StockViz – Page 87 – Invest Without Emotions

Theme: Momentum Update 02.02.2016

stockviz February 2, 2016February 2, 2016

	held since	returns (%)
CAPLIPOINT	2015-Sep-07	-15.17
GAYAPROJ	2015-Sep-07	+49.98
SANGAMIND	2015-Sep-07	+27.71
JUBILANT	2015-Oct-06	-10.63
NCLIND	2015-Oct-06	-2.06
SRIPIPES	2015-Nov-02	-20.27
LYKALABS	2015-Nov-02	-15.86
EMMBI	2015-Nov-02	+12.77
NAVINFLUOR	2015-Dec-01	-17.11
8KMILES	2015-Dec-01	+18.23
RAJESHEXPO	2015-Dec-01	+2.84
ISFT	2015-Dec-01	-33.23
RUSHIL	2015-Dec-01	-22.11
ESTER	2015-Dec-01	-28.98
RPGLIFE	2016-Jan-01	-26.21
KWALITY	2016-Jan-01	-18.51
IZMO	2016-Jan-01	-27.03
ELAND	2016-Jan-01	-28.97
GUFICBIO	2016-Jan-01	-16.34
MOREPENLAB	2016-Jan-01	-8.36

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -18.59%.

You can find more details about the Momentum Theme here.

Categories Your Money Tags momentum, theme

Theme: Enterprise Yield Update 01.02.2016

stockviz February 1, 2016February 1, 2016

	held since	returns (%)
BAJAJ-AUTO	2014-Aug-24	+3.56
CONCOR	2015-Jan-20	-14.03
DRREDDY	2014-Aug-24	+9.42
GRASIM	2013-Sep-15	+34.93
HEROMOTOCO	2014-Aug-24	+0.48
INFY	2014-Aug-24	+31.13
LUPIN	2015-Jan-20	+18.52
M&M	2015-Jan-24	-9.52
OFSS	2014-Aug-24	+3.38
PETRONET	2014-Aug-24	+39.47

Since the last rebalance on 2015-Jan-27 till 2016-Jan-29, this strategy has returned +0.89%.
It invested in NIFTY 100 stocks with high Enterprise Yield values. Going forward, it will invest in NIFTY 500 stocks with the same criteria.

You can find more details about the Enterprise Yield Theme here.

Categories Your Money Tags Enterprise Yield, theme

Monthly Recap: Carnage

shyam January 30, 2016January 30, 2016

Equities

Major
DAX(DEU)	-8.80%
CAC(FRA)	-4.75%
UKX(GBR)	-2.54%
NKY(JPN)	-7.96%
SPX(USA)	-5.60%

MINTs
JCI(IDN)	+0.48%
INMEX(MEX)	+0.57%
NGSEINDX(NGA)	-16.50%
XU030(TUR)	+2.99%

BRICS
IBOV(BRA)	-6.79%
SHCOMP(CHN)	-22.65%
NIFTY(IND)	-4.82%
INDEXCF(RUS)	+1.34%
TOP40(ZAF)	-3.78%

Commodities

Energy
Heating Oil	-3.91%
Natural Gas	-1.66%
RBOB Gasoline	-11.16%
WTI Crude Oil	-10.10%
Brent Crude Oil	-4.76%
Ethanol	+1.79%

Metals
Palladium	-11.05%
Silver 5000oz	+3.62%
Copper	-3.29%
Gold 100oz	+5.37%
Platinum	+0.33%

Currencies

USDEUR:+0.42% USDJPY:+0.79%

MINTs
USDIDR(IDN)	-0.07%
USDMXN(MEX)	+5.13%
USDNGN(NGA)	-0.17%
USDTRY(TUR)	+1.33%

BRICS
USDBRL(BRA)	+0.98%
USDCNY(CHN)	+1.27%
USDINR(IND)	+2.48%
USDRUB(RUS)	+3.59%
USDZAR(ZAF)	+2.66%

Agricultural
Cotton	-3.97%
Soybeans	+1.23%
Wheat	+1.75%
Coffee (Arabica)	-7.87%
Lean Hogs	+10.06%
Cocoa	-11.17%
Coffee (Robusta)	-6.98%
Corn	+3.70%
Soybean Meal	+2.84%
White Sugar	-3.72%
Cattle	-0.74%
Feeder Cattle	-6.28%
Lumber	-6.05%
Orange Juice	-5.13%
Sugar #11	-13.48%

Credit Indices

Index	Change
Markit CDX EM	-0.81%
Markit CDX NA HY	-2.26%
Markit CDX NA IG	+16.56%
Markit iTraxx Asia ex-Japan IG	+19.42%
Markit iTraxx Australia	+17.89%
Markit iTraxx Europe	+14.77%
Markit iTraxx Europe Crossover	+51.56%
Markit iTraxx Japan	+15.56%
Markit MCDX (Municipal CDS)	+6.25%

