Tag: weekly

Weekly Recap: What is Life?

shyam June 20, 2015

world.2015-06-12.2015-06-19

Equities

Major
DAX(DEU)	-1.40%
CAC(FRA)	-1.75%
UKX(GBR)	-1.10%
NKY(JPN)	-1.14%
SPX(USA)	+0.75%

MINTs
JCI(IDN)	+1.00%
INMEX(MEX)	+0.60%
NGSEINDX(NGA)	-1.08%
XU030(TUR)	+2.55%

BRICS
IBOV(BRA)	+0.89%
SHCOMP(CHN)	-13.32%
NIFTY(IND)	+3.03%
INDEXCF(RUS)	+0.65%
TOP40(ZAF)	+0.09%

Commodities

Energy
Brent Crude Oil	-1.87%
Ethanol	+0.88%
Heating Oil	-2.07%
Natural Gas	+2.32%
RBOB Gasoline	-3.63%
WTI Crude Oil	-1.28%

Metals
Palladium	-3.98%
Silver 5000oz	+1.90%
Copper	-3.70%
Gold 100oz	+1.74%
Platinum	-0.96%

Currencies

USDEUR:-0.67% USDJPY:-0.66%

MINTs
USDIDR(IDN)	-0.03%
USDMXN(MEX)	-0.38%
USDNGN(NGA)	+0.05%
USDTRY(TUR)	-0.77%

BRICS
USDBRL(BRA)	-0.53%
USDCNY(CHN)	+0.02%
USDINR(IND)	-0.78%
USDRUB(RUS)	-2.09%
USDZAR(ZAF)	-1.78%

Agricultural
Coffee (Arabica)	-4.41%
Coffee (Robusta)	+6.65%
Lean Hogs	-6.93%
Lumber	+1.63%
Orange Juice	-2.23%
Corn	+0.00%
Cotton	-0.84%
White Sugar	+0.40%
Feeder Cattle	-0.04%
Cattle	-0.30%
Cocoa	+0.62%
Soybean Meal	+1.86%
Soybeans	+3.33%
Sugar #11	-5.12%
Wheat	-3.07%

Credit Indices

Index	Change
Markit CDX EM	-0.21%
Markit CDX NA HY	-0.84%
Markit CDX NA IG	+4.06%
Markit iTraxx Asia ex-Japan IG	+2.43%
Markit iTraxx Australia	+3.39%
Markit iTraxx Europe	+9.01%
Markit iTraxx Europe Crossover	+36.53%
Markit iTraxx Japan	+4.22%
Markit iTraxx SovX Western Europe	+2.81%
Markit LCDX (Loan CDS)	+0.00%
Markit MCDX (Municipal CDS)	+0.97%

China is going through whatever India went through in the 90’s. Europe is going through their quarterly Greece-related gyrations. And Indian markets woke up…

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)	+1.32%	68/58
2	+2.63%	64/62
3	+2.92%	67/59
4	+4.06%	65/60
5	+3.86%	67/59
6	+3.84%	76/50
7	+2.58%	66/59
8	+2.74%	63/63
9	+2.69%	68/58
10 (mega)	+2.70%	63/63

Rally across the board…

Top Winners and Losers

EICHERMOT	+11.73%
RELIANCE	+12.00%
GLENMARK	+12.36%
MCDOWELL-N	-6.31%
VEDL	-4.87%
CONCOR	-4.65%

This stopped making sense a long time ago…

ETF Performance

NIFTYBEES	+2.96%
JUNIORBEES	+2.60%
CPSEETF	+2.39%
BANKBEES	+2.12%
PSUBNKBEES	+1.52%
GOLDBEES	+0.51%
INFRABEES	-1.00%

There is talk about #gold #bonds being floated around by the RBI. After the tepid reaction to inflation-linked bonds and gold-deposits, you would think they would approach this topic with a bit more humility…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
GSEC TB	+0.13	+0.11%
GSEC SUB 1-3	+0.07	+0.20%
GSEC SUB 3-8	-0.16	+0.99%
GSEC SUB 8	-0.03	+0.59%

A smart recovery at the middle…

Investment Theme Performance

Momentum	+6.70%
Textile, Metals, Chemicals, Paper and Energy Quality to Price	+6.36%
Financial Strength Value	+5.75%
High Beta	+4.92%
Next Trillion	+4.83%
Quality to Price	+4.33%
ASK Life	+3.83%
Balance Sheet Strength	+3.31%
Magic Formula	+2.78%
Auto and Consumer Goods Quality to Price	+2.64%
CNX 100 Enterprise Yield	+2.59%
PPFAS Long Term Value	+2.50%
Low Volatility	+2.17%
The RBI Restricted List	+1.71%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	+1.70%
ADAG stocks	+0.68%
Tactical CNX 100	+0.00%

Guess who’s back? Momentum!

