Tag: weekly

Correlation Update 02.10.2015

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.

Index Update 25.09.2015

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 2015-09-24 png

index momentum best 50 2015-09-24 png

index momentum worst 365 2015-09-24 png

index momentum worst 50 2015-09-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-24 png

Refactored Index Performance

50-day performance, from July 16, 2015 through September 24, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.15
2015-Jan-27
CNX BANK LONG
16.34
2015-Jan-27
CNX COMMODITIES SHORT
38.78
2008-Jan-04
CNX CONSUMPTION SHORT
9.43
2015-Aug-05
CNX ENERGY SHORT
37.64
2008-Jan-14
CNX FMCG LONG
12.60
2015-Feb-25
CNX INFRA SHORT
55.65
2008-Jan-09
CNX IT LONG
87.48
2000-Feb-21
CNX MEDIA SHORT
18.71
2008-Jan-04
CNX METAL SHORT
69.33
2008-Jan-04
CNX MNC SHORT
10.28
2015-Aug-10
CNX NIFTY SHORT
12.54
2015-Mar-03
CNX PHARMA LONG
7.26
2015-Apr-08
CNX PSE SHORT
36.45
2008-Jan-04
CNX PSU BANK LONG
41.91
2010-Nov-05
CNX REALTY LONG
90.96
2008-Jan-14
CNX SERVICE LONG
11.70
2015-Mar-03
Relative strength spread continues to be in negative momentum territory. Contrarians can use this moment to load up on momentum strategies and ride the bounce…

Correlation Update 25.09.2015

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.

Weekly Recap: The End

world.2015-09-11.2015-09-18

Equities

Major
DAX(DEU) -2.05%
CAC(FRA) -0.28%
UKX(GBR) -0.22%
NKY(JPN) -1.06%
SPX(USA) +0.45%
MINTs
JCI(IDN) +0.46%
INMEX(MEX) +1.72%
NGSEINDX(NGA) +2.17%
XU030(TUR) +5.25%
BRICS
IBOV(BRA) +2.11%
SHCOMP(CHN) -3.20%
NIFTY(IND) +2.47%
INDEXCF(RUS) -0.42%
TOP40(ZAF) +4.98%

Commodities

Energy
RBOB Gasoline -1.41%
WTI Crude Oil -0.38%
Natural Gas -3.41%
Brent Crude Oil -2.43%
Heating Oil -4.14%
Ethanol +3.91%
Metals
Gold 100oz +3.22%
Copper -2.85%
Palladium +2.54%
Platinum +1.58%
Silver 5000oz +5.52%

Currencies

USDEUR:+0.35% USDJPY:-0.48%

MINTs
USDIDR(IDN) +0.37%
USDMXN(MEX) -0.95%
USDNGN(NGA) -0.01%
USDTRY(TUR) -1.30%
BRICS
USDBRL(BRA) +1.76%
USDCNY(CHN) -0.17%
USDINR(IND) -1.30%
USDRUB(RUS) -1.73%
USDZAR(ZAF) -1.82%
Agricultural
Cattle -3.34%
Feeder Cattle -3.78%
Sugar #11 -5.90%
White Sugar -1.24%
Cocoa +1.15%
Soybeans -2.28%
Wheat +2.85%
Coffee (Robusta) +1.36%
Lean Hogs +5.91%
Lumber -5.86%
Orange Juice -1.46%
Soybean Meal -1.46%
Coffee (Arabica) +4.42%
Corn +0.73%
Cotton -7.91%

Credit Indices

Index Change
Markit CDX EM +0.87%
Markit CDX NA HY +0.25%
Markit CDX NA IG -2.42%
Markit iTraxx Asia ex-Japan IG -6.65%
Markit iTraxx Australia -1.53%
Markit iTraxx Europe -0.30%
Markit iTraxx Europe Crossover -2.09%
Markit iTraxx Japan -1.94%
Markit iTraxx SovX Western Europe -0.41%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.22%
Did the Fed just yell “FIRE” in a crowded room? Their decision to hold rates at zero on Thursday seemed to have shifted the market’s worry on the slowing world economy…

International ETFs (in USD)

