weekly – Page 15

Index Update 30.05.2015

stockviz May 30, 2015May 30, 2015 0

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:

Categories Your Money Tags index, momentum, weekly

Correlation Update 30.05.2015

stockviz May 30, 2015May 30, 2015 0

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: How Mobile disrupted Airfreight

shyam May 23, 2015 0

world.2015-05-15.2015-05-22

Equities

Major
DAX(DEU)	+3.21%
CAC(FRA)	+2.99%
UKX(GBR)	+1.02%
NKY(JPN)	+2.69%
SPX(USA)	+0.34%

MINTs
JCI(IDN)	+1.68%
INMEX(MEX)	-0.92%
NGSEINDX(NGA)	-0.49%
XU030(TUR)	-2.35%

BRICS
IBOV(BRA)	-5.07%
SHCOMP(CHN)	+8.10%
NIFTY(IND)	+2.38%
INDEXCF(RUS)	-1.53%
TOP40(ZAF)	-0.10%

Commodities

Energy
Ethanol	-6.26%
WTI Crude Oil	+0.69%
Heating Oil	-2.32%
Natural Gas	-4.60%
RBOB Gasoline	+0.78%
Brent Crude Oil	-1.96%

Metals
Gold 100oz	-0.95%
Palladium	-1.45%
Platinum	-1.95%
Copper	-4.41%
Silver 5000oz	-2.29%

Currencies

USDEUR:+3.96% USDJPY:+1.85%

MINTs
USDIDR(IDN)	+0.57%
USDMXN(MEX)	+1.67%
USDNGN(NGA)	+0.76%
USDTRY(TUR)	+0.86%

BRICS
USDBRL(BRA)	+3.75%
USDCNY(CHN)	-0.15%
USDINR(IND)	+0.01%
USDRUB(RUS)	+1.27%
USDZAR(ZAF)	+1.00%

Agricultural
Feeder Cattle	+0.59%
Orange Juice	+5.82%
Soybean Meal	+0.30%
Soybeans	-2.83%
Sugar #11	-4.12%
Wheat	+0.98%
White Sugar	-4.33%
Cattle	-0.21%
Cocoa	+2.18%
Coffee (Arabica)	-7.87%
Coffee (Robusta)	-3.06%
Corn	-1.37%
Cotton	-5.07%
Lumber	+14.50%
Lean Hogs	+0.66%

Credit Indices

Index	Change
Markit CDX EM	+0.21%
Markit CDX NA HY	-0.07%
Markit CDX NA IG	+0.44%
Markit iTraxx Asia ex-Japan IG	-3.17%
Markit iTraxx Australia	-0.76%
Markit iTraxx Europe	-0.88%
Markit iTraxx Europe Crossover	-6.29%
Markit iTraxx Japan	-1.17%
Markit iTraxx SovX Western Europe	-0.04%
Markit LCDX (Loan CDS)	+0.00%
Markit MCDX (Municipal CDS)	+1.77%

A moment of silence to whoever shorted the market thinking the NIFTY will go to 7600. May your capital rest in peace.

Nifty Heatmap

Index Returns

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

Sector Performance

Advance Decline

advance.decline.line2.2015-05-15.2015-05-22

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	-1.51%	66/62
2	-0.05%	69/59
3	+2.14%	76/51
4	+2.33%	73/55
5	+2.22%	72/55
6	+1.23%	69/59
7	+2.07%	62/66
8	+2.42%	68/59
9	+1.44%	68/60
10 (mega)	+2.14%	61/67

Ob-La-Di, Ob-La-Da…

Top Winners and Losers

ADANIENT	+7.59%
HCLTECH	+7.69%
TECHM	+7.88%
TATASTEEL	-6.26%
BHARATFORG	-3.69%
OIL	-3.58%

Tech broke through disappointing results while investors were served a reminder of the problems plaguing old-economy stocks…

ETF Performance

CPSEETF	+1.97%
NIFTYBEES	+1.73%
JUNIORBEES	+1.66%
INFRABEES	+1.05%
BANKBEES	+0.98%
PSUBNKBEES	-0.66%
GOLDBEES	-0.91%

Look at the divergence between BANKBEES and PSUBNKBEES…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
GSEC TB	-0.18	+0.20%
GSEC SUB 1-3	-0.01	+0.33%
GSEC SUB 3-8	-0.04	+0.42%
GSEC SUB 8	-0.04	+0.56%

Lower inflation + tepid economy = rate cut?

Investment Theme Performance

Momentum	+2.95%
CNX 100 Enterprise Yield	+2.89%
Low Volatility	+2.62%
ASK Life	+1.89%
Balance Sheet Strength	+1.80%
Financial Strength Value	+1.57%
Magic Formula	+1.41%
Textile, Metals, Chemicals, Paper and Energy Quality to Price	+0.99%
PPFAS Long Term Value	+0.73%
ADAG stocks	+0.64%
Auto and Consumer Goods Quality to Price	+0.61%
Quality to Price	+0.48%
The RBI Restricted List	+0.26%
Next Trillion	+0.07%
Tactical CNX 100	+0.00%
High Beta	-0.39%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	-0.41%

Do read our Momentum series: Part I, Part II, Part III and Conclusion

Equity Mutual Funds

Best
MOSt Focused Long Term – Regular Plan – Growth Option	+2.80%
SBI MAGNUM TAXGAIN SCHEME 1993 – REGULAR PLAN- GROWTH	+2.73%
MOSt Focused Midcap 30-Regular Plan-Growth Option	+2.73%
MOSt Focused Multicap 35-Regular Plan-Growth Option	+2.70%
Religare Invesco Growth Fund – Growth	+2.63%
Tata Tax Saving Fund-Growth-Plan A	+2.54%
IDFC Imperial Equity Fund-Plan B – Growth	+2.49%