Equity Mutual Funds

Best
MOSt Focused Midcap 30-Regular Plan-Growth Option	+4.64%
SBI Smal & Midcap – Regular Plan – Growth	+4.40%
Birla Sun Life Advantage Fund – Regular Growth	+4.34%
JM Multi Strategy Fund – Growth option	+4.26%
Sundaram S.M.I.L.E.Fund-Growth	+4.26%
DSP BlackRock 3 Years Close Ended Equity Fund – Regular Plan – Growth	+4.26%
Sundaram S.M.I.L.E.Fund-iNST Growth	+4.25%

Worst
Principal Global Opportunities Fund-Growth Option	-0.53%
Religare Invesco Pan European Equity Fund – Regular Plan – Growth Option	-0.70%
Birla Sun Life International Equity Fund Plan A- Growth	-0.77%
Bsl Comm Eq Fund – Global Agri Plan – Growth	-0.85%
Franklin Asian Equity Fund – Growth Plan	-0.91%
Reliance Japan Equity Fund- Growth Plan- Growth Option	-1.91%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	-4.19%

Bond Mutual Funds

Best
Birla Sun Life Govt, Securities Long Term Fund-Plan B (Growth)	+1.92%
ICICI Prudential Long Term Gilt Fund – Regular Plan – Growth	+1.74%
L&T Gilt Fund-Growth	+1.71%
Religare Invesco GILT Fund – Long Duration Plan – Growth	+1.71%
Canara Robeco Gilt PGS – Regular Plan – Growth	+1.66%
UTI – GILT ADVANTAGE-LONG TERM-GROWTH	+1.66%
IDFC Dynamic Bond Fund -Regular Plan-GROWTH	+1.65%

Worst
Franklin India Dynamic Accrual Fund-Growth	+0.45%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.41%
Escorts Income Plan-Growth	+0.39%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.37%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.35%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan	+0.20%
DWS PREMIER BOND FUND INST PLAN GROWTH	+0.18%

Thought for the weekend

Categories Your Money Tags weekly

Index Update 20.06.2015

stockviz June 20, 2015June 20, 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 09, 2015 through June 19, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+7.13%	CNX ENERGY (CAP)	+2.16%
CNX MNC (EQUAL)	+4.50%	CNX MNC (CAP)	+0.78%
CNX MEDIA (EQUAL)	-1.96%	CPSE INDEX (CAP)	-0.72%
CPSE INDEX (EQUAL)	-2.20%	CNX COMMODITIES (CAP)	-1.77%
CNX FMCG (EQUAL)	-4.01%	CNX PSE (CAP)	-2.74%
CNX CONSUMPTION (EQUAL)	-4.22%	NV20 (CAP)	-3.26%
CNX PSE (EQUAL)	-4.46%	CNX CONSUMPTION (CAP)	-4.18%
NV20 (EQUAL)	-4.52%	CNX MEDIA (CAP)	-4.37%
CNX ENERGY (EQUAL)	-5.32%	CNX INFRA (CAP)	-4.53%
CNX AUTO (EQUAL)	-6.21%	CNX BANK (CAP)	-5.27%
NSE QUALITY 30 (EQUAL)	-7.12%	CNX FINANCE (CAP)	-5.59%
CNX COMMODITIES (EQUAL)	-7.33%	CNX SERVICE (CAP)	-6.43%
CNX FINANCE (EQUAL)	-8.10%	CNX AUTO (CAP)	-6.43%
CNX BANK (EQUAL)	-8.65%	CNX PHARMA (CAP)	-7.77%
NI15 (EQUAL)	-8.71%	CNX FMCG (CAP)	-8.29%
CNX SERVICE (EQUAL)	-8.86%	CNX IT (CAP)	-8.53%
CNX INFRA (EQUAL)	-10.17%	NI15 (CAP)	-9.17%
CNX IT (EQUAL)	-10.37%	NSE QUALITY 30 (CAP)	-9.30%
LIX 15 (EQUAL)	-11.35%	CNX METAL (CAP)	-9.70%
CNX PSU BANK (EQUAL)	-14.33%	CNX PSU BANK (CAP)	-10.74%
CNX METAL (EQUAL)	-14.68%	LIX 15 (CAP)	-10.80%
LIX15 Midcap (EQUAL)	-18.72%	LIX15 Midcap (CAP)	-17.52%
CNX REALTY (EQUAL)	-22.22%	CNX REALTY (CAP)	-25.02%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	LONG	8.73	2015-Jan-27
CNX BANK	SHORT	13.01	2015-Jan-27
CNX ENERGY	LONG	26.08	2008-Jan-14
CNX FMCG	SHORT	13.23	2015-Feb-25
CNX INFRA	SHORT	48.68	2008-Jan-09
CNX IT	SHORT	88.23	2000-Feb-21
CNX MEDIA	LONG	26.66	2008-Jan-04
CNX METAL	SHORT	58.84	2008-Jan-04
CNX MNC	SHORT	5.41	2015-Mar-12
CNX NIFTY	SHORT	8.57	2015-Mar-03
CNX PHARMA	SHORT	14.61	2015-Apr-08
CNX PSE	SHORT	25.47	2008-Jan-04
CNX REALTY	SHORT	90.75	2008-Jan-14

