StockViz – Page 83 – Invest Without Emotions

Theme: Momentum Update 04.04.2016

stockviz April 4, 2016April 4, 2016

	held since	returns (%)
SANGAMIND	2015-Sep-07	+14.87
NAVINFLUOR	2015-Dec-01	-8.90
8KMILES	2015-Dec-01	+10.09
RAJESHEXPO	2015-Dec-01	-12.27
KWALITY	2016-Jan-01	-16.69
MOREPENLAB	2016-Jan-01	-28.62
NILKAMAL	2016-Feb-02	-14.98
ICIL	2016-Feb-02	-7.74
GMBREW	2016-Feb-02	+18.41
COSMOFILMS	2016-Feb-02	+7.29
NDL	2016-Feb-02	-13.72
AEGISCHEM	2016-Feb-02	-0.10
MIC	2016-Feb-02	-10.63
WELSPUNIND	2016-Mar-02	+14.48
GAYAPROJ	2016-Mar-02	-12.90
JINDALPOLY	2016-Mar-02	+5.31
DISHMAN	2016-Mar-02	+0.59
JUBILANT	2016-Mar-02	+25.13
RUSHIL	2016-Mar-02	-34.70
CHENNPETRO	2016-Mar-02	+11.32

Since the last rebalance on 2016-Mar-02 till 2016-Apr-01, this strategy has returned +5.61%

You can find more details about the Momentum Theme here.

Categories Your Money Tags momentum, theme

March Madness 2016

shyam April 1, 2016

Equities

Major
DAX(DEU)	+3.33%
CAC(FRA)	-1.04%
UKX(GBR)	+0.09%
NKY(JPN)	+0.86%
SPX(USA)	+5.44%

MINTs
JCI(IDN)	+1.51%
INMEX(MEX)	+5.97%
NGSEINDX(NGA)	+2.95%
XU030(TUR)	+9.00%

BRICS
IBOV(BRA)	+16.69%
SHCOMP(CHN)	+11.96%
NIFTY(IND)	+10.39%
INDEXCF(RUS)	+0.37%
TOP40(ZAF)	+4.08%

Commodities

Energy
Brent Crude Oil	+10.30%
Ethanol	+4.44%
Heating Oil	+8.39%
RBOB Gasoline	+38.22%
Natural Gas	+13.84%
WTI Crude Oil	+11.73%

Metals
Palladium	+15.93%
Copper	+2.35%
Gold 100oz	-0.06%
Silver 5000oz	+4.73%
Platinum	+5.15%

Currencies

USDEUR:-4.70% USDJPY:-0.63%

MINTs
USDIDR(IDN)	-1.56%
USDMXN(MEX)	-4.16%
USDNGN(NGA)	+0.00%
USDTRY(TUR)	-4.86%

BRICS
USDBRL(BRA)	-9.97%
USDCNY(CHN)	-1.35%
USDINR(IND)	-3.18%
USDRUB(RUS)	-9.94%
USDZAR(ZAF)	-7.24%

Agricultural
Cocoa	-2.75%
Feeder Cattle	-0.55%
White Sugar	+8.29%
Cattle	-4.71%
Coffee (Robusta)	+9.77%
Corn	-1.27%
Lumber	+21.75%
Orange Juice	+17.57%
Sugar #11	+4.72%
Coffee (Arabica)	+11.78%
Cotton	+2.76%
Soybeans	+7.00%
Lean Hogs	-2.05%
Soybean Meal	+4.55%
Wheat	+5.96%

Credit Indices

Index	Change
Markit CDX EM	+2.89%
Markit CDX NA HY	+3.28%
Markit CDX NA IG	-27.66%
Markit iTraxx Asia ex-Japan IG	-6.67%
Markit iTraxx Australia	-15.03%
Markit iTraxx Europe	-26.80%
Markit iTraxx Europe Crossover	-98.68%
Markit iTraxx Japan	-9.45%
Markit MCDX (Municipal CDS)	-14.58%