A fresh bout of volatility hit the markets in January. EM currencies crashed, China capital outflows accelerated and Japan announced negative interest rates. The first half of February will see companies announce their quarterly results, adding a fresh dose of fuel to the volatility fire…

International ETFs (USD)

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)	-17.03%	69/71
2	-9.17%	65/74
3	-15.39%	52/87
4	-16.38%	45/95
5	-18.88%	41/98
6	-14.42%	45/94
7	-15.34%	51/89
8	-15.24%	56/83
9	-16.29%	55/84
10 (mega)	-7.84%	67/73

Mid- and small-caps bore the brunt of the selloff…

Top Winners and Losers

TITAN	+4.77%
INFY	+5.38%
SUNPHARMA	+6.44%
RCOM	-29.58%
IDEA	-28.19%
PNB	-21.09%

Whats the difference between a Brutality and Fatality?

ETF Performance

GOLDBEES	+6.32%
NIFTYBEES	-5.07%
CPSEETF	-6.19%
JUNIORBEES	-8.02%
BANKBEES	-8.28%
INFRABEES	-12.00%
PSUBNKBEES	-20.00%

Gold saw a bid on the back of Rupee collapse…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.13	+0.99%
5 10	-0.06	+0.96%
10 15	-0.02	+0.86%
15 20	+0.06	-0.04%
20 30	+0.11	-0.48%

Bonds proved their worth during the turmoil – diversification FTW!

Investment Theme Performance

Tactical CNX 100	-3.66%
Enterprise Yield	-4.30%
HighIR Momentum	-4.77%
Low Volatility	-5.31%
Low Beta	-5.75%
High Sharpe	-6.27%
High Alpha	-6.42%
Balance Sheet Strength	-8.44%
Magic Formula	-10.25%
Financial Strength Value	-10.76%
Velocity	-11.18%
Acceleration	-11.41%
High Beta	-12.19%
Quality to Price	-14.25%
Momentum	-16.59%

Momentum saw the worst drawdown among all strategies. But the last few days have seen a dramatic recovery…

Equity Mutual Funds

Best
Canara Robeco InDiGo Fund – Regular Plan – Growth	+1.49%
SBI REGULAR SAVINGS FUNDS – REGULAR PLAN – GROWTH	+0.92%
Axis Triple Advantage Fund – Growth Option	+0.80%
JM MIP FUND-Growth	+0.64%
LIC NOMURA MF Liquid Fund-Growth	+0.59%
L&T Short Term Income Fund-Growth Option	+0.52%
L&T Ultra Short Term Fund – Growth Plan	+0.51%

Worst
ICICI Prudential MidCap Fund – Regular Plan – Growth	-9.81%
Sahara Star Value Fund-Growth Option	-9.83%
HDFC Core and Satellite Fund – GROWTH	-9.90%
UTI Infrastructure Fund-Growth Option	-10.14%
HDFC INFRASTRUCTURE FUND-GROWTH OPTION	-11.16%
HDFC Premier Multi-Cap Fund-Growth	-11.95%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	-14.15%

Bond Mutual Funds

Best
DWS Inflation Indexed Bond Fund – Regular Plan – Growth	+1.55%
ICICI Prudential Constant Maturity Gilt Fund – Regular Plan – Growth	+1.35%
DSP BlackRock Constant Maturity 10Y G-Sec Fund – Regular Plan – Growth	+0.99%
HDFC Gilt Fund-Short Term-Growth	+0.95%
Franklin India Banking & PSU Debt Fund – Growth	+0.84%
Tata Gilt Mid Term Fund -Regular Plan- Growth	+0.74%
IDFC GSF-Provident Fund-Regular Plan-Growth	+0.73%

Worst
Birla Sun Life Income Plus – Growth – Regular Plan	-0.56%
JM G-Sec Fund – Growth Option	-0.59%
ICICI Prudential Long Term Gilt Fund – Regular Plan – Growth	-0.73%
Canara Robeco Dynamic Bond Fund – Regular Plan – Growth	-0.76%
Birla Sun Life Government Securities Fund – Long Term Plan – Growth – Regular Plan	-0.84%
Canara Robeco Gilt PGS – Regular Plan – Growth	-0.94%
IDBI Gilt Fund Growth	-1.07%

Thought to sum up the month

Here’s what happens when you make short-term decisions with long-term capital:

You constantly change your strategy and chase past performance.
You ignore any semblance of a long-term plan.
You end up being reactive instead of pro-active with your decisions.
You incur higher fees from increased trading, due diligence and switching costs.
You lose sight of your actual goals and time horizon.
You end up with a portfolio that’s built to withstand the last war, not the next one.
You lose out on much of the long-term benefits that come from diversification, rebalancing and mean reversion.

