Tag: weekly

Index Update 04.07.2015

stockviz July 4, 2015July 4, 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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from April 24, 2015 through July 03, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+19.20%	CNX MEDIA (CAP)	+7.71%
CPSE INDEX (EQUAL)	+6.19%	CNX PHARMA (CAP)	+6.92%
CNX MNC (EQUAL)	+5.81%	CNX MNC (CAP)	+5.44%
CNX FMCG (EQUAL)	+5.57%	CNX ENERGY (CAP)	+5.33%
CNX AUTO (EQUAL)	+5.23%	NV20 (CAP)	+4.09%
CNX CONSUMPTION (EQUAL)	+4.55%	CNX BANK (CAP)	+4.05%
CNX MEDIA (EQUAL)	+4.15%	CNX FINANCE (CAP)	+3.68%
NI15 (EQUAL)	+3.46%	CNX AUTO (CAP)	+3.67%
NSE QUALITY 30 (EQUAL)	+2.50%	CPSE INDEX (CAP)	+3.25%
NV20 (EQUAL)	+2.30%	CNX INFRA (CAP)	+3.02%
CNX PSE (EQUAL)	+1.96%	CNX CONSUMPTION (CAP)	+2.94%
CNX IT (EQUAL)	+0.82%	CNX SERVICE (CAP)	+2.56%
CNX FINANCE (EQUAL)	+0.46%	CNX COMMODITIES (CAP)	+2.53%
CNX BANK (EQUAL)	-0.17%	CNX PSE (CAP)	+2.37%
CNX ENERGY (EQUAL)	-0.21%	NI15 (CAP)	+0.83%
CNX SERVICE (EQUAL)	-0.68%	CNX IT (CAP)	+0.76%
CNX COMMODITIES (EQUAL)	-1.85%	NSE QUALITY 30 (CAP)	-0.00%
CNX INFRA (EQUAL)	-2.58%	CNX FMCG (CAP)	-2.19%
LIX 15 (EQUAL)	-5.83%	LIX 15 (CAP)	-3.56%
CNX REALTY (EQUAL)	-9.77%	CNX PSU BANK (CAP)	-5.78%
CNX PSU BANK (EQUAL)	-10.29%	CNX METAL (CAP)	-9.42%
CNX METAL (EQUAL)	-12.25%	CNX REALTY (CAP)	-11.90%
LIX15 Midcap (EQUAL)	-13.61%	LIX15 Midcap (CAP)	-13.11%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	6.66	2015-Jan-27
CNX BANK	SHORT	8.88	2015-Jan-27
CNX ENERGY	SHORT	25.33	2008-Jan-14
CNX FMCG	LONG	9.20	2015-Feb-25
CNX INFRA	LONG	46.95	2008-Jan-09
CNX IT	LONG	88.27	2000-Feb-21
CNX MEDIA	LONG	23.15	2008-Jan-04
CNX METAL	LONG	58.71	2008-Jan-04
CNX MNC	LONG	1.66	2015-Mar-12
CNX NIFTY	SHORT	5.68	2015-Mar-03
CNX PHARMA	LONG	11.32	2015-Apr-08
CNX PSE	LONG	23.84	2008-Jan-04
CNX REALTY	SHORT	90.35	2008-Jan-14

50-day performance turns green for most indices and the MNCs have more or less covered their draw-downs. Looks like financials and FMCG have found their mojo. Will the markets keep their trend?

Categories Your Money Tags index, momentum, weekly

Correlation Update 04.07.2015

stockviz July 4, 2015July 4, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Categories Your Money Tags correlation, weekly

Weekly Recap: Workcation vs. Post-Work

shyam June 27, 2015

world.2015-06-19.2015-06-26

Equities

Major
DAX(DEU)	+4.10%
CAC(FRA)	+5.06%
UKX(GBR)	+0.64%
NKY(JPN)	+2.64%
SPX(USA)	-0.64%

MINTs
JCI(IDN)	-1.24%
INMEX(MEX)	+0.72%
NGSEINDX(NGA)	-1.22%
XU030(TUR)	+1.24%

BRICS
IBOV(BRA)	+0.80%
SHCOMP(CHN)	-6.37%
NIFTY(IND)	+1.90%
INDEXCF(RUS)	-1.12%
TOP40(ZAF)	+1.91%

Commodities

Energy
Brent Crude Oil	+0.09%
Natural Gas	-1.49%
Ethanol	+6.91%
RBOB Gasoline	-0.81%
Heating Oil	-0.54%
WTI Crude Oil	-0.12%

Metals
Gold 100oz	-2.46%
Silver 5000oz	-2.48%
Copper	+2.32%
Palladium	-3.99%
Platinum	-0.14%

Currencies

USDEUR:+1.72% USDJPY:+1.04%

MINTs
USDIDR(IDN)	-0.18%
USDMXN(MEX)	+1.53%
USDNGN(NGA)	+0.03%
USDTRY(TUR)	-1.32%

BRICS
USDBRL(BRA)	+1.09%
USDCNY(CHN)	+0.00%
USDINR(IND)	+0.13%
USDRUB(RUS)	+1.40%
USDZAR(ZAF)	+0.35%

Agricultural
Cattle	-2.18%
Cocoa	+2.03%
Coffee (Arabica)	+4.49%
Corn	+8.84%
Lean Hogs	-0.33%
Lumber	-2.14%
Soybean Meal	+5.26%
Soybeans	+3.09%
Wheat	+14.64%
White Sugar	+3.04%
Coffee (Robusta)	+2.71%
Cotton	+5.93%
Feeder Cattle	-2.65%
Orange Juice	-1.33%
Sugar #11	+4.05%

