Tag: weekly

Index Update 21.11.2015

stockviz November 21, 2015November 21, 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 September 04, 2015 through November 20, 2015:

Equally Weighted		Market Cap. Weighted
INFRA (EQUAL)	+11.95%	ENERGY (CAP)	+11.02%
ENERGY (EQUAL)	+11.25%	AUTO (CAP)	+10.45%
PSU BANK (EQUAL)	+8.40%	CONSUMPTION (CAP)	+7.05%
REALTY (EQUAL)	+7.09%	PSU BANK (CAP)	+6.87%
FIN SERVICE (EQUAL)	+5.93%	BANK (CAP)	+5.70%
MIDCAP LIQUID 15 (EQUAL)	+5.91%	MEDIA (CAP)	+5.52%
PSE (EQUAL)	+5.86%	FIN SERVICE (CAP)	+5.46%
CONSUMPTION (EQUAL)	+5.82%	COMMODITIES (CAP)	+5.43%
COMMODITIES (EQUAL)	+5.41%	00 LIQ 15 (CAP)	+4.26%
BANK (EQUAL)	+5.04%	FMCG (CAP)	+4.02%
0 VALUE 20 (EQUAL)	+4.54%	MIDCAP LIQUID 15 (CAP)	+3.80%
AUTO (EQUAL)	+4.53%	REALTY (CAP)	+3.54%
CPSE (EQUAL)	+4.45%	0 VALUE 20 (CAP)	+3.35%
SERV SECTOR (EQUAL)	+4.37%	PSE (CAP)	+3.26%
METAL (EQUAL)	+2.35%	SERV SECTOR (CAP)	+2.82%
00 LIQ 15 (EQUAL)	+1.89%	CPSE (CAP)	+2.41%
FMCG (EQUAL)	+0.70%	MNC (CAP)	+1.83%
MEDIA (EQUAL)	+0.47%	QUALITY 30 (CAP)	+0.15%
QUALITY 30 (EQUAL)	+0.44%	METAL (CAP)	-0.27%
GROWSECT 15 (EQUAL)	+0.39%	GROWSECT 15 (CAP)	-0.68%
MNC (EQUAL)	+0.26%	INFRA (CAP)	-1.63%
PHARMA (EQUAL)	-0.11%	IT (CAP)	-2.83%
IT (EQUAL)	-0.63%	PHARMA (CAP)	-6.74%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	8.35	2015-Jan-27
NIFTY BANK	SHORT	17.03	2015-Jan-27
NIFTY COMMODITIES	LONG	36.30	2008-Jan-04
NIFTY CONSUMPTION	SHORT	5.11	2015-Aug-05
NIFTY ENERGY	SHORT	32.35	2008-Jan-14
NIFTY FIN SERVICE	SHORT	15.36	2015-Jan-28
NIFTY FMCG	SHORT	8.28	2015-Feb-25
NIFTY INFRA	SHORT	56.17	2008-Jan-09
NIFTY IT	LONG	88.36	2000-Feb-21
NIFTY MEDIA	LONG	19.97	2008-Jan-04
NIFTY METAL	SHORT	68.58	2008-Jan-04
NIFTY MNC	SHORT	9.35	2015-Aug-10
NIFTY PHARMA	LONG	15.51	2015-Apr-08
NIFTY PSE	LONG	34.98	2008-Jan-04
NIFTY PSU BANK	LONG	41.92	2010-Nov-05
NIFTY REALTY	LONG	91.28	2008-Jan-14
NIFTY SERV SECTOR	LONG	13.63	2015-Mar-03

Is there a dash-for-trash thing going on where the beaten-down, heavily leveraged sectors are finding a bid? Look at the recent performance of INFRA and ENERGY. Is this a blip or a fundamental shift?