Source: Short-Term Thinking With Long-Term Capital

Categories Your Money Tags monthly

Index Update 30.01.2016

stockviz January 30, 2016January 30, 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 November 18, 2015 through January 29, 2016:

Equally Weighted		Market Cap. Weighted
ENERGY (EQUAL)	+3.83%	ENERGY (CAP)	+8.25%
MEDIA (EQUAL)	+3.69%	MEDIA (CAP)	+7.69%
COMMODITIES (EQUAL)	-0.35%	IT (CAP)	+6.52%
IT (EQUAL)	-1.43%	COMMODITIES (CAP)	+3.03%
CONSUMPTION (EQUAL)	-1.51%	GROWSECT 15 (CAP)	+1.60%
PSE (EQUAL)	-1.85%	PHARMA (CAP)	+0.40%
GROWSECT 15 (EQUAL)	-2.00%	QUALITY 30 (CAP)	-0.04%
QUALITY 30 (EQUAL)	-2.41%	VALUE 20 (CAP)	-0.29%
CPSE (EQUAL)	-3.20%	PSE (CAP)	-0.63%
SERV SECTOR (EQUAL)	-3.85%	SERV SECTOR (CAP)	-1.63%
VALUE 20 (EQUAL)	-3.95%	CPSE (CAP)	-2.70%
PHARMA (EQUAL)	-4.70%	METAL (CAP)	-3.13%
AUTO (EQUAL)	-5.34%	CONSUMPTION (CAP)	-4.37%
INFRA (EQUAL)	-5.48%	FIN SERVICE (CAP)	-6.21%
FMCG (EQUAL)	-6.20%	FMCG (CAP)	-6.33%
REALTY (EQUAL)	-6.74%	REALTY (CAP)	-6.38%
METAL (EQUAL)	-6.81%	AUTO (CAP)	-7.04%
LIQ 15 (EQUAL)	-7.27%	MNC (CAP)	-7.34%
FIN SERVICE (EQUAL)	-8.18%	MIDCAP LIQUID 15 (CAP)	-7.34%
MNC (EQUAL)	-8.21%	BANK (CAP)	-7.88%
MIDCAP LIQUID 15 (EQUAL)	-8.49%	INFRA (CAP)	-9.87%
BANK (EQUAL)	-13.26%	LIQ 15 (CAP)	-10.92%
PSU BANK (EQUAL)	-24.84%	PSU BANK (CAP)	-25.75%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	16.42	2015-Jan-27
NIFTY BANK	SHORT	24.48	2015-Jan-27
NIFTY COMMODITIES	LONG	37.22	2008-Jan-04
NIFTY CONSUMPTION	SHORT	10.38	2015-Aug-05
NIFTY ENERGY	LONG	29.10	2008-Jan-14
NIFTY FIN SERVICE	SHORT	21.30	2015-Jan-28
NIFTY FMCG	SHORT	14.18	2015-Feb-25
NIFTY INFRA	SHORT	61.28	2008-Jan-09
NIFTY IT	LONG	88.23	2000-Feb-21
NIFTY MEDIA	LONG	16.13	2008-Jan-04
NIFTY METAL	LONG	69.81	2008-Jan-04
NIFTY MNC	LONG	17.75	2015-Aug-10
NIFTY PHARMA	LONG	15.00	2015-Apr-08
NIFTY PSE	LONG	36.55	2008-Jan-04
NIFTY PSU BANK	SHORT	57.35	2010-Nov-05
NIFTY REALTY	LONG	91.83	2008-Jan-14
NIFTY SERV SECTOR	SHORT	16.69	2015-Mar-03

Pharma seems to be clawing its way back up the momentum charts…

Categories Your Money Tags index, momentum, weekly

Market-Cap Deciles, Part II

shyam January 27, 2016July 16, 2016

We had introduced the concept of dividing the universe of stocks by market-cap deciles a while ago (StockViz.) Here are some observations.

Returns

The last year has been spectacular for small- and mid-cap stocks.

From August-2014 to Now:

For 2015:

So far in 2016:

Note: Deciles go from 1 (micro-cap) to 10 (mega-cap)

In 2015:

If you had blindly invested in an equal-weight portfolio of ~145 micro-cap stocks, you would have been up ~70%
Every other decile out-performed the mega-caps (decile #1)
Note how the standard-deviation of returns compress as you walk up the cap

Migrations

Free-float market-cap is a volatile measure in itself – when you use that to classify stocks, you end up with quite a bit of movement between deciles. Something to keep in mind while using deciles for analysis.

Market breadth indicator

The mega-cap decile (decile #1) can be used as a crude market-timing indicator. If you track the number of stocks in the decile that went up vs. the number that went down, you end up with a proxy for breadth.

Even though technically it beat the buy-and-hold NIFTY 50, the indicator produces too many trades and it doesn’t offer a large enough margin of out-performance to be useful in live trading.

Next steps

We will continue to poke around and share what we find!

Categories Investing Insight, Your Money Tags decile, quant