Tag: weekly

Correlation Update 17.10.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month 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.

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Weekly Recap: Investing vs Flipping

world.2015-10-01.2015-10-09

Equities

Major
DAX(DEU) +6.18%
CAC(FRA) +6.21%
UKX(GBR) +5.66%
NKY(JPN) +4.36%
SPX(USA) +4.73%
MINTs
JCI(IDN) +8.65%
INMEX(MEX) +4.12%
NGSEINDX(NGA) -3.37%
XU030(TUR) +6.45%
BRICS
IBOV(BRA) +8.88%
SHCOMP(CHN) +4.27%
NIFTY(IND) +3.00%
INDEXCF(RUS) +6.24%
TOP40(ZAF) +5.65%

Commodities

Energy
Brent Crude Oil +9.37%
Natural Gas +4.09%
Heating Oil +3.53%
Ethanol -2.34%
RBOB Gasoline +3.14%
WTI Crude Oil +9.25%
Metals
Copper +4.76%
Silver 5000oz +8.97%
Palladium +5.16%
Platinum +8.59%
Gold 100oz +3.85%

Currencies

USDEUR:-1.48% USDJPY:+0.20%

MINTs
USDIDR(IDN) -8.85%
USDMXN(MEX) -2.69%
USDNGN(NGA) +0.43%
USDTRY(TUR) -3.89%
BRICS
USDBRL(BRA) -6.14%
USDCNY(CHN) -0.19%
USDINR(IND) -1.19%
USDRUB(RUS) -6.23%
USDZAR(ZAF) -4.16%
Agricultural
Cocoa -2.16%
Coffee (Robusta) +3.98%
Cotton +3.77%
Sugar #11 +7.09%
Lean Hogs +1.75%
Lumber +8.36%
Orange Juice +10.30%
Soybean Meal +1.05%
White Sugar +3.09%
Coffee (Arabica) +7.78%
Feeder Cattle +6.87%
Wheat -2.17%
Cattle +8.30%
Corn -1.86%
Soybeans +0.83%

Credit Indices

Index Change
Markit CDX EM +1.73%
Markit CDX NA HY +2.03%
Markit CDX NA IG -9.85%
Markit iTraxx Asia ex-Japan IG -18.19%
Markit iTraxx Australia -11.71%
Markit iTraxx Europe -7.10%
Markit iTraxx Europe Crossover -37.22%
Markit iTraxx Japan -8.18%
Markit iTraxx SovX Western Europe -2.20%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -6.68%
Not even the Fed knows when it is going to raise rates but that did not prevent the markets to party like its 1999.

Global ETFs (USD)

global.etf.performance.2015-10-01.2015-10-09

Nifty Heatmap

CNX NIFTY.2015-10-01.2015-10-09

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index.performance.2015-10-01.2015-10-09

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +4.84% 74/57
2 +7.45% 83/47
3 +4.50% 76/54
4 +6.77% 74/56
5 +5.63% 74/56
6 +5.99% 71/60
7 +4.23% 71/59
8 +3.29% 74/56
9 +1.77% 66/64
10 (mega) +1.89% 65/66
Green is the color of passion…

Top Winners and Losers

HINDALCO +18.41%
TATAMOTORS +19.71%
VEDL +24.22%
MARUTI -6.64%
IBULHSGFIN -6.62%
RECLTD -3.99%
Have metals finally found a bottom?

ETF Performance

CPSEETF +5.23%
PSUBNKBEES +4.51%
INFRABEES +2.98%
NIFTYBEES +2.86%
BANKBEES +2.65%
GOLDBEES +1.96%
JUNIORBEES +1.59%
Gold finally found some takers…

Yield Curve

yieldCurve.2015-10-01.2015-10-09

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.02 +0.22%
5 10 -0.04 +0.37%
10 15 -0.04 +0.47%
15 20 -0.03 +0.45%
20 30 -0.04 +0.59%
Bonds continued their rate-cut rally. Plus, FPIs can now buy more.

Investment Theme Performance

Momentum +5.64%
ADAG stocks +4.50%
High Beta +4.48%
Velocity +4.07%
Next Trillion +2.64%
ASK Life +2.56%
The RBI Restricted List +2.51%
PPFAS Long Term Value +2.35%
Magic Formula +1.95%
Quality to Price +1.94%
CNX 100 Enterprise Yield +1.81%
Financial Strength Value +1.79%
Low Volatility +1.57%
Balance Sheet Strength +0.67%
Tactical CNX 100 +0.00%
Momentum came back with a bang! Pretty much every investment strategy ended this week in the green…