Looks like Banks, FMCG and Pharma are perking up. MNCs and Autos are recovering from their drawdowns as well…

Categories Your Money Tags index, momentum, weekly

Correlation Update 20.06.2015

stockviz June 20, 2015June 20, 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: Profit Destroying Innovation

shyam June 13, 2015

world.2015-06-05.2015-06-12

Equities

Major
DAX(DEU)	-0.01%
CAC(FRA)	-0.40%
UKX(GBR)	-0.29%
NKY(JPN)	-0.26%
SPX(USA)	-0.09%

MINTs
JCI(IDN)	-3.23%
INMEX(MEX)	+0.25%
NGSEINDX(NGA)	-0.13%
XU030(TUR)	-1.88%

BRICS
IBOV(BRA)	+0.44%
SHCOMP(CHN)	+2.85%
NIFTY(IND)	-1.62%
INDEXCF(RUS)	+0.01%
TOP40(ZAF)	+0.30%

Commodities

Energy
Natural Gas	+6.59%
Ethanol	-4.26%
Brent Crude Oil	+1.08%
Heating Oil	+0.94%
WTI Crude Oil	+1.64%
RBOB Gasoline	+4.58%

Metals
Copper	-0.74%
Gold 100oz	+1.02%
Palladium	-1.90%
Platinum	+0.16%
Silver 5000oz	-0.63%

Currencies

USDEUR:-1.33% USDJPY:-1.77%

MINTs
USDIDR(IDN)	+0.34%
USDMXN(MEX)	-2.04%
USDNGN(NGA)	+0.22%
USDTRY(TUR)	+1.75%

BRICS
USDBRL(BRA)	-1.09%
USDCNY(CHN)	+0.09%
USDINR(IND)	+0.48%
USDRUB(RUS)	-2.13%
USDZAR(ZAF)	-1.56%

Agricultural
Cattle	-0.28%
Cocoa	+0.05%
White Sugar	-0.97%
Cotton	+0.61%
Lumber	+1.45%
Orange Juice	+5.35%
Corn	-2.15%
Feeder Cattle	+0.90%
Coffee (Arabica)	-2.01%
Coffee (Robusta)	+0.17%
Lean Hogs	-0.61%
Soybean Meal	+4.00%
Soybeans	+0.13%
Sugar #11	-2.98%
Wheat	-2.65%

Credit Indices

Index	Change
Markit CDX EM	-0.48%
Markit CDX NA HY	-0.19%
Markit CDX NA IG	+0.14%
Markit iTraxx Asia ex-Japan IG	+1.99%
Markit iTraxx Australia	+1.42%
Markit iTraxx Europe	+1.14%
Markit iTraxx Europe Crossover	+0.36%
Markit iTraxx Japan	+2.32%
Markit iTraxx SovX Western Europe	+0.28%
Markit LCDX (Loan CDS)	-0.02%
Markit MCDX (Municipal CDS)	-0.16%

A huge wave of volatility consumed pretty much all asset classes this week. Bonds – down, equities – down, rupee – down; euro – up. Are we done yet?

