-5.52%
Palladium	-12.65%

Currencies

USDEUR:+2.47% USDJPY:+2.45%

MINTs
USDIDR(IDN)	+3.65%
USDMXN(MEX)	+7.17%
USDNGN(NGA)	+0.00%
USDTRY(TUR)	+5.40%

BRICS
USDBRL(BRA)	+4.23%
USDCNY(CHN)	+1.54%
USDINR(IND)	+1.69%
USDRUB(RUS)	+3.25%
USDZAR(ZAF)	+10.07%

Agricultural
Lean Hogs	+3.33%
Lumber	+2.78%
Orange Juice	+20.00%
Wheat	-2.56%
White Sugar	+2.88%
Coffee (Robusta)	+6.04%
Corn	+2.81%
Cotton	+0.28%
Soybean Meal	+18.55%
Soybeans	+5.17%
Cattle	-2.34%
Cocoa	-3.81%
Coffee (Arabica)	+1.70%
Feeder Cattle	+5.01%
Sugar #11	+7.46%

Credit Indices

Index	Change
Markit CDX EM	-0.78%
Markit CDX NA HY	-0.24%
Markit CDX NA IG	+0.19%
Markit iTraxx Asia ex-Japan IG	+0.55%
Markit iTraxx Australia	-4.39%
Markit iTraxx Europe	-0.16%
Markit iTraxx Europe Crossover	+3.18%
Markit iTraxx Japan	-4.31%
Markit MCDX (Municipal CDS)	-2.00%

The US Dollar rallied, NIFTY was the best performing equity index…

International ETFs (USD)

Nifty Heatmap

Index Returns

Market Cap Decile Performance

Top Winners and Losers

PIDILITIND	+17.11%
LT	+17.45%
SRTRANSFIN	+25.19%
ADANIPORTS	-19.33%
RCOM	-16.46%
CIPLA	-11.98%

Mirroring the performance of sector indices…

ETF Performance

INFRABEES	+5.44%
BANKBEES	+4.88%
NIFTYBEES	+3.96%
JUNIORBEES	+2.15%
PSUBNKBEES	+0.93%
CPSEETF	-1.09%
GOLDBEES	-2.63%

Infrastructure caught a bid. But for how long?

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.03	+0.73%
5 10	-0.01	+0.73%
10 15	-0.10	+1.38%
15 20	-0.00	+0.71%
20 30	-0.01	+0.79%

Bonds put in a decent performance…

Investment Theme Performance

Low Beta	+6.53%
Tactical CNX 100	+3.05%
Enterprise Yield	+2.73%
Low Volatility	+2.72%
Acceleration	+2.44%
HighIR Momentum	+1.61%
Balance Sheet Strength	+1.09%
Financial Strength Value	+0.43%
Quality to Price	+0.21%
Magic Formula	-0.23%
High Beta	-1.50%
High Sharpe	-3.46%
Velocity	-4.45%
Momentum	-4.60%
High Alpha	-5.27%

Low Beta/Volatility outperformed momentum…

Equity Mutual Funds

Best
JM Core 11 Fund – Growth option	+9.70%
Escorts Tax Plan-Growth	+6.85%
DSP BlackRock 3 Years Close Ended Equity Fund – Regular Plan – Growth	+6.21%
Sundaram Rural India Fund Growth	+5.91%
Reliance Mid & Small Cap Fund -Growth Plan -Growth Option	+5.47%
Birla Sun Life Small & Midcap Fund – GROWTH	+5.42%
HSBC Equity Fund – Growth	+5.39%

Worst
SBI PSU Fund – REGULAR PLAN -Growth	-0.49%
Axis Triple Advantage Fund – Growth Option	-0.59%
IDFC Infrastructure Fund-Regular Plan-Growth	-0.64%
SBI Smal & Midcap – Regular Plan – Growth	-1.18%
HSBC Progressive Themes Fund – Growth	-1.96%
Baroda Pioneer PSU Equity Fund- Plan A – Growth Option	-2.24%
Principal Global Opportunities Fund-Growth Option	-2.34%

Bond Mutual Funds

Best
SBI Dynamic Bond Fund – REGULAR PLAN – Growth (Previously Magnum NRI – LTP Upto 22/11/09)	+0.83%
SBI Magnum Income Fund-REGULAR PLAN-Growth	+0.73%
ICICI Prudential Short Term Gilt Fund – Growth	+0.73%
Indiabulls Income Fund – Regular Plan – Growth Option	+0.66%
HDFC Gilt Fund-Short Term-Growth	+0.64%
IDFC GSF-Provident Fund-Regular Plan-Growth	+0.64%
Birla Sun Life Treasury Optimizer Plan – Discipline Advantage Plan – Growth	+0.63%

Worst
Sundaram Bond Saver-Growth	+0.22%
Canara Robeco Gilt PGS – Regular Plan – Growth	+0.19%
L&T Gilt Fund-Growth	+0.19%
Canara Robeco Dynamic Bond Fund – Regular Plan – Growth	+0.13%
Birla Sun Life Income Plus – Growth – Regular Plan	+0.09%
JM G-Sec Fund – Growth Option	+0.08%
IDBI Gilt Fund Growth	-0.05%

Indian bonds are cheap…

Institutional flows

Book of the Month

Everything is interpreted through the prism of our own experiences.

The Confidence Game: Why We Fall for It… Every Time by Maria Konnikova (Amazon)

Categories Your Money Tags monthly

Trading Day of Month Returns

shyam May 30, 2016May 30, 2016

An analysis of daily returns of the NIFTY 50 index between 1998 and 2015 shows that:

The first few and the last few trading days of a month are the best days to be long.
Middle of the month returns are more volatile and, on an average, negative.
Cumulative returns of a strategy that is long on the first 5 and the last 5 days of the month and short the others is 1,112.154% vs. 636.1821% of a buy and hold strategy.

Further reading: An Anatomy of Calendar Effects (SSRN)

Categories Investing Insight, Your Money Tags NIFTY, quant