Credit Indices

Index	Change
Markit CDX EM	+0.20%
Markit CDX NA HY	+0.37%
Markit CDX NA IG	-1.17%
Markit iTraxx Asia ex-Japan IG	-3.62%
Markit iTraxx Australia	-5.28%
Markit iTraxx Europe	-8.32%
Markit iTraxx Europe Crossover	-40.54%
Markit iTraxx Japan	-6.79%
Markit iTraxx SovX Western Europe	-3.42%
Markit LCDX (Loan CDS)	-0.02%
Markit MCDX (Municipal CDS)	-0.92%

Alexis Tsipras want the Greek to decided if they want to accept the bailout terms set by the creditors. Referendum is set on the 5th of July. What will happen if they reject it?

Nifty Heatmap

Index Returns

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

Sector Performance

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1	-1.35%	62/69
2	+4.31%	70/60
3	+2.18%	69/61
4	+3.60%	70/61
5	+3.14%	70/59
6	+2.60%	74/56
7	+2.74%	69/62
8	+2.48%	64/66
9	+1.59%	62/68
10	+2.66%	72/59

Rally ho!

Top Winners and Losers

UNIONBANK	+6.94%
UPL	+7.20%
BAJAJHLDNG	+8.33%
INFRATEL	-6.49%
TECHM	-4.11%
CANBK	-4.10%

Is Infratel going to feel the heat of Airtel’s OneWeb investment?

ETF Performance

BANKBEES	+2.86%
PSUBNKBEES	+2.17%
NIFTYBEES	+1.94%
INFRABEES	+1.67%
JUNIORBEES	+1.11%
CPSEETF	+0.92%
GOLDBEES	-1.48%

PSU banks: caught between dilution and survival.

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
GSEC TB	-0.20	+0.20%
GSEC SUB 1-3	-0.16	+0.60%
GSEC SUB 3-8	-0.22	+1.25%
GSEC SUB 8	-0.24	+2.11%

Rally on the long-end…

Investment Theme Performance

ADAG stocks	+5.66%
Quality to Price	+3.99%
High Beta	+3.59%
The RBI Restricted List	+3.05%
PPFAS Long Term Value	+2.94%
Textile, Metals, Chemicals, Paper and Energy Quality to Price	+2.70%
Magic Formula	+2.60%
Low Volatility	+2.35%
Momentum	+2.12%
Next Trillion	+1.82%
CNX 100 Enterprise Yield	+1.82%
ASK Life	+1.72%
Financial Strength Value	+1.61%
Balance Sheet Strength	+1.03%
Auto and Consumer Goods Quality to Price	+0.66%
Tactical CNX 100	+0.59%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	-0.01%

Good luck trying to time this market…

Equity Mutual Funds

Best
Escorts Leading Sectors Fund – Growth Option	+2.98%
Sundaram Select Midcap-Growth	+2.83%
Goldman Sachs India Equity Fund – Growth Plan	+2.71%
JPMorgan India Economic Resurgence Fund – Regular Plan – Growth Option	+2.71%
Religare Invesco AGILE Fund – Growth Option	+2.66%
DSP BlackRock Small and Mid Cap Fund – Regular Plan – Growth	+2.62%
DSP BlackRock Equity Fund – Regular Plan – Growth	+2.62%

Worst
Religare Invesco Monthly Income Plan (MIP) Plus – Growth	-0.31%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	-0.47%
Canara Robeco InDiGo Fund – Regular Plan – Growth	-0.48%
Escorts Tax Plan-Growth	-0.49%
ICICI Prudential Very Aggressive – Regular Plan – Growth	-0.54%
L&T Global Real Assets Fund-Growth Option	-1.21%
Mirae Asset Global Commodity Stocks – Growth Option	-1.34%

Bond Mutual Funds

Best
Escorts Income Plan-Growth	+0.20%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.12%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.10%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan	+0.05%
DWS PREMIER BOND FUND INST PLAN GROWTH	+0.03%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	-0.02%
HDFC Gilt Fund-Short Term-Growth	-0.03%

Worst
SBI Dynamic Bond Fund – REGULAR PLAN – Growth (Previously Magnum NRI – LTP Upto 22/11/09)	-0.89%
ICICI Prudential Constant Maturity Gilt Fund – Regular Plan – Growth	-0.91%
Birla Sun Life Govt, Securities Long Term Fund-Plan B (Growth)	-0.95%
IDFC Dynamic Bond Fund -Regular Plan-GROWTH	-0.96%
IDFC Super Saver Income Fund- IP-Plan F Growth	-0.96%
IDFC – SSIF – Investment Plan -Regular Plan- Growth Option	-0.96%
IDFC Dynamic Bond Fund – Growth	-0.96%

Thought for the weekend

Technology is on track to permanently replace a great deal of human work. No job is truly safe. Cultural destruction goes hand-in-hand with job destruction. The expectation that work will be a central feature of adult life is going to dissipate for a significant portion of society.

However, while we wait for this future, a small but growing number of workers are instead petitioning the boss to combine work and vacation: time away from the office that includes a few days working from an exotic locale.

Sources:
A World Without Work
This Summer, How About a Workcation?

Categories Your Money Tags weekly

Index Update 27.06.2015

stockviz June 27, 2015June 27, 2015