Tag: weekly

Index Update 19.12.2015

stockviz December 19, 2015December 19, 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 October 06, 2015 through December 18, 2015:

Equally Weighted		Market Cap. Weighted
METAL (EQUAL)	+4.55%	ENERGY (CAP)	+4.49%
ENERGY (EQUAL)	+2.36%	MEDIA (CAP)	+4.07%
CONSUMPTION (EQUAL)	+2.08%	COMMODITIES (CAP)	+1.92%
MEDIA (EQUAL)	+1.71%	AUTO (CAP)	+1.75%
COMMODITIES (EQUAL)	+0.95%	METAL (CAP)	+0.42%
INFRA (EQUAL)	+0.01%	CONSUMPTION (CAP)	-1.13%
PSE (EQUAL)	-0.29%	MNC (CAP)	-1.19%
LIQ 15 (EQUAL)	-0.48%	LIQ 15 (CAP)	-2.33%
FMCG (EQUAL)	-2.07%	PSE (CAP)	-3.51%
AUTO (EQUAL)	-2.43%	VALUE 20 (CAP)	-4.15%
VALUE 20 (EQUAL)	-2.62%	FMCG (CAP)	-4.20%
QUALITY 30 (EQUAL)	-2.79%	QUALITY 30 (CAP)	-5.16%
MNC (EQUAL)	-3.03%	FIN SERVICE (CAP)	-5.16%
REALTY (EQUAL)	-4.19%	MIDCAP LIQUID 15 (CAP)	-5.41%
SERV SECTOR (EQUAL)	-4.50%	SERV SECTOR (CAP)	-5.43%
CPSE (EQUAL)	-4.51%	BANK (CAP)	-5.83%
MIDCAP LIQUID 15 (EQUAL)	-4.80%	REALTY (CAP)	-6.50%
FIN SERVICE (EQUAL)	-4.93%	IT (CAP)	-6.88%
GROWSECT 15 (EQUAL)	-5.63%	CPSE (CAP)	-6.96%
IT (EQUAL)	-5.79%	GROWSECT 15 (CAP)	-7.03%
PHARMA (EQUAL)	-7.30%	PSU BANK (CAP)	-7.93%
BANK (EQUAL)	-8.55%	INFRA (CAP)	-8.28%
PSU BANK (EQUAL)	-8.75%	PHARMA (CAP)	-12.16%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	11.21	2015-Jan-27
NIFTY BANK	LONG	19.27	2015-Jan-27
NIFTY COMMODITIES	SHORT	36.24	2008-Jan-04
NIFTY CONSUMPTION	SHORT	5.41	2015-Aug-05
NIFTY ENERGY	LONG	31.09	2008-Jan-14
NIFTY FIN SERVICE	SHORT	16.66	2015-Jan-28
NIFTY FMCG	SHORT	11.13	2015-Feb-25
NIFTY INFRA	SHORT	57.24	2008-Jan-09
NIFTY IT	SHORT	88.35	2000-Feb-21
NIFTY MEDIA	LONG	15.34	2008-Jan-04
NIFTY METAL	LONG	67.73	2008-Jan-04
NIFTY MNC	LONG	10.02	2015-Aug-10
NIFTY PHARMA	LONG	15.67	2015-Apr-08
NIFTY PSE	LONG	35.76	2008-Jan-04
NIFTY PSU BANK	LONG	45.99	2010-Nov-05
NIFTY REALTY	LONG	91.07	2008-Jan-14
NIFTY SERV SECTOR	SHORT	14.23	2015-Mar-03

Auto and Pharma – the darlings of days past.

Categories Your Money Tags index, momentum, weekly

Index Update 12.12.2015

stockviz December 12, 2015December 14, 2015

MOMENTUM

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 September 28, 2015 through December 11, 2015:

Equally Weighted		Market Cap. Weighted
METAL (EQUAL)	+5.60%	ENERGY (CAP)	+7.18%
ENERGY (EQUAL)	+3.66%	AUTO (CAP)	+4.84%
CONSUMPTION (EQUAL)	+3.63%	COMMODITIES (CAP)	+4.41%
COMMODITIES (EQUAL)	+3.03%	METAL (CAP)	+3.04%
INFRA (EQUAL)	+1.73%	MEDIA (CAP)	+2.23%
FMCG (EQUAL)	+0.22%	CONSUMPTION (CAP)	+2.17%
PSE (EQUAL)	+0.15%	FMCG (CAP)	+1.00%
VALUE 20 (EQUAL)	-0.92%	PSE (CAP)	-0.81%
LIQ 15 (EQUAL)	-1.16%	LIQ 15 (CAP)	-1.54%
MEDIA (EQUAL)	-1.29%	VALUE 20 (CAP)	-1.78%
AUTO (EQUAL)	-1.42%	CPSE (CAP)	-1.86%
CPSE (EQUAL)	-1.70%	MNC (CAP)	-1.90%
QUALITY 30 (EQUAL)	-2.14%	QUALITY 30 (CAP)	-2.97%
REALTY (EQUAL)	-2.41%	FIN SERVICE (CAP)	-3.10%
MNC (EQUAL)	-2.78%	MIDCAP LIQUID 15 (CAP)	-3.58%
FIN SERVICE (EQUAL)	-3.01%	SERV SECTOR (CAP)	-4.02%
SERV SECTOR (EQUAL)	-3.52%	BANK (CAP)	-4.50%
MIDCAP LIQUID 15 (EQUAL)	-3.55%	GROWSECT 15 (CAP)	-4.58%
GROWSECT 15 (EQUAL)	-3.70%	INFRA (CAP)	-4.68%
IT (EQUAL)	-6.01%	REALTY (CAP)	-5.61%
PHARMA (EQUAL)	-6.57%	IT (CAP)	-6.36%
BANK (EQUAL)	-7.75%	PSU BANK (CAP)	-7.54%
PSU BANK (EQUAL)	-8.82%	PHARMA (CAP)	-11.39%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	12.71	2015-Jan-27
NIFTY BANK	LONG	20.49	2015-Jan-27
NIFTY COMMODITIES	LONG	38.18	2008-Jan-04
NIFTY CONSUMPTION	LONG	7.56	2015-Aug-05
NIFTY ENERGY	LONG	33.38	2008-Jan-14
NIFTY FIN SERVICE	LONG	18.47	2015-Jan-28
NIFTY FMCG	LONG	11.98	2015-Feb-25
NIFTY INFRA	LONG	58.43	2008-Jan-09
NIFTY IT	SHORT	88.44	2000-Feb-21
NIFTY MEDIA	SHORT	19.15	2008-Jan-04
NIFTY METAL	LONG	69.06	2008-Jan-04
NIFTY MNC	LONG	12.51	2015-Aug-10
NIFTY PHARMA	SHORT	17.70	2015-Apr-08
NIFTY PSE	LONG	37.51	2008-Jan-04
NIFTY PSU BANK	LONG	46.32	2010-Nov-05
NIFTY REALTY	LONG	91.37	2008-Jan-14
NIFTY SERV SECTOR	LONG	16.10	2015-Mar-03

All eyes on the Fed…

Categories Your Money Tags index, momentum, weekly

Index Update 05.12.2015

stockviz December 5, 2015December 6, 2015

MOMENTUM

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 September 18, 2015 through December 04, 2015:

Equally Weighted		Market Cap. Weighted
ENERGY (EQUAL)	+6.71%	AUTO (CAP)	+5.18%
INFRA (EQUAL)	+6.01%	ENERGY (CAP)	+4.83%
CONSUMPTION (EQUAL)	+4.41%	CONSUMPTION (CAP)	+3.75%
METAL (EQUAL)	+4.31%	FMCG (CAP)	+3.06%
COMMODITIES (EQUAL)	+3.83%	COMMODITIES (CAP)	+2.26%
PSE (EQUAL)	+2.97%	MEDIA (CAP)	+1.52%
MEDIA (EQUAL)	+2.94%	REALTY (CAP)	+0.78%
CPSE (EQUAL)	+2.91%	CPSE (CAP)	-0.29%
REALTY (EQUAL)	+2.67%	MIDCAP LIQUID 15 (CAP)	-0.30%
MIDCAP LIQUID 15 (EQUAL)	+0.83%	METAL (CAP)	-0.32%
PSU BANK (EQUAL)	+0.79%	PSE (CAP)	-0.83%
FMCG (EQUAL)	+0.35%	MNC (CAP)	-1.71%
FIN SERVICE (EQUAL)	-0.35%	LIQ 15 (CAP)	-1.83%
AUTO (EQUAL)	-0.51%	PSU BANK (CAP)	-1.88%
VALUE 20 (EQUAL)	-0.83%	VALUE 20 (CAP)	-1.90%
QUALITY 30 (EQUAL)	-1.86%	QUALITY 30 (CAP)	-2.47%
LIQ 15 (EQUAL)	-2.06%	FIN SERVICE (CAP)	-2.67%
PHARMA (EQUAL)	-2.17%	BANK (CAP)	-3.00%
SERV SECTOR (EQUAL)	-2.56%	GROWSECT 15 (CAP)	-3.43%
GROWSECT 15 (EQUAL)	-2.71%	SERV SECTOR (CAP)	-3.99%
MNC (EQUAL)	-3.08%	IT (CAP)	-6.33%
IT (EQUAL)	-4.93%	INFRA (CAP)	-6.52%
BANK (EQUAL)	-5.06%	PHARMA (CAP)	-8.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	9.44	2015-Jan-27
NIFTY BANK	SHORT	17.80	2015-Jan-27
NIFTY COMMODITIES	SHORT	35.95	2008-Jan-04
NIFTY CONSUMPTION	SHORT	5.81	2015-Aug-05
NIFTY ENERGY	SHORT	31.97	2008-Jan-14
NIFTY FIN SERVICE	SHORT	16.57	2015-Jan-28
NIFTY FMCG	SHORT	9.90	2015-Feb-25
NIFTY INFRA	SHORT	56.92	2008-Jan-09
NIFTY IT	SHORT	88.51	2000-Feb-21
NIFTY MEDIA	LONG	18.62	2008-Jan-04
NIFTY METAL	LONG	67.66	2008-Jan-04
NIFTY MNC	SHORT	11.10	2015-Aug-10
NIFTY PHARMA	SHORT	15.81	2015-Apr-08
NIFTY PSE	SHORT	35.06	2008-Jan-04
NIFTY PSU BANK	LONG	42.61	2010-Nov-05
NIFTY REALTY	LONG	90.84	2008-Jan-14
NIFTY SERV SECTOR	SHORT	14.66	2015-Mar-03

NIFTY MNC has been trailing lately. Is the trade overdone?

Categories Your Money Tags index, momentum, weekly

Index Update 28.11.2015

stockviz November 28, 2015November 29, 2015

MOMENTUM

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 September 10, 2015 through November 27, 2015:

Equally Weighted		Market Cap. Weighted
PSU BANK (EQUAL)	+10.68%	ENERGY (CAP)	+10.44%
ENERGY (EQUAL)	+10.51%	PSU BANK (CAP)	+8.58%
INFRA (EQUAL)	+10.04%	AUTO (CAP)	+7.34%
REALTY (EQUAL)	+7.90%	CONSUMPTION (CAP)	+7.16%
CONSUMPTION (EQUAL)	+6.18%	FMCG (CAP)	+5.90%
FIN SERVICE (EQUAL)	+5.16%	REALTY (CAP)	+4.96%
MIDCAP LIQUID 15 (EQUAL)	+4.47%	FIN SERVICE (CAP)	+4.80%
BANK (EQUAL)	+4.21%	BANK (CAP)	+4.63%
PSE (EQUAL)	+4.06%	MEDIA (CAP)	+4.37%
SERV SECTOR (EQUAL)	+3.88%	COMMODITIES (CAP)	+4.36%
COMMODITIES (EQUAL)	+3.85%	LIQ 15 (CAP)	+3.19%
VALUE 20 (EQUAL)	+3.77%	VALUE 20 (CAP)	+3.01%
CPSE (EQUAL)	+3.43%	CPSE (CAP)	+2.75%
AUTO (EQUAL)	+3.17%	MIDCAP LIQUID 15 (CAP)	+2.58%
METAL (EQUAL)	+1.61%	PSE (CAP)	+2.56%
FMCG (EQUAL)	+1.44%	SERV SECTOR (CAP)	+2.42%
MEDIA (EQUAL)	+0.75%	QUALITY 30 (CAP)	+0.44%
GROWSECT 15 (EQUAL)	+0.66%	MNC (CAP)	+0.11%
QUALITY 30 (EQUAL)	+0.54%	GROWSECT 15 (CAP)	+0.06%
LIQ 15 (EQUAL)	+0.37%	METAL (CAP)	-2.32%
PHARMA (EQUAL)	+0.14%	IT (CAP)	-2.71%
IT (EQUAL)	-0.47%	INFRA (CAP)	-4.01%
MNC (EQUAL)	-1.48%	PHARMA (CAP)	-6.12%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	7.21	2015-Jan-27
NIFTY BANK	SHORT	15.49	2015-Jan-27
NIFTY COMMODITIES	SHORT	35.90	2008-Jan-04
NIFTY CONSUMPTION	LONG	4.30	2015-Aug-05
NIFTY ENERGY	LONG	31.03	2008-Jan-14
NIFTY FIN SERVICE	SHORT	13.83	2015-Jan-28
NIFTY FMCG	SHORT	8.34	2015-Feb-25
NIFTY INFRA	SHORT	55.79	2008-Jan-09
NIFTY IT	SHORT	88.35	2000-Feb-21
NIFTY MEDIA	LONG	17.55	2008-Jan-04
NIFTY METAL	SHORT	68.40	2008-Jan-04
NIFTY MNC	SHORT	10.52	2015-Aug-10
NIFTY PHARMA	SHORT	16.37	2015-Apr-08
NIFTY PSE	SHORT	34.30	2008-Jan-04
NIFTY PSU BANK	SHORT	40.16	2010-Nov-05
NIFTY REALTY	SHORT	90.89	2008-Jan-14
NIFTY SERV SECTOR	SHORT	12.35	2015-Mar-03

Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.

Categories Your Money Tags index, momentum, weekly

Weekly Recap: Selective Memory

shyam November 21, 2015

Equities

Major
DAX(DEU)	+3.84%
CAC(FRA)	+2.14%
UKX(GBR)	+3.54%
NKY(JPN)	+1.44%
SPX(USA)	+2.85%

MINTs
JCI(IDN)	+1.98%
INMEX(MEX)	+2.60%
NGSEINDX(NGA)	-2.46%
XU030(TUR)	-1.54%

BRICS
IBOV(BRA)	+3.25%
SHCOMP(CHN)	+1.39%
NIFTY(IND)	+1.21%
INDEXCF(RUS)	+5.70%
TOP40(ZAF)	+2.14%

Commodities

Energy
Brent Crude Oil	+2.06%
Ethanol	+1.35%
Heating Oil	-1.43%
Natural Gas	-8.15%
WTI Crude Oil	+2.45%
RBOB Gasoline	+4.01%

Metals
Silver 5000oz	+0.00%
Gold 100oz	+0.15%
Copper	-5.56%
Palladium	+4.18%
Platinum	-0.94%

Currencies

USDEUR:+0.78% USDJPY:-0.05%

MINTs
USDIDR(IDN)	-0.45%
USDMXN(MEX)	-1.02%
USDNGN(NGA)	+0.76%
USDTRY(TUR)	-1.18%

BRICS
USDBRL(BRA)	-3.21%
USDCNY(CHN)	+0.17%
USDINR(IND)	+0.15%
USDRUB(RUS)	-3.26%
USDZAR(ZAF)	-3.01%

Agricultural
Cattle	-0.80%
Lumber	+0.68%
Wheat	-1.47%
Cocoa	+0.26%
Coffee (Robusta)	-0.70%
Soybeans	-0.32%
Sugar #11	+1.86%
White Sugar	+4.94%
Corn	+1.32%
Feeder Cattle	-6.95%
Soybean Meal	-1.84%
Coffee (Arabica)	+9.60%
Cotton	-2.69%
Lean Hogs	+5.30%
Orange Juice	-2.26%

Credit Indices

Index	Change
Markit CDX EM	+0.61%
Markit CDX NA HY	+0.54%
Markit CDX NA IG	-1.51%
Markit iTraxx Asia ex-Japan IG	+2.39%
Markit iTraxx Australia	+2.61%
Markit iTraxx Europe	-3.07%
Markit iTraxx Europe Crossover	-11.47%
Markit iTraxx Japan	+3.63%
Markit iTraxx SovX Western Europe	-0.51%
Markit LCDX (Loan CDS)	+0.00%
Markit MCDX (Municipal CDS)	-0.75%

It was a good week for the markets over all. Risk was firmly ON and most markets rallied. The market is expecting a US Fed December liftoff. The USD continued to rally against other major currencies, European bonds dipped in negative-yield territory on rumors of more ECB QE and oil dipped bellow $40 a barrel.