Categories Your Money Tags index, momentum, weekly

Index Update 07.11.2015

stockviz November 7, 2015November 7, 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 August 25, 2015 through November 06, 2015:

Equally Weighted		Market Cap. Weighted
CNX ENERGY (EQUAL)	+11.14%	CNX ENERGY (CAP)	+10.20%
CNX INFRA (EQUAL)	+9.42%	CNX REALTY (CAP)	+9.27%
CNX REALTY (EQUAL)	+9.40%	CNX MEDIA (CAP)	+6.32%
CNX COMMODITIES (EQUAL)	+4.72%	CNX COMMODITIES (CAP)	+5.83%
CNX FINANCE (EQUAL)	+4.56%	CNX CONSUMPTION (CAP)	+3.16%
CNX CONSUMPTION (EQUAL)	+4.49%	CNX AUTO (CAP)	+2.93%
CNX PSE (EQUAL)	+3.65%	CPSE INDEX (CAP)	+2.67%
CNX SERVICE (EQUAL)	+3.08%	CNX FMCG (CAP)	+1.94%
CPSE INDEX (EQUAL)	+3.03%	CNX PSE (CAP)	+1.91%
LIX 15 (EQUAL)	+1.90%	CNX IT (CAP)	+1.69%
CNX MEDIA (EQUAL)	+1.72%	CNX SERVICE (CAP)	+1.38%
LIX15 Midcap (EQUAL)	+0.89%	CNX FINANCE (CAP)	+1.09%
CNX FMCG (EQUAL)	+0.72%	NSE QUALITY 30 (CAP)	+1.01%
CNX IT (EQUAL)	+0.54%	NV20 (CAP)	+0.73%
NV20 (EQUAL)	+0.10%	LIX 15 (CAP)	+0.65%
CNX PSU BANK (EQUAL)	-0.02%	NI15 (CAP)	+0.10%
CNX METAL (EQUAL)	-0.40%	CNX METAL (CAP)	-0.41%
NSE QUALITY 30 (EQUAL)	-0.40%	CNX BANK (CAP)	-0.72%
NI15 (EQUAL)	-0.45%	LIX15 Midcap (CAP)	-0.94%
CNX PHARMA (EQUAL)	-0.85%	CNX MNC (CAP)	-1.02%
CNX MNC (EQUAL)	-1.31%	CNX PSU BANK (CAP)	-3.97%
CNX AUTO (EQUAL)	-2.26%	CNX INFRA (CAP)	-4.26%
CNX BANK (EQUAL)	-2.58%	CNX PHARMA (CAP)	-4.32%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	10.50	2015-Jan-27
CNX BANK	LONG	16.88	2015-Jan-27
CNX COMMODITIES	SHORT	35.50	2008-Jan-04
CNX CONSUMPTION	SHORT	6.49	2015-Aug-05
CNX ENERGY	SHORT	32.00	2008-Jan-14
CNX FMCG	LONG	9.17	2015-Feb-25
CNX INFRA	LONG	55.66	2008-Jan-09
CNX IT	SHORT	87.97	2000-Feb-21
CNX MEDIA	LONG	20.59	2008-Jan-04
CNX METAL	LONG	68.69	2008-Jan-04
CNX MNC	SHORT	9.63	2015-Aug-10
CNX NIFTY	LONG	11.58	2015-Mar-03
CNX PHARMA	LONG	11.60	2015-Apr-08
CNX PSE	LONG	34.06	2008-Jan-04
CNX PSU BANK	LONG	42.26	2010-Nov-05
CNX REALTY	LONG	90.82	2008-Jan-14
CNX SERVICE	LONG	12.09	2015-Mar-03

The DRL fiasco dinged the last samurai. Will FMCG lead from hear on out?

Categories Your Money Tags index, momentum, weekly

Index Update 31.10.2015

stockviz October 31, 2015October 31, 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 August 18, 2015 through October 30, 2015:

Equally Weighted		Market Cap. Weighted
CNX REALTY (EQUAL)	+1.01%	CNX PHARMA (CAP)	+1.45%
CNX ENERGY (EQUAL)	+0.66%	CNX FMCG (CAP)	-0.74%
CNX PHARMA (EQUAL)	-0.32%	CNX ENERGY (CAP)	-1.02%
CNX INFRA (EQUAL)	-1.10%	CNX REALTY (CAP)	-1.82%
CNX COMMODITIES (EQUAL)	-2.12%	NSE QUALITY 30 (CAP)	-2.22%
CNX CONSUMPTION (EQUAL)	-2.82%	CNX MEDIA (CAP)	-2.31%
NI15 (EQUAL)	-3.17%	NI15 (CAP)	-2.35%
CNX FINANCE (EQUAL)	-4.18%	CNX CONSUMPTION (CAP)	-2.57%
NSE QUALITY 30 (EQUAL)	-4.20%	CNX COMMODITIES (CAP)	-3.04%
CNX PSE (EQUAL)	-4.60%	CNX IT (CAP)	-5.04%
CNX FMCG (EQUAL)	-5.64%	CNX FINANCE (CAP)	-5.11%
CNX IT (EQUAL)	-5.85%	CNX SERVICE (CAP)	-5.54%
CPSE INDEX (EQUAL)	-6.42%	CNX AUTO (CAP)	-6.50%
CNX SERVICE (EQUAL)	-6.45%	CNX METAL (CAP)	-6.52%
CNX MNC (EQUAL)	-7.44%	CNX PSE (CAP)	-7.06%
CNX METAL (EQUAL)	-7.68%	NV20 (CAP)	-7.19%
LIX 15 (EQUAL)	-7.99%	CNX MNC (CAP)	-7.43%
LIX15 Midcap (EQUAL)	-8.32%	CNX BANK (CAP)	-7.68%
NV20 (EQUAL)	-8.44%	CPSE INDEX (CAP)	-7.70%
CNX MEDIA (EQUAL)	-9.15%	LIX15 Midcap (CAP)	-8.33%
CNX AUTO (EQUAL)	-9.60%	LIX 15 (CAP)	-8.91%
CNX BANK (EQUAL)	-14.15%	CNX INFRA (CAP)	-11.84%
CNX PSU BANK (EQUAL)	-17.51%	CNX PSU BANK (CAP)	-18.66%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	11.07	2015-Jan-27
CNX BANK	LONG	15.57	2015-Jan-27
CNX COMMODITIES	SHORT	35.27	2008-Jan-04
CNX CONSUMPTION	SHORT	6.47	2015-Aug-05
CNX ENERGY	SHORT	32.57	2008-Jan-14
CNX FMCG	LONG	9.76	2015-Feb-25
CNX INFRA	LONG	54.74	2008-Jan-09
CNX IT	LONG	87.97	2000-Feb-21
CNX MEDIA	LONG	18.27	2008-Jan-04
CNX METAL	SHORT	67.13	2008-Jan-04
CNX MNC	SHORT	9.13	2015-Aug-10
CNX NIFTY	LONG	10.34	2015-Mar-03
CNX PHARMA	SHORT	4.78	2015-Apr-08
CNX PSE	LONG	34.72	2008-Jan-04
CNX PSU BANK	LONG	43.64	2010-Nov-05
CNX REALTY	LONG	90.63	2008-Jan-14
CNX SERVICE	LONG	10.93	2015-Mar-03

Relative Strength Spread widened out – a good sign for momentum strategies. Metals, infra and energy indices continued to troll the depths. Pharma was the strongest.

Categories Your Money Tags index, momentum, weekly

Weekly Recap: When Evidence Fails

shyam October 17, 2015October 17, 2015

Equities

Major
DAX(DEU)	+0.08%
CAC(FRA)	+0.03%
UKX(GBR)	-0.59%
NKY(JPN)	-0.80%
SPX(USA)	+1.14%

MINTs
JCI(IDN)	-1.47%
INMEX(MEX)	+0.07%
NGSEINDX(NGA)	-1.10%
XU030(TUR)	-1.05%

BRICS
IBOV(BRA)	-3.27%
SHCOMP(CHN)	+6.54%
NIFTY(IND)	+0.59%
INDEXCF(RUS)	-0.66%
TOP40(ZAF)	-0.73%

Commodities

Energy
Brent Crude Oil	-4.00%
Ethanol	-0.20%
Natural Gas	-3.08%
RBOB Gasoline	-6.00%
WTI Crude Oil	-4.35%
Heating Oil	-5.54%

Metals
Copper	-0.41%
Palladium	-1.68%
Gold 100oz	+1.96%
Platinum	+3.61%
Silver 5000oz	+2.53%

Currencies

USDEUR:+0.18% USDJPY:-0.69%

MINTs
USDIDR(IDN)	+0.95%
USDMXN(MEX)	-0.17%
USDNGN(NGA)	-0.05%
USDTRY(TUR)	-0.71%

BRICS
USDBRL(BRA)	+5.00%
USDCNY(CHN)	+0.14%
USDINR(IND)	+0.12%
USDRUB(RUS)	-0.53%
USDZAR(ZAF)	-1.93%

Agricultural
Cotton	+3.23%
Feeder Cattle	+2.54%
Lean Hogs	-11.45%
Wheat	-2.75%
Orange Juice	+18.33%
Soybeans	+1.64%
Cocoa	+1.34%
Coffee (Arabica)	-4.16%
Coffee (Robusta)	-0.49%
Corn	-1.24%
Soybean Meal	+1.76%
Sugar #11	+0.70%
Cattle	+4.10%
Lumber	+5.94%
White Sugar	+0.05%

