Tag: weekly

Index Update 05.09.2015

stockviz September 5, 2015September 5, 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 June 29, 2015 through September 04, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+5.40%	CNX PHARMA (CAP)	+5.00%
CNX MEDIA (EQUAL)	+3.51%	CNX IT (CAP)	+3.52%
NSE QUALITY 30 (EQUAL)	-0.27%	CNX MEDIA (CAP)	+2.80%
NI15 (EQUAL)	-0.88%	NI15 (CAP)	+0.98%
CNX FMCG (EQUAL)	-1.47%	NSE QUALITY 30 (CAP)	-0.24%
CNX AUTO (EQUAL)	-2.55%	CNX FMCG (CAP)	-0.45%
CNX IT (EQUAL)	-2.62%	CNX CONSUMPTION (CAP)	-3.80%
CNX MNC (EQUAL)	-3.44%	LIX15 Midcap (CAP)	-4.45%
CNX CONSUMPTION (EQUAL)	-3.54%	CNX MNC (CAP)	-4.76%
LIX15 Midcap (EQUAL)	-7.02%	CNX SERVICE (CAP)	-7.43%
CNX SERVICE (EQUAL)	-8.64%	CNX PSU BANK (CAP)	-8.93%
CNX FINANCE (EQUAL)	-8.72%	CNX AUTO (CAP)	-9.22%
CNX PSU BANK (EQUAL)	-9.44%	NV20 (CAP)	-10.05%
CNX REALTY (EQUAL)	-10.24%	CNX FINANCE (CAP)	-11.44%
CNX BANK (EQUAL)	-11.14%	CNX BANK (CAP)	-11.69%
NV20 (EQUAL)	-11.51%	CNX REALTY (CAP)	-12.29%
CNX COMMODITIES (EQUAL)	-11.78%	CNX INFRA (CAP)	-13.74%
LIX 15 (EQUAL)	-11.88%	CNX COMMODITIES (CAP)	-14.25%
CNX PSE (EQUAL)	-14.08%	LIX 15 (CAP)	-14.51%
CNX INFRA (EQUAL)	-14.51%	CNX PSE (CAP)	-15.65%
CPSE INDEX (EQUAL)	-14.60%	CNX ENERGY (CAP)	-16.94%
CNX ENERGY (EQUAL)	-15.66%	CPSE INDEX (CAP)	-18.66%
CNX METAL (EQUAL)	-18.38%	CNX METAL (CAP)	-22.27%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	16.93	2015-Jan-27
CNX BANK	LONG	21.53	2015-Jan-27
CNX COMMODITIES	SHORT	38.49	2008-Jan-04
CNX CONSUMPTION	SHORT	11.06	2015-Aug-05
CNX ENERGY	SHORT	38.72	2008-Jan-14
CNX FMCG	SHORT	11.77	2015-Feb-25
CNX INFRA	SHORT	55.03	2008-Jan-09
CNX IT	SHORT	88.05	2000-Feb-21
CNX MEDIA	LONG	23.79	2008-Jan-04
CNX METAL	SHORT	68.17	2008-Jan-04
CNX MNC	SHORT	11.03	2015-Aug-10
CNX NIFTY	SHORT	14.91	2015-Mar-03
CNX PHARMA	SHORT	9.47	2015-Apr-08
CNX PSE	SHORT	36.96	2008-Jan-04
CNX PSU BANK	LONG	45.62	2010-Nov-05
CNX REALTY	SHORT	91.56	2008-Jan-14
CNX SERVICE	SHORT	15.70	2015-Mar-03

A brutal selloff across the board…

Categories Your Money Tags index, momentum, weekly

Correlation Update 05.09.2015

stockviz September 5, 2015September 5, 2015

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: Risk

shyam August 29, 2015August 29, 2015

Equities

Major
DAX(DEU)	+1.72%
CAC(FRA)	+0.95%
UKX(GBR)	+0.97%
NKY(JPN)	-1.54%
SPX(USA)	-0.65%

MINTs
JCI(IDN)	+2.54%
INMEX(MEX)	+2.38%
NGSEINDX(NGA)	-3.50%
XU030(TUR)	+1.33%

BRICS
IBOV(BRA)	+2.53%
SHCOMP(CHN)	-7.85%
NIFTY(IND)	-3.59%
INDEXCF(RUS)	+3.36%
TOP40(ZAF)	+2.26%

Commodities

Energy
Ethanol	-0.48%
Heating Oil	+7.11%
WTI Crude Oil	+12.06%
RBOB Gasoline	-0.87%
Brent Crude Oil	+9.95%
Natural Gas	+1.64%

Metals
Gold 100oz	-2.32%
Palladium	-2.78%
Copper	+1.30%
Platinum	-0.73%
Silver 5000oz	-5.81%

Currencies

USDEUR:+1.52% USDJPY:-0.45%

MINTs
USDIDR(IDN)	+0.30%
USDMXN(MEX)	-0.84%
USDNGN(NGA)	-0.04%
USDTRY(TUR)	+0.23%

BRICS
USDBRL(BRA)	+2.66%
USDCNY(CHN)	+0.01%
USDINR(IND)	+0.50%
USDRUB(RUS)	-5.39%
USDZAR(ZAF)	+2.72%

Agricultural
Cattle	+0.50%
Cocoa	+1.91%
Coffee (Arabica)	-1.19%
Lean Hogs	+6.16%
Lumber	-3.34%
Soybean Meal	-1.99%
Sugar #11	+4.89%
Wheat	-4.26%
Feeder Cattle	-4.41%
Orange Juice	+1.41%
White Sugar	+1.80%
Coffee (Robusta)	-4.16%
Corn	-0.75%
Cotton	-4.89%
Soybeans	-1.21%