Markets rebounded with the Fed assuming the role of the world’s central bank…

International ETFs (USD)

Nifty Heatmap

Index Returns

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	+0.54%	70/61
2	+9.38%	82/48
3	+10.53%	91/39
4	+9.03%	82/48
5	+7.85%	84/46
6	+6.78%	85/45
7	+10.83%	83/47
8	+7.10%	83/47
9	+12.46%	81/49
10 (mega)	+1.97%	74/57

Top Winners and Losers

TATAMOTORS	+29.00%
RELINFRA	+30.19%
CAIRN	+30.44%
LUPIN	-15.69%
APOLLOHOSP	-9.19%
COALINDIA	-6.13%

Dash for trash?

ETF Performance

PSUBNKBEES	+19.47%
BANKBEES	+15.43%
INFRABEES	+12.76%
NIFTYBEES	+11.70%
JUNIORBEES	+9.02%
CPSEETF	+8.08%
GOLDBEES	-3.22%

With bank balance-sheet clean up in full swing, banks got the better bid…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.22	+1.22%
5 10	-0.24	+1.91%
10 15	-0.30	+2.56%
15 20	-0.35	+3.94%
20 30	-0.37	+4.59%

Rate cut already factored in?

Investment Theme Performance

High Beta	+17.65%
Magic Formula	+16.77%
Acceleration	+14.99%
Quality to Price	+13.49%
Velocity	+13.19%
Enterprise Yield	+13.04%
Financial Strength Value	+12.79%
Momentum	+11.93%
Balance Sheet Strength	+11.37%
High Alpha	+9.86%
Low Volatility	+9.14%
HighIR Momentum	+8.08%
High Sharpe	+7.67%
Low Beta	+7.34%
Tactical CNX 100	+3.39%

The worst hit asset classes saw the steepest rebound…

Equity Mutual Funds

Best
Sahara Star Value Fund-Growth Option	+18.78%
Sahara Midcap Fund-Growth Plan	+16.10%
JM Core 11 Fund – Growth option	+16.01%
UTI Infrastructure Fund-Growth Option	+15.96%
HDFC Equity Fund – Growth Option	+15.45%
Sahara Infrastructure Fund —VARIABLE PRICING OPTION-Growth Option	+15.43%
Sahara Infrastructure Fund —FIXED PRICING OPTION-Growth Option	+15.24%

Worst
HDFC ARBITRAGE FUND RETAIL PLAN GROWTH OPTION	+0.73%
IDFC Arbitrage Fund-Regular Plan- Growth	+0.72%
IDFC Arbitrage Fund – Plan B – Growth	+0.72%
JM ARBITRAGE ADVANTAGE FUND-Growth	+0.72%
DSP BlackRock Global Allocation Fund – Regular Plan – Growth	+0.58%
ICICI Prudential Blended Plan A – Growth	+0.54%
Canara Robeco InDiGo Fund – Regular Plan – Growth	+0.32%

Bond Mutual Funds

Best
Birla Sun Life Government Securities Fund – Long Term Plan – Growth – Regular Plan	+3.93%
ICICI Prudential Long Term Gilt Fund – Growth	+3.84%
Canara Robeco Gilt PGS – Regular Plan – Growth	+3.80%
HDFC Gilt Fund-Long Term-Growth	+3.79%
ICICI Prudential Long Term Plan – Premium Growth Option	+3.73%
ICICI Prudential Long Term – Growth	+3.73%
ICICI Prudential Income – Growth	+3.69%

Worst
Franklin India Dynamic Accrual Fund-Growth	+1.16%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+1.13%
Indiabulls Income Fund – Regular Plan – Growth Option	+1.08%
Religare Invesco Bank Debt Fund – Growth Option	+1.01%
Franklin India Income Builder Account-Growth	+1.00%
JM Income Fund – Growth Option	+0.76%
Taurus Dynamic Income Fund – Growth Option	+0.66%

Thought to sum up the month

Why do amateurs believe they can outperform the professionals — or even identify those pros who will outperform? (Performance of individual mutual funds cannot be predicted with any greater degree of accuracy than individual stocks or bonds.)