Credit Indices

Index	Change
Markit CDX NA HY	-0.72%
Markit CDX NA IG	+3.83%
Markit iTraxx Asia ex-Japan IG	-4.14%
Markit iTraxx Australia	-2.90%
Markit iTraxx Europe	-1.84%
Markit iTraxx Europe Crossover	+4.46%
Markit iTraxx Japan	-0.38%
Markit iTraxx SovX Western Europe	+0.27%
Markit LCDX (Loan CDS)	+0.00%
Markit MCDX (Municipal CDS)	+0.56%

Risk ON like Donkey Kong this week. All that money that fled EMs fearing a Fed rate hike is finding its way back…

Global 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)	+1.34%	76/59
2	+3.26%	81/53
3	+3.42%	72/62
4	+3.84%	73/62
5	+2.85%	75/59
6	+2.42%	76/58
7	+2.29%	72/63
8	+2.89%	73/61
9	+0.95%	73/61
10 (mega)	+0.47%	75/60

Midcaps outperformed large caps…

Top Winners and Losers

RCOM	+8.23%
TATAMOTORS	+8.35%
NMDC	+9.10%
INFY	-6.21%
TCS	-5.93%
CONCOR	-5.79%

IT guys got hit buy a bus…

ETF Performance

INFRABEES	+3.03%
BANKBEES	+1.98%
PSUBNKBEES	+1.66%
GOLDBEES	+1.50%
NIFTYBEES	+0.67%
JUNIORBEES	+0.55%
CPSEETF	+0.32%

Green zoned…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.01	+0.16%
5 10	+0.02	+0.05%
10 15	+0.03	-0.04%
15 20	+0.00	+0.13%
20 30	-0.03	+0.41%

The curve remained unchanged…

Investment Theme Performance

ADAG stocks	+6.64%
The RBI Restricted List	+6.35%
High Beta	+4.09%
Magic Formula	+3.83%
PPFAS Long Term Value	+3.49%
Quality to Price	+3.15%
Financial Strength Value	+1.48%
Momentum	+1.38%
Velocity	+0.87%
Tactical CNX 100	+0.06%
Balance Sheet Strength	-0.30%
Next Trillion	-0.42%
ASK Life	-0.52%
Enterprise Yield	-0.71%
Low Volatility	-1.50%

High beta took off like a rocket…

Equity Mutual Funds

Best
Mirae Asset China Advantage Fund – Regular Plan Growth Option	+3.81%
JM Core 11 Fund – Growth option	+3.08%
Religare Invesco PSU Equity Fund – Growth	+2.83%
JM Basic Fund – Growth Option	+2.45%
DSP BlackRock Small and Mid Cap Fund – Regular Plan – Growth	+2.24%
Mirae Asset Emerging Bluechip Fund – Regular Plan – Growth Option	+2.13%
HDFC INFRASTRUCTURE FUND-GROWTH OPTION	+2.10%

Worst
Birla Sun Life India Opportunities Fund – Growth – Regular Plan	-0.58%
Birla Sun Life Commodity Equities Fund – Global Agri Plan – Growth – Regular Plan	-0.59%
L&T Global Real Assets Fund-Growth Option	-0.67%
Taurus Ethical Fund – Growth Option	-0.79%
LIC NOMURA MF Taxplan-Growth	-0.80%
Axis Midcap Fund – Growth	-0.96%
Franklin India Feeder – Franklin European Growth Fund – Growth	-1.76%

Bond Mutual Funds

Best
Escorts Income Plan-Growth	+0.43%
L&T Resurgent India Corporate Bond Fund – Growth Option	+0.34%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.33%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.31%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth	+0.28%
Sundaram Flexible Fund -Flexible Income Plan Regular – Growth	+0.27%
DWS Medium Term Income Fund- Regular Plan- Growth	+0.24%

Worst
JM G-Sec Fund – Growth Option	-0.09%
BNP Paribas Government Securities Fund – Growth	-0.09%
DSP BlackRock Government Securities Fund – Regular Plan – Growth	-0.10%
Canara Robeco Gilt PGS – Regular Plan – Growth	-0.11%
UTI – GILT ADVANTAGE-LONG TERM-GROWTH	-0.12%
DSP BlackRock Constant Maturity 10Y G-Sec Fund – Regular Plan – Growth	-0.14%
IDBI Gilt Fund Growth	-0.18%

Thought for the weekend

The investing cycle of good ideas goes something like this:

Early adopters find an anomaly and exploit it for huge gains. More and more smart money begins to figure out this apparent loophole and competition means lower profits to go around. Next come the academics with their research papers that get published in the trade journals and such. Finally, Wall Street picks up on the trend and does their part to create more products than are needed to help everyone else finally jump in on the fad, usually just as the cycle is about to turn.