Credit Indices

Index	Change
Markit CDX EM	-0.08%
Markit CDX NA HY	+0.18%
Markit CDX NA IG	+2.08%
Markit iTraxx Asia ex-Japan IG	+14.30%
Markit iTraxx Australia	+6.45%
Markit iTraxx Europe	+3.44%
Markit iTraxx Europe Crossover	+9.89%
Markit iTraxx Japan	+4.46%
Markit iTraxx SovX Western Europe	+0.76%
Markit LCDX (Loan CDS)	-0.11%
Markit MCDX (Municipal CDS)	+1.27%

A total mess of week that saw a sudden collapse, money being sucked out of risk-assets of all types and a retrace in most markets. This one goes to buy-and-hold dollar-cost averagers…

Nifty Heatmap

Index Returns

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

Sector Performance

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	-10.11%	69/65
2	-8.75%	45/89
3	-8.68%	48/86
4	-9.56%	41/92
5	-8.71%	42/92
6	-7.32%	44/90
7	-7.77%	57/76
8	-5.78%	53/81
9	-5.45%	52/82
10 (mega)	-5.32%	59/75

Massacre across the board…

Top Winners and Losers

CAIRN	+2.75%
APOLLOHOSP	+3.10%
NMDC	+7.47%
BANKINDIA	-14.98%
CANBK	-14.40%
UNIONBANK	-12.46%

PSU banks took it on the chin…

ETF Performance

GOLDBEES	-1.27%
CPSEETF	-2.37%
JUNIORBEES	-3.37%
NIFTYBEES	-3.69%
INFRABEES	-4.48%
BANKBEES	-4.49%
PSUBNKBEES	-7.42%

Not a single ETF ended the week in the green…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	-0.01	+0.16%
5 10	+0.01	+0.09%
10 15	-0.02	+0.27%
15 20	+0.02	-0.01%
20 30	-0.01	+0.27%

Stocks down, bonds up?

Investment Theme Performance

Next Trillion	-3.31%
Low Volatility	-3.52%
Tactical CNX 100	-3.52%
PPFAS Long Term Value	-3.81%
ASK Life	-3.99%
Financial Strength Value	-4.51%
CNX 100 Enterprise Yield	-4.55%
Momentum	-4.72%
Magic Formula	-5.06%
Balance Sheet Strength	-5.27%
The RBI Restricted List	-5.39%
ADAG stocks	-5.72%
High Beta	-6.81%
Quality to Price	-7.41%

An ocean of red…

Equity Mutual Funds

Best
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth	+3.14%
Franklin India Feeder – Franklin European Growth Fund – Growth	+1.50%
HSBC Emerging Markets Fund – Growth	+1.40%
Franklin Asian Equity Fund – Growth Plan	+1.09%
HSBC Brazil Fund-Growth	+1.04%
Principal Global Opportunities Fund-Growth Option	+0.72%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	+0.55%

Worst
Birla Sun Life Special Situations Fund – Growth	-5.31%
MOSt Focused Long Term – Regular Plan – Growth Option	-5.32%
Edelweiss Emerging Leaders Fund – Growth	-5.34%
Reliance Small Cap Fund – Growth Plan – Growth Option	-5.45%
Canara Robeco Emerging Equities – Regular Plan – GROWTH	-5.61%
Sundaram S.M.I.L.E.Fund-iNST Growth	-5.73%
Sundaram S.M.I.L.E.Fund-Growth	-5.74%

Bond Mutual Funds

Best
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	+1.86%
DWS Inflation Indexed Bond Fund – Regular Plan – Growth	+1.76%
HDFC Inflation Indexed Bond Fund – Regular Growth	+1.43%
ICICI Prudential Dynamic Bond Fund – Premium Plus Growth	+0.34%
ICICI Prudential Dynamic Bond Fund – Regular Plan – Growth	+0.32%
ICICI Prudential Long Term Gilt Fund – Regular Plan – Growth	+0.29%
SBI Magnum Income Fund-REGULAR PLAN-Growth	+0.28%

Worst
Pramerica Dynamic Bond Fund – Growth Option	+0.04%
Canara Robeco Income – Regular Plan – Growth	+0.04%
Edelweiss Gilt Fund – Growth Option	+0.04%
DWS Premier Bond Fund – Growth	+0.03%
Indiabulls Income Fund – Regular Plan – Growth Option	+0.01%
JPMorgan India Active Bond Fund – Retail Plan – Growth Option	-0.04%
ICICI Prudential Constant Maturity Gilt Fund – Regular Plan – Growth	-0.06%

Thought for the weekend

Nothing in the world can give a damn less than risk. Risk doesn’t care about your political views or your morals. It doesn’t care what your view of the market is, or what you were taught in school. It’s an indiscriminate assassin and a master at humbling ideologies.

Source: Risk: Your Best Friend and Worst Enemy

Categories Your Money Tags weekly

Index Update 29.08.2015

stockviz August 29, 2015August 29, 2015