Overconfidence
Optimism Bias
Hindsight Bias
Attribution Bias
Confirmation Bias

Source: Why We Think We’re Better Investors Than We Are

Categories Your Money Tags monthly

Monthly Recap: Winter

shyam March 1, 2016

Equities

Major
DAX(DEU)	-3.09%
CAC(FRA)	-1.44%
UKX(GBR)	+0.22%
NKY(JPN)	-9.14%
SPX(USA)	+0.40%

MINTs
JCI(IDN)	+3.52%
INMEX(MEX)	+2.41%
NGSEINDX(NGA)	+2.74%
XU030(TUR)	+3.56%

BRICS
IBOV(BRA)	+6.39%
SHCOMP(CHN)	-1.50%
NIFTY(IND)	-7.62%
INDEXCF(RUS)	+3.10%
TOP40(ZAF)	-0.60%

Commodities

Energy
Brent Crude Oil	+5.42%
RBOB Gasoline	+20.16%
WTI Crude Oil	+0.57%
Ethanol	-2.68%
Heating Oil	+3.61%
Natural Gas	-25.63%

Metals
Copper	+1.94%
Palladium	+0.74%
Platinum	+7.21%
Gold 100oz	+11.54%
Silver 5000oz	+4.93%

Currencies

USDEUR:-0.50% USDJPY:-7.25%

MINTs
USDIDR(IDN)	-2.92%
USDMXN(MEX)	+0.11%
USDNGN(NGA)	+0.10%
USDTRY(TUR)	+0.22%

BRICS
USDBRL(BRA)	+0.07%
USDCNY(CHN)	-0.53%
USDINR(IND)	+0.93%
USDRUB(RUS)	-0.89%
USDZAR(ZAF)	-0.25%

Agricultural
Cattle	+3.18%
Feeder Cattle	+1.22%
Lean Hogs	+6.19%
White Sugar	+0.02%
Coffee (Robusta)	+0.51%
Corn	-4.78%
Lumber	+5.88%
Soybeans	-2.98%
Wheat	-6.37%
Cocoa	+10.09%
Cotton	-4.85%
Coffee (Arabica)	-3.26%
Orange Juice	-9.50%
Soybean Meal	-4.92%
Sugar #11	+9.12%

Credit Indices

Index	Change
Markit CDX EM	+0.27%
Markit CDX NA HY	-0.58%
Markit CDX NA IG	+7.19%
Markit iTraxx Asia ex-Japan IG	+5.66%
Markit iTraxx Australia	+15.41%
Markit iTraxx Europe	+9.54%
Markit iTraxx Europe Crossover	+45.82%
Markit iTraxx Japan	+12.00%
Markit MCDX (Municipal CDS)	+3.25%

Jan and Feb saw a wave of volatility hit pretty much every asset class. Diversification provided scant protection in wave-after-wave of selling across world markets and asset classes. Hopefully the great purge is done and we can look forward to better days ahead…

International ETFs (USD)

Nifty Heatmap

Index Returns

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	-22.65%	46/80
2	-19.11%	29/96
3	-20.26%	31/95
4	-17.46%	30/95
5	-16.40%	31/95
6	-15.09%	37/88
7	-12.49%	42/84
8	-12.19%	34/91
9	-11.15%	50/76
10 (mega)	-6.23%	63/63

Mid- small- and micro-caps bore the brunt…

Top Winners and Losers

MARICO	+6.81%
BHARTIARTL	+8.83%
EICHERMOT	+14.23%
BHEL	-34.50%
PNB	-22.23%
AUROPHARMA	-21.41%

Eicher Motors emerged a big winner…

ETF Performance

GOLDBEES	+9.31%
JUNIORBEES	-6.73%
INFRABEES	-6.80%
NIFTYBEES	-7.07%
CPSEETF	-9.72%
BANKBEES	-9.83%
PSUBNKBEES	-11.21%

Gold. Enuf said.