Source: When Evidence Fails

Categories Your Money Tags weekly

Index Update 17.10.2015

stockviz October 17, 2015October 17, 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 August 05, 2015 through October 16, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+2.75%	CNX PHARMA (CAP)	+5.01%
CNX REALTY (EQUAL)	+1.57%	CNX REALTY (CAP)	+0.57%
CNX IT (EQUAL)	-2.27%	NI15 (CAP)	-0.58%
CNX ENERGY (EQUAL)	-2.77%	CNX MEDIA (CAP)	-0.81%
NI15 (EQUAL)	-2.84%	NSE QUALITY 30 (CAP)	-1.25%
NSE QUALITY 30 (EQUAL)	-3.24%	CNX IT (CAP)	-1.61%
CNX MEDIA (EQUAL)	-3.27%	CNX FMCG (CAP)	-3.15%
CNX INFRA (EQUAL)	-3.74%	CNX CONSUMPTION (CAP)	-3.58%
CNX SERVICE (EQUAL)	-4.38%	CNX SERVICE (CAP)	-3.76%
CNX FINANCE (EQUAL)	-4.92%	CNX FINANCE (CAP)	-4.16%
LIX15 Midcap (EQUAL)	-5.00%	LIX15 Midcap (CAP)	-5.06%
CNX CONSUMPTION (EQUAL)	-5.13%	CNX ENERGY (CAP)	-5.38%
CNX COMMODITIES (EQUAL)	-5.94%	CNX BANK (CAP)	-5.47%
LIX 15 (EQUAL)	-6.50%	CNX AUTO (CAP)	-5.94%
NV20 (EQUAL)	-6.72%	NV20 (CAP)	-6.15%
CNX BANK (EQUAL)	-6.74%	CNX COMMODITIES (CAP)	-7.72%
CNX PSE (EQUAL)	-7.40%	LIX 15 (CAP)	-7.98%
CNX AUTO (EQUAL)	-7.49%	CNX MNC (CAP)	-8.60%
CPSE INDEX (EQUAL)	-8.32%	CNX INFRA (CAP)	-9.06%
CNX PSU BANK (EQUAL)	-8.45%	CNX PSE (CAP)	-9.41%
CNX MNC (EQUAL)	-8.57%	CNX PSU BANK (CAP)	-9.89%
CNX FMCG (EQUAL)	-8.98%	CPSE INDEX (CAP)	-10.29%
CNX METAL (EQUAL)	-10.22%	CNX METAL (CAP)	-13.97%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	LONG	9.15	2015-Jan-27
CNX BANK	SHORT	12.86	2015-Jan-27
CNX COMMODITIES	LONG	34.08	2008-Jan-04
CNX CONSUMPTION	SHORT	5.14	2015-Aug-05
CNX ENERGY	LONG	32.46	2008-Jan-14
CNX FMCG	SHORT	8.34	2015-Feb-25
CNX INFRA	LONG	51.93	2008-Jan-09
CNX IT	LONG	88.13	2000-Feb-21
CNX MEDIA	LONG	15.16	2008-Jan-04
CNX METAL	LONG	65.79	2008-Jan-04
CNX MNC	SHORT	9.23	2015-Aug-10
CNX NIFTY	SHORT	8.43	2015-Mar-03
CNX PHARMA	SHORT	4.54	2015-Apr-08
CNX PSE	LONG	32.11	2008-Jan-04
CNX PSU BANK	SHORT	39.36	2010-Nov-05
CNX REALTY	SHORT	90.28	2008-Jan-14
CNX SERVICE	SHORT	9.35	2015-Mar-03

A retracement is underway for most indices. CNX 100 broke about its 50-day SMA, activating the Tactical CNX 100 Theme. With most companies yet to announce their results, curb your enthusiasm.

Categories Your Money Tags index, momentum, weekly