Equity Mutual Funds

Best
Mirae Asset Global Commodity Stocks – Growth Option +11.07%
Religare Invesco Pan European Equity Fund – Regular Plan – Growth Option +6.07%
Franklin Asian Equity Fund – Growth Plan +5.60%
Franklin India Feeder – Franklin European Growth Fund – Growth +5.11%
Reliance Japan Equity Fund- Growth Plan- Growth Option +4.94%
Birla Sun Life Commodity Equities Fund – Global Agri Plan – Growth – Regular Plan +4.50%
HDFC INFRASTRUCTURE FUND-GROWTH OPTION +4.43%
Worst
Religare Invesco Arbitrage Fund – Growth Option +0.09%
ICICI Prudential Equity Arbitrage Fund – Regular Plan – Growth +0.09%
MOSt Focused Multicap 35-Regular Plan-Growth Option +0.08%
Edelweiss Debt and Corporate Opportunities Fund – Growth Option +0.07%
ICICI Prudential Blended Plan A – Regular Plan – Growth +0.07%
Religare Invesco Dynamic Equity Fund – Growth +0.05%
MOSt Focused Long Term – Regular Plan – Growth Option -0.02%

Bond Mutual Funds

Best
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH +0.54%
DWS Inflation Indexed Bond Fund – Regular Plan – Growth +0.53%
ICICI Prudential Constant Maturity Gilt Fund – Regular Plan – Growth +0.52%
IDBI Gilt Fund Growth +0.52%
DSP BlackRock Constant Maturity 10Y G-Sec Fund – Regular Plan – Growth +0.50%
Tata Gilt Mid Term Fund -Regular Plan- Growth +0.50%
UTI – GILT ADVANTAGE-LONG TERM-GROWTH +0.47%
Worst
IIFL Dynamic Bond Fund – Regular Plan – Growth Option +0.24%
MOSt 10 Year Gilt Fund – Growth +0.23%
Reliance Corporate Bond Fund – Growth Option +0.23%
Edelweiss Gilt Fund – Growth Option +0.23%
Tata Income Plus Fund Regular Plan – Growth +0.22%
Pramerica Income Fund – Regular Plan – Growth Option +0.16%
Escorts Income Plan-Growth +0.16%

Thought for the weekend

  1. High stock prices, just like high house prices, are harbingers of low returns.
  2. Investing in price-depressed residential rental property in Atlanta is like investing in EM equities today—the future expected long-term yield is much superior to their respective high-priced alternatives.
  3. Many parallels exist between the political/economic environment and the relative valuation of U.S. and EM equities in the periods from 1994 to 2002 and 2008 to 2015.
  4. Our forecast of the 10-year real return for U.S. equities is 1% compared to that of EM equities at 8%, now valued at less than half the U.S. CAPE.

Source: Investing versus Flipping

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Index Update 10.10.2015

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:

index momentum best 365 2015-10-09 png

index momentum best 50 2015-10-09 png

index momentum worst 365 2015-10-09 png

index momentum worst 50 2015-10-09 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-09 png

Refactored Index Performance

50-day performance, from July 29, 2015 through October 09, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +8.52% CNX REALTY (CAP) +11.07%
CNX PHARMA (EQUAL) +8.28% CNX PHARMA (CAP) +10.83%
CNX PSU BANK (EQUAL) +5.73% NI15 (CAP) +5.10%
CNX IT (EQUAL) +3.39% CNX IT (CAP) +4.48%
NI15 (EQUAL) +1.61% CNX FMCG (CAP) +2.82%
LIX15 Midcap (EQUAL) +0.56% NSE QUALITY 30 (CAP) +2.81%
NSE QUALITY 30 (EQUAL) -0.32% CNX PSU BANK (CAP) +0.88%
CNX SERVICE (EQUAL) -1.50% CNX CONSUMPTION (CAP) +0.22%
CNX CONSUMPTION (EQUAL) -1.58% CNX MEDIA (CAP) -0.50%
CNX MEDIA (EQUAL) -1.61% CNX SERVICE (CAP) -1.64%
CNX BANK (EQUAL) -1.79% LIX15 Midcap (CAP) -1.85%
CNX INFRA (EQUAL) -2.26% NV20 (CAP) -2.81%
CNX AUTO (EQUAL) -2.85% CNX FINANCE (CAP) -3.56%
CNX FINANCE (EQUAL) -3.09% CNX AUTO (CAP) -3.74%
NV20 (EQUAL) -4.37% CNX BANK (CAP) -4.05%
CNX FMCG (EQUAL) -4.42% CNX MNC (CAP) -6.36%
CNX ENERGY (EQUAL) -4.73% CNX ENERGY (CAP) -7.80%
LIX 15 (EQUAL) -5.13% LIX 15 (CAP) -7.87%
CNX COMMODITIES (EQUAL) -5.83% CNX COMMODITIES (CAP) -8.63%
CNX MNC (EQUAL) -6.43% CPSE INDEX (CAP) -9.24%
CPSE INDEX (EQUAL) -7.50% CNX INFRA (CAP) -10.30%
CNX PSE (EQUAL) -8.80% CNX PSE (CAP) -10.51%
CNX METAL (EQUAL) -9.31% CNX METAL (CAP) -13.10%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.52
2015-Jan-27
CNX BANK LONG
14.42
2015-Jan-27
CNX COMMODITIES LONG
35.32
2008-Jan-04
CNX CONSUMPTION LONG
5.71
2015-Aug-05
CNX ENERGY LONG
33.93
2008-Jan-14
CNX FMCG LONG
7.96
2015-Feb-25
CNX INFRA LONG
53.04
2008-Jan-09
CNX IT SHORT
87.64
2000-Feb-21
CNX MEDIA LONG
18.06
2008-Jan-04
CNX METAL LONG
66.60
2008-Jan-04
CNX MNC SHORT
9.28
2015-Aug-10
CNX NIFTY LONG
8.97
2015-Mar-03
CNX PHARMA LONG
4.00
2015-Apr-08
CNX PSE LONG
33.36
2008-Jan-04
CNX PSU BANK SHORT
40.81
2010-Nov-05
CNX REALTY LONG
90.30
2008-Jan-14
CNX SERVICE LONG
9.02
2015-Mar-03
And just like that, momentum is back!
Categories Tags , ,