Nifty Heatmap

Index Returns

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

Sector Performance

Advance Decline

advance.decline.line2.2015-06-05.2015-06-12

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	-8.21%	59/68
2	-2.71%	58/70
3	-2.35%	58/70
4	-3.39%	61/67
5	-2.31%	58/70
6	-2.26%	61/67
7	-2.15%	57/71
8	-3.77%	58/70
9	-2.61%	58/70
10 (mega)	-1.82%	60/68

A total bloodbath across market caps…

Top Winners and Losers

GLENMARK	+4.08%
ICICIBANK	+4.17%
OFSS	+4.18%
BANKBARODA	-8.30%
PNB	-8.21%
BOSCHLTD	-7.71%

Bosch was once a boring old manufacturing company but they had to go and include it in the Nifty and ruin it for everyone…

ETF Performance

INFRABEES	+0.43%
BANKBEES	+0.21%
GOLDBEES	+0.01%
JUNIORBEES	-1.45%
CPSEETF	-1.58%
NIFTYBEES	-1.58%
PSUBNKBEES	-2.63%

PSU banks back to being kicked around…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
GSEC TB	-0.63	+0.33%
GSEC SUB 1-3	-0.29	+0.84%
GSEC SUB 3-8	-0.07	+0.17%
GSEC SUB 8	+0.29	-2.69%

Are long bonds reflecting global liquidity jitters or are they signalling higher inflation?

Investment Theme Performance

Tactical CNX 100	+0.00%
CNX 100 Enterprise Yield	-0.79%
PPFAS Long Term Value	-1.34%
Balance Sheet Strength	-1.79%
The RBI Restricted List	-1.95%
Textile, Metals, Chemicals, Paper and Energy Quality to Price	-2.12%
Magic Formula	-2.31%
Low Volatility	-2.51%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	-2.71%
Next Trillion	-3.20%
ADAG stocks	-3.42%
Financial Strength Value	-3.43%
ASK Life	-3.45%
Momentum	-4.48%
Auto and Consumer Goods Quality to Price	-4.60%
High Beta	-5.04%
Quality to Price	-9.51%

Basically, nothing worked…

Equity Mutual Funds

Best
Religare Invesco Global Equity Income Fund – Regular Plan – Growth	+1.32%
Religare Invesco Pan European Equity Fund – Regular Plan – Growth Option	+1.23%
Bsl Comm Eq Fund – Global Agri Plan – Growth	+1.17%
Birla Sun Life International Equity Fund Plan A- Growth	+0.80%
Mirae Asset Global Commodity Stocks – Growth Option	+0.25%
ICICI Prudential Regular Income Fund – Regular Plan – Growth	+0.13%
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth	+0.13%

Worst
IDFC Premier Equity Fund-Regular Plan-Growth	-2.97%
Sundaram S.M.I.L.E.Fund-Growth	-2.97%
ICICI Prudential MidCap Fund – Regular Plan – Growth	-3.08%
LIC NOMURA MF MIDCAP FUND – REGULAR PLAN – GROWTH	-3.09%
DSP BlackRock Micro Cap Fund – Regular – Growth	-3.13%
Edelweiss Select Midcap Fund – Growth	-3.23%
Religare Invesco AGILE Fund – Growth Option	-3.53%

Bond Mutual Funds

Best
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.18%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.16%
JPMorgan India Corporate Debt Opportunities Fund – Regular Plan – Growth Option	+0.10%
Escorts Income Plan-Growth	+0.08%
Franklin India Dynamic Accrual Fund-Growth	+0.07%
L&T Resurgent India Corporate Bond Fund – Growth Option	+0.07%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.05%

Worst
Religare Invesco GILT Fund – Long Duration Plan – Growth	-0.77%
JM G-Sec Fund – Growth Option	-0.77%
IIFL Dynamic Bond Fund – Regular Plan – Growth Option	-0.78%
DWS Inflation Indexed Bond Fund- Regular Plan- Growth	-0.78%
ICICI Prudential Long Term Gilt Fund – Regular Plan – Growth	-0.80%
Birla Sun Life Govt, Securities Long Term Fund-Plan B (Growth)	-0.81%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	-0.81%

Thought for the weekend

We may have entered a great period of profit destroying innovation where the benefits accrue more and more to the customers and not the providers.

For instance, for almost every SaaS company that charges for features there are now new companies being built that give the features away with the goal of charging for some activity in the network that they are looking to build.

Source: Valuations, Profit Destroying Innovation and Winner’s Curse

Categories Your Money Tags weekly

Index Update 13.06.2015

stockviz June 13, 2015June 13, 2015