Worst
BNP Paribas Income and Gold Fund – Growth	-0.08%
Sahara Star Value Fund-Growth Option	-0.24%
DSP BlackRock Small and Mid Cap Fund – Regular Plan – Growth	-0.39%
Sahara Midcap Fund-Growth Plan	-0.51%
Mirae Asset Global Commodity Stocks – Growth Option	-0.63%
SBI Smal & Midcap – Regular Plan – Growth	-0.67%
IDFC Sterling Equity Fund -Regular Plan-Growth	-0.73%

Bond Mutual Funds

Best
L&T Gilt Fund-Growth	+0.94%
SBI MAGNUM GILT FUND – LONG TERM – REGULAR PLAN – GROWTH	+0.93%
Canara Robeco Gilt PGS – Regular Plan – Growth	+0.92%
IDFC GSF – Investment Plan – Growth	+0.91%
IDFC GSF – Investment Plan -Regular Plan-GROWTH	+0.91%
Kotak Gilt-Investment Regular-Growth	+0.91%
Kotak Gilt-Investment Provident Fund and Trust-Growth	+0.91%

Worst
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.26%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.25%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan	+0.21%
DWS PREMIER BOND FUND INST PLAN GROWTH	+0.20%
Kotak Coporate Bond Fund- Retail Plan-Growth Option	+0.17%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.17%
Escorts Income Plan-Growth	+0.10%

Thought for the weekend

From the mid-1980’s when PC’s and other hi-tech products first started being assembled in Asia, in places like Taiwan, Hong Kong, Singapore, Thailand and Malaysia, through 2010, after China had achieved the dominant manufacturing position it holds, the airfreight markets became increasingly reliant on the market for getting hi-tech goods built and assembled in Asia to North America and also to Europe.
…
The iPads and other Android-based and Windows-devices both usurped and combined many of the functions previously reserved for the PC platform or other dedicated electronic devices. Emerging from the Great Recession, these increasingly smaller, more powerful, alternative devices with their myriads of “apps” began to offer multiple capabilities on one platform that delivered capabilities which had previously taken multiple devices to deliver. This factor also significantly changed the dynamics of the airfreight markets.

Source: Avondale Asset Management

Categories Your Money Tags weekly

Index Update 23.05.2015

stockviz May 23, 2015May 23, 2015 0

MOMENTUM

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+0.18%	CPSE INDEX (CAP)	+0.65%
CNX CONSUMPTION (EQUAL)	-0.18%	CNX ENERGY (CAP)	+0.62%
CNX MNC (EQUAL)	-0.51%	CNX COMMODITIES (CAP)	+0.18%
CPSE INDEX (EQUAL)	-1.30%	LIX15 Midcap (CAP)	-0.22%
CNX AUTO (EQUAL)	-1.93%	CNX CONSUMPTION (CAP)	-0.47%
NI15 (EQUAL)	-2.68%	CNX AUTO (CAP)	-0.77%
CNX PSE (EQUAL)	-2.78%	CNX METAL (CAP)	-1.07%
NV20 (EQUAL)	-2.94%	CNX PSE (CAP)	-2.09%
CNX ENERGY (EQUAL)	-3.00%	NV20 (CAP)	-2.62%
CNX COMMODITIES (EQUAL)	-3.22%	CNX MNC (CAP)	-2.65%
LIX15 Midcap (EQUAL)	-3.32%	CNX INFRA (CAP)	-2.72%
CNX INFRA (EQUAL)	-3.69%	CNX FMCG (CAP)	-2.89%
CNX BANK (EQUAL)	-3.93%	NI15 (CAP)	-3.22%
CNX MEDIA (EQUAL)	-4.54%	LIX 15 (CAP)	-3.28%
CNX SERVICE (EQUAL)	-4.60%	CNX BANK (CAP)	-3.29%
LIX 15 (EQUAL)	-5.32%	CNX SERVICE (CAP)	-3.78%
CNX FINANCE (EQUAL)	-6.11%	CNX FINANCE (CAP)	-3.85%
CNX IT (EQUAL)	-7.33%	CNX PSU BANK (CAP)	-5.10%
CNX PSU BANK (EQUAL)	-7.73%	CNX IT (CAP)	-5.34%
CNX REALTY (EQUAL)	-8.10%	CNX PHARMA (CAP)	-5.88%
CNX METAL (EQUAL)	-8.64%	CNX MEDIA (CAP)	-5.88%
CNX PHARMA (EQUAL)	-9.85%	CNX REALTY (CAP)	-9.30%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	5.69	2015-Jan-27
CNX BANK	SHORT	10.32	2015-Jan-27
CNX ENERGY	SHORT	29.07	2008-Jan-14
CNX FMCG	SHORT	9.54	2015-Feb-25
CNX INFRA	SHORT	49.37	2008-Jan-09
CNX IT	SHORT	87.72	2000-Feb-21
CNX MEDIA	SHORT	29.01	2008-Jan-04
CNX METAL	SHORT	56.14	2008-Jan-04
CNX MNC	SHORT	3.97	2015-Mar-12
CNX NIFTY	SHORT	5.97	2015-Mar-03
CNX PHARMA	SHORT	8.25	2015-Apr-08
CNX PSE	SHORT	26.16	2008-Jan-04
CNX REALTY	SHORT	89.23	2008-Jan-14