5yr
2yr
1yr
1wk
EWM
iShares MSCI Malaysia
-11.55%
-30.48%
-30.9%
+5.64%
GREK
Global X FTSE Greece 20
-45.28%
-45.54%
+4.76%
NGE
Global X MSCI Nigeria
-37.25%
-40.9%
+4.22%
EZA
iShares MSCI South Africa
-0.41%
-14.19%
-16.79%
+3.5%
TUR
iShares MSCI Turkey
-41.1%
-37.41%
-30.19%
+3.15%
EWY
iShares MSCI South Korea Capped
+0.4%
-20.12%
-20.37%
+3.11%
GXG
Global X MSCI Colombia
-52.87%
-53.55%
-52.94%
+2.99%
ICOL
iShares MSCI Colombia Capped
-53.45%
-53.5%
+2.58%
EPHE
iShares MSCI Philippines
-2.17%
-8.73%
+2.57%
INDA
iShares MSCI India
+18.41%
-10.88%
+2.35%
EGPT
Market Vectors Egypt
-37.94%
-9.32%
-43.79%
+2.2%
ENZL
iShares MSCI New Zealand Capped
+47.44%
-9.44%
-14.61%
+2.1%
ECH
iShares MSCI Chile Capped
-49.65%
-33.38%
-18.67%
+1.63%
EIRL
iShares MSCI Ireland Capped
+128.56%
+26.76%
+16.69%
+1.56%
RSX
Market Vectors Russia
-43.09%
-42.19%
-29.21%
+1.39%
EWA
iShares MSCI Australia
-1.38%
-23.64%
-24.2%
+1.36%
ERUS
iShares MSCI Russia Capped
-42.52%
-27.7%
+1.14%
EWT
iShares MSCI Taiwan
+16.88%
-0.86%
-12.23%
+1.1%
PGAL
Global X FTSE Portugal 20
-27.98%
+0.99%
FXI
iShares China Large-Cap
-4.75%
-4.27%
-8.7%
+0.72%
EWC
iShares MSCI Canada
-5.21%
-14.43%
-25.55%
+0.72%
EWH
iShares MSCI Hong Kong
+27.47%
+1.13%
-6.89%
+0.41%
EWG
iShares MSCI Germany
+32.24%
-6.97%
-12.02%
-2.72%
EWI
iShares MSCI Italy Capped
+0.48%
+3.26%
-9.28%
-2.28%
FEZ
SPDR Euro STOXX 50
+13.31%
-7.27%
-14.7%
-2.16%
EWD
iShares MSCI Sweden
+23.83%
-11.94%
-11.29%
-1.89%
EWJ
iShares MSCI Japan
+24.7%
-2.62%
-1.79%
-1.88%
EWZ
iShares MSCI Brazil Capped
-63.52%
-52.16%
-52.42%
-1.81%
QAT
iShares MSCI Qatar Capped
-20.51%
-1.57%
EWQ
iShares MSCI France
+18.69%
-6.81%
-9.71%
-1.56%
EIDO
iShares MSCI Indonesia
-31.34%
-32.2%
-34.27%
-1.39%
EWO
iShares MSCI Austria Capped
-9.4%
-17.77%
-10.68%
-1.23%
EPOL
iShares MSCI Poland Capped
-16.52%
-22.39%
-23.13%
-1.09%
EWU
iShares MSCI United Kingdom
+22.5%
-9%
-14.92%
-0.71%
THD
iShares MSCI Thailand Capped
+25.81%
-18.42%
-22.42%
-0.63%
NORW
Global X MSCI Norway
-29.21%
-32.51%
-0.56%
UAE
iShares MSCI UAE Capped
-28.03%
-0.53%
EDEN
iShares MSCI Denmark Capped
+36.37%
+7.13%
-0.48%
SPY
SPDR S&P 500
+87.49%
+16.81%
-1.77%
-0.25%
ISRA
Market Vectors Israel
+15.03%
-0.1%
-0.19%
EWL
iShares MSCI Switzerland Capped
+52.24%
+2.83%
-5.36%
-0.13%
EPU
iShares MSCI All Peru Capped
-37.31%
-31.38%
-36.47%
-0.04%

Nifty Heatmap

CNX NIFTY.2015-09-11.2015-09-18

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index.performance.2015-09-11.2015-09-18

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 +1.75% 63/66
2 +1.78% 70/59
3 +2.87% 67/62
4 +2.11% 75/54
5 +2.82% 75/54
6 +2.10% 62/67
7 +0.92% 65/65
8 +1.20% 64/64
9 +0.90% 64/65
10 +1.03% 59/71
A broad based rally on the back of ZIRP…

Top Winners and Losers

TATAPOWER +7.98%
YESBANK +8.54%
CROMPGREAV +9.17%
BHARATFORG -10.20%
CONCOR -5.10%
UPL -5.02%
Bharat Forge got dinged pretty bad…

ETF Performance

PSUBNKBEES +4.89%
BANKBEES +4.76%
JUNIORBEES +2.18%
NIFTYBEES +1.98%
CPSEETF +1.75%
GOLDBEES +1.26%
INFRABEES -0.14%
Banks caught a rally on the back of rumors of FDI being hiked to 100%…

Yield Curve

yieldCurve.2015-09-11.2015-09-18

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.05 +0.29%
5 10 -0.05 +0.43%
10 15 -0.06 +0.62%
15 20 -0.06 +0.72%
20 30 -0.06 +0.79%
The bond market has factored in a rate-cut later this month…

Investment Theme Performance

Momentum caught a break as midcaps rallied…

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

The golden age of the Western corporation was the product of two benign developments: the globalisation of markets and, as a result, the reduction of costs. Now a more difficult era is beginning. More than twice as many multinationals are operating today as in 1990, making for more competition. Margins are being squeezed and the volatility of profits is growing. Many companies in labour- and capital-intensive industries have been slaughtered by foreign competitors. What next?

Source: Death and transfiguration

Index Update 19.09.2015

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 2015-09-18 png

index momentum best 50 2015-09-18 png

index momentum worst 365 2015-09-18 png

index momentum worst 50 2015-09-18 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-18 png

Refactored Index Performance

50-day performance, from July 10, 2015 through September 18, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.81
2015-Jan-27
CNX BANK LONG
15.31
2015-Jan-27
CNX COMMODITIES SHORT
36.65
2008-Jan-04
CNX CONSUMPTION LONG
8.85
2015-Aug-05
CNX ENERGY LONG
35.02
2008-Jan-14
CNX FMCG SHORT
12.55
2015-Feb-25
CNX INFRA LONG
53.46
2008-Jan-09
CNX IT LONG
87.72
2000-Feb-21
CNX MEDIA LONG
19.39
2008-Jan-04
CNX METAL SHORT
67.43
2008-Jan-04
CNX MNC LONG
9.58
2015-Aug-10
CNX NIFTY LONG
11.28
2015-Mar-03
CNX PHARMA SHORT
7.81
2015-Apr-08
CNX PSE SHORT
34.70
2008-Jan-04
CNX PSU BANK LONG
41.45
2010-Nov-05
CNX REALTY LONG
90.89
2008-Jan-14
CNX SERVICE LONG
10.94
2015-Mar-03
Momentum continued to be a train-wreck this week. All indices saw major drawdowns…