Correlation Update 10.10.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month 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 Tags ,

Index Update 02.10.2015

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:

index momentum best 365 2015-10-01 png

index momentum best 50 2015-10-01 png

index momentum worst 365 2015-10-01 png

index momentum worst 50 2015-10-01 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-01 png

Refactored Index Performance

50-day performance, from July 22, 2015 through October 01, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +4.04% CNX PHARMA (CAP) +6.19%
CNX IT (EQUAL) +0.78% CNX IT (CAP) +3.50%
CNX REALTY (EQUAL) -1.31% NI15 (CAP) +1.24%
NI15 (EQUAL) -2.34% CNX REALTY (CAP) +1.09%
CNX MEDIA (EQUAL) -2.43% NSE QUALITY 30 (CAP) -0.77%
NSE QUALITY 30 (EQUAL) -3.28% CNX MEDIA (CAP) -0.93%
CNX CONSUMPTION (EQUAL) -5.08% CNX FMCG (CAP) -1.51%
CNX PSU BANK (EQUAL) -5.15% CNX CONSUMPTION (CAP) -4.11%
CNX FMCG (EQUAL) -5.48% CNX SERVICE (CAP) -6.62%
CNX AUTO (EQUAL) -6.26% LIX15 Midcap (CAP) -6.81%
CNX SERVICE (EQUAL) -6.80% CNX MNC (CAP) -6.83%
LIX15 Midcap (EQUAL) -7.10% CNX PSU BANK (CAP) -7.53%
CNX FINANCE (EQUAL) -7.13% NV20 (CAP) -9.08%
CNX MNC (EQUAL) -7.43% CNX AUTO (CAP) -9.45%
CNX BANK (EQUAL) -7.52% CNX BANK (CAP) -9.87%
NV20 (EQUAL) -10.98% CNX FINANCE (CAP) -10.38%
CNX INFRA (EQUAL) -11.65% CNX ENERGY (CAP) -15.28%
CNX ENERGY (EQUAL) -12.01% LIX 15 (CAP) -15.71%
CNX COMMODITIES (EQUAL) -12.73% CNX COMMODITIES (CAP) -15.89%
CPSE INDEX (EQUAL) -13.24% CNX PSE (CAP) -16.23%
LIX 15 (EQUAL) -13.40% CNX INFRA (CAP) -16.52%
CNX PSE (EQUAL) -13.88% CPSE INDEX (CAP) -17.40%
CNX METAL (EQUAL) -19.31% CNX METAL (CAP) -23.68%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.03
2015-Jan-27
CNX BANK SHORT
16.57
2015-Jan-27
CNX COMMODITIES LONG
38.24
2008-Jan-04
CNX CONSUMPTION SHORT
7.34
2015-Aug-05
CNX ENERGY LONG
36.33
2008-Jan-14
CNX FMCG LONG
10.30
2015-Feb-25
CNX INFRA LONG
54.62
2008-Jan-09
CNX IT SHORT
87.57
2000-Feb-21
CNX MEDIA SHORT
18.02
2008-Jan-04
CNX METAL LONG
69.95
2008-Jan-04
CNX MNC SHORT
9.50
2015-Aug-10
CNX NIFTY SHORT
11.62
2015-Mar-03
CNX PHARMA SHORT
4.99
2015-Apr-08
CNX PSE LONG
35.62
2008-Jan-04
CNX PSU BANK SHORT
42.81
2010-Nov-05
CNX REALTY SHORT
90.62
2008-Jan-14
CNX SERVICE SHORT
10.92
2015-Mar-03
Dispersion is around its all-time lows – momentum algos will be struggling to find a toe-hold. Besides, the only thing that has worked in the last few months is long-only pharma and IT – both long USD trades.
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