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)	+2.00%	66/65
2	+5.28%	70/60
3	+2.36%	65/65
4	+2.32%	74/57
5	+1.82%	68/62
6	+2.32%	69/61
7	+1.76%	69/62
8	+1.65%	63/67
9	+1.54%	70/60
10 (mega)	+0.95%	66/65

What? Me Worry?

Top Winners and Losers

PETRONET	+7.70%
CROMPGREAV	+9.11%
GAIL	+23.95%
PFC	-5.31%
AXISBANK	-5.18%
INFY	-4.40%

What happened to AXISBANK? Its down more than 30% since March this year…

ETF Performance

INFRABEES	+1.67%
CPSEETF	+1.59%
JUNIORBEES	+1.43%
PSUBNKBEES	+1.21%
NIFTYBEES	+0.97%
BANKBEES	+0.81%
GOLDBEES	+0.26%

Given gold bonds, will GOLDBEES continue?

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	+0.04	+0.05%
5 10	+0.04	-0.05%
10 15	+0.03	-0.10%
15 20	+0.05	-0.26%
20 30	+0.02	-0.11%

Bond yields widened – is it the pay-commission effect?

Investment Theme Performance

Magic Formula	+2.61%
Financial Strength Value	+2.51%
Next Trillion	+2.37%
ASK Life	+2.06%
Momentum	+2.02%
PPFAS Long Term Value	+1.70%
Balance Sheet Strength	+1.20%
Velocity	+1.07%
Enterprise Yield	+1.02%
ADAG stocks	+0.91%
High Beta	+0.68%
Low Volatility	+0.39%
Quality to Price	+0.32%
Tactical CNX 100	-0.00%
The RBI Restricted List	-1.55%

Pretty much every investment strategy ended the week in the green. We introduced a new momentum strategy: Acceleration. Do check it out.

Equity Mutual Funds

Best
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth	+3.38%
Reliance Mid & Small Cap Fund -Growth Plan -Growth Option	+3.35%
Sundaram S.M.I.L.E.Fund-iNST Growth	+3.29%
Sundaram S.M.I.L.E.Fund-Growth	+3.29%
HSBC Midcap Equity Fund – Growth	+3.27%
Mirae Asset Global Commodity Stocks – Growth Option	+3.20%
MOSt Focused Midcap 30-Regular Plan-Growth Option	+3.13%

Worst
Religare Invesco Monthly Income Plan – Growth Option	-0.13%
ICICI Prudential Very Aggressive – Regular Plan – Growth	-0.14%
Pramerica Dynamic Monthly Income Fund – Growth Option	-0.17%
Principal Debt Savings Fund – MIP – Growth Option	-0.18%
SBI Edge Fund – REGULAR PLAN Growth	-0.20%
Reliance Vision Fund-GROWTH PLAN-Growth Option	-0.20%
Religare Invesco Monthly Income Plan (MIP) Plus – Growth	-0.34%

Bond Mutual Funds

Best
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.15%
DWS Premier Bond Fund – Premium Plus Plan – Growth	+0.15%
Kotak Corporate Bond Fund- Standard Plan-Growth Option	+0.14%
Kotak Coporate Bond Fund- Retail Plan-Growth Option	+0.14%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.13%
DWS Premier Bond Fund – Growth	+0.13%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.12%

Worst
IDFC GSF – Investment Plan -Regular Plan-GROWTH	-0.49%
DWS Inflation Indexed Bond Fund – Regular Plan – Growth	-0.50%
IDFC Dynamic Bond Fund -Regular Plan-GROWTH	-0.53%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	-0.53%
IDFC Super Saver Income Fund- IP-Plan F Growth	-0.53%
IDFC – SSIF – Investment Plan -Regular Plan- Growth Option	-0.53%
IDFC Dynamic Bond Fund – Growth	-0.53%

Thoughts for the weekend

Force yourself to relive the anxiety and worry of being down 5% and wondering if 20% is coming next. Remember what it was like to worry that war might break out or disease was spreading or economic collapse was around the corner. Not because this alone is a good practice, but because it is going to happen again, and sooner than you think. It happens every year like clockwork. You can’t pick a time in history that something scary wasn’t around the corner. You need to hold on to those past moment and then recognize that even though it was truly scary life moved on and markets recovered and the world didn’t, in fact, come to an end.

Source: My Dangerously Selective Memory

Categories Your Money Tags weekly