Theme: High Alpha Update 10.06.2016

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.

Theme: Low Beta Update 10.06.2016

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.

Theme: High Beta Update 03.06.2016

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.

Monthly Recap: May you live in Interesting Times…

world.2016-04-29.2016-05-31

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)

global.etf.performance.2016-04-29.2016-05-31

Nifty Heatmap

NIFTY 50.2016-04-29.2016-05-31

Index Returns

index.performance.2016-04-29.2016-05-31

Market Cap Decile Performance

deciles.perf.2016-05-31

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

yieldCurve.2016-04-29.2016-05-31

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/Volatility outperformed momentum…

Equity Mutual Funds

Bond Mutual Funds

Indian bonds are cheap…

ust-ind-10yr-spread.2016-04-29

Institutional flows

fii-investments.2014-01-01.2016-05-31

dii-investments.2014-01-01.2016-05-31

Book of the Month

Everything is interpreted through the prism of our own experiences.

The Confidence Game: Why We Fall for It . . . Every Time

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

Trading Day of Month Returns

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

  1. The first few and the last few trading days of a month are the best days to be long.
  2. Middle of the month returns are more volatile and, on an average, negative.
  3. 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.

day-of-month

Further reading: An Anatomy of Calendar Effects (SSRN)