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	+0.14	+0.28%
5 10	+0.12	+0.02%
10 15	+0.15	-0.42%
15 20	+0.12	-0.41%
20 30	+0.11	-0.38%

Long bonds got shellacked…

Investment Theme Performance

Tactical CNX 100	+0.00%
Low Volatility	-6.87%
Low Beta	-7.21%
HighIR Momentum	-9.60%
High Sharpe	-10.36%
Balance Sheet Strength	-10.84%
Financial Strength Value	-11.42%
Magic Formula	-11.63%
Enterprise Yield	-12.93%
High Beta	-14.29%
High Alpha	-14.75%
Acceleration	-15.83%
Velocity	-19.93%
Quality to Price	-20.97%
Momentum	-21.21%

Equity Mutual Funds

Best
Birla Sun Life Commodity Equities Fund – Global Agri Plan – Growth – Regular Plan	+6.41%
Birla Sun Life International Equity Fund – Plan A – Growth – Regular Plan	+2.07%
Canara Robeco InDiGo Fund – Regular Plan – Growth	+1.75%
Franklin Asian Equity Fund – Growth Plan	+1.72%
Mirae Asset Global Commodity Stocks – Growth Option	+1.52%
JM MIP FUND-Growth	+0.70%
SBI REGULAR SAVINGS FUNDS – REGULAR PLAN – GROWTH	+0.64%

Worst
HDFC Core and Satellite Fund – GROWTH	-13.71%
Reliance Small Cap Fund – Growth Plan – Growth Option	-13.79%
Sahara Star Value Fund-Growth Option	-13.83%
Sundaram S.M.I.L.E.Fund-iNST Growth	-14.80%
Sundaram S.M.I.L.E.Fund-Growth	-14.82%
HDFC INFRASTRUCTURE FUND-GROWTH OPTION	-15.01%
Edelweiss Emerging Leaders Fund – Growth	-17.20%

Bond Mutual Funds

Best
DWS Inflation Indexed Bond Fund – Regular Plan – Growth	+2.69%
Birla Sun Life Constant Maturity 10 Year Gilt Fund – Growth – Regular Plan	+0.72%
Taurus Dynamic Income Fund – Growth Option	+0.69%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.62%
BNP Paribas Government Securities Fund – Growth	+0.59%
IIFL Dynamic Bond Fund – Regular Plan – Growth Option	+0.59%
BNP PARIBAS Flexi Debt Fund-Regular Plan A – Growth Option	+0.54%

Worst
LIC NOMURA MF Bond Fund-Growth	-0.27%
Sundaram Flexible Fund -Flexible Income Plan Regular – Growth	-0.34%
DSP BlackRock Constant Maturity 10Y G-Sec Fund – Regular Plan – Growth	-0.40%
ICICI Prudential Income Opportunities Fund – Growth	-0.44%
ICICI Prudential Constant Maturity Gilt Fund – Growth	-0.44%
Franklin India Dynamic Accrual Fund-Growth	-0.50%
Franklin India Income Builder Account-Growth	-0.96%

Fund flows

FIIs sold out of both equities and bonds…

Bonds

The spread between 10-year US treasuries and Indian gilts are at levels seen in late 2013…

… and all is not hunky-dory in the US bond markets either. The spread between 10yrs and 2yrs are at their lowest since 2008…

… and the whole yield curve shifted down in February.

Thoughts

As we hit ‘publish’ on this article, Indian markets are enjoying a post-budget rally. Did markets find a bottom in February? Or is more pain to come? Bring on the March madness!

Categories Your Money Tags monthly

Introducing the Global Macro Dashboard

shyam February 16, 2016

It is all local until it is not

World markets just witnessed a spiraling sell-off that caught most investors off-guard. The problem is that for most of the time, markets are local. Except for those times when they aren’t and correlations go to 1.

We tried singling out different factors to check if they could act as leading indicators of market sell-offs:

It is not one thing and it is never the same thing

The problem is that, statistically, no one global indicator is going to be a perfect canary in the coal mine. However, once the number of “meaningful” events crosses a threshold, correlations tend to 1.

But what exactly defines “meaningful?” Is it 1-sigma or 2-sigma? Should it be change in price or price itself? What should be the number of periods over which these statistics are calculated? The answers to these questions are going to take a while to figure out. In the meantime, we decided to create a dashboard that lets investors choose some of these filters.

You can play with our Global Macro Dashboard here: StockViz/GlobalDashboard

Welcome to glocal markets.

Categories Investing Insight, Your Money Tags macro

Index Update 14.02.2016

stockviz February 14, 2016February 14, 2016

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from December 03, 2015 through February 12, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-6.95%	IT (CAP)	-3.90%
QUALITY 30 (EQUAL)	-9.73%	PHARMA (CAP)	-4.29%
FMCG (EQUAL)	-10.08%	GROWSECT 15 (CAP)	-4.52%
CONSUMPTION (EQUAL)	-11.07%	QUALITY 30 (CAP)	-7.22%
AUTO (EQUAL)	-11.17%	ENERGY (CAP)	-8.90%
PHARMA (EQUAL)	-11.26%	FMCG (CAP)	-10.06%
ENERGY (EQUAL)	-11.53%	COMMODITIES (CAP)	-10.30%
MNC (EQUAL)	-12.24%	CONSUMPTION (CAP)	-10.41%
COMMODITIES (EQUAL)	-12.32%	SERV SECTOR (CAP)	-11.79%
IT (EQUAL)	-13.54%	VALUE 20 (CAP)	-12.03%
MEDIA (EQUAL)	-15.13%	MEDIA (CAP)	-12.18%
VALUE 20 (EQUAL)	-15.16%	MNC (CAP)	-12.86%
SERV SECTOR (EQUAL)	-16.18%	PSE (CAP)	-14.25%
PSE (EQUAL)	-17.26%	METAL (CAP)	-14.56%
CPSE (EQUAL)	-19.21%	AUTO (CAP)	-15.14%
FIN SERVICE (EQUAL)	-20.29%	CPSE (CAP)	-15.57%
LIQ 15 (EQUAL)	-20.52%	FIN SERVICE (CAP)	-16.78%
INFRA (EQUAL)	-21.81%	INFRA (CAP)	-16.79%
BANK (EQUAL)	-22.99%	BANK (CAP)	-18.51%
METAL (EQUAL)	-23.62%	LIQ 15 (CAP)	-20.52%
REALTY (EQUAL)	-25.92%	MIDCAP LIQUID 15 (CAP)	-23.99%
MIDCAP LIQUID 15 (EQUAL)	-25.97%	REALTY (CAP)	-26.29%
PSU BANK (EQUAL)	-38.49%	PSU BANK (CAP)	-36.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	22.25	2015-Jan-27
NIFTY BANK	LONG	32.03	2015-Jan-27
NIFTY COMMODITIES	LONG	42.67	2008-Jan-04
NIFTY CONSUMPTION	LONG	14.40	2015-Aug-05
NIFTY ENERGY	LONG	37.45	2008-Jan-14
NIFTY FIN SERVICE	LONG	28.84	2015-Jan-28
NIFTY FMCG	LONG	17.79	2015-Feb-25
NIFTY INFRA	LONG	63.65	2008-Jan-09
NIFTY IT	LONG	89.19	2000-Feb-21
NIFTY MEDIA	LONG	26.02	2008-Jan-04
NIFTY METAL	LONG	72.78	2008-Jan-04
NIFTY MNC	LONG	22.21	2015-Aug-10
NIFTY PHARMA	SHORT	19.88	2015-Apr-08
NIFTY PSE	LONG	43.76	2008-Jan-04
NIFTY PSU BANK	LONG	63.39	2010-Nov-05
NIFTY REALTY	LONG	93.12	2008-Jan-14
NIFTY SERV SECTOR	LONG	23.80	2015-Mar-03

FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.

Categories Your Money Tags index, momentum, weekly