Tag: weekly

Index Update 22.08.2015

stockviz August 22, 2015August 22, 2015 0

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 15, 2015 through August 21, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+19.20%	CNX PHARMA (CAP)	+17.63%
CNX AUTO (EQUAL)	+12.64%	LIX15 Midcap (CAP)	+12.38%
CNX MEDIA (EQUAL)	+12.20%	CNX PSU BANK (CAP)	+11.78%
CNX PSU BANK (EQUAL)	+10.34%	NI15 (CAP)	+11.38%
NI15 (EQUAL)	+10.11%	CNX MEDIA (CAP)	+11.18%
LIX15 Midcap (EQUAL)	+10.00%	CNX IT (CAP)	+10.24%
NSE QUALITY 30 (EQUAL)	+9.33%	CNX FMCG (CAP)	+9.30%
CNX FMCG (EQUAL)	+7.79%	NSE QUALITY 30 (CAP)	+8.72%
CNX MNC (EQUAL)	+7.16%	CNX CONSUMPTION (CAP)	+7.77%
CNX BANK (EQUAL)	+6.75%	CNX MNC (CAP)	+7.40%
CNX CONSUMPTION (EQUAL)	+6.16%	CNX AUTO (CAP)	+4.78%
CNX IT (EQUAL)	+5.36%	CNX SERVICE (CAP)	+3.84%
CNX FINANCE (EQUAL)	+4.83%	CNX BANK (CAP)	+3.37%
CNX SERVICE (EQUAL)	+2.75%	NV20 (CAP)	+3.26%
NV20 (EQUAL)	+1.26%	CNX FINANCE (CAP)	+2.63%
CNX INFRA (EQUAL)	-1.93%	CNX INFRA (CAP)	-1.35%
CNX REALTY (EQUAL)	-2.06%	CNX COMMODITIES (CAP)	-4.46%
LIX 15 (EQUAL)	-2.55%	LIX 15 (CAP)	-4.52%
CNX COMMODITIES (EQUAL)	-3.28%	CNX REALTY (CAP)	-4.78%
CNX PSE (EQUAL)	-5.70%	CNX ENERGY (CAP)	-5.07%
CPSE INDEX (EQUAL)	-6.13%	CNX PSE (CAP)	-7.40%
CNX ENERGY (EQUAL)	-6.70%	CPSE INDEX (CAP)	-11.20%
CNX METAL (EQUAL)	-11.62%	CNX METAL (CAP)	-18.58%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	7.89	2015-Jan-27
CNX BANK	LONG	12.15	2015-Jan-27
CNX COMMODITIES	LONG	34.50	2008-Jan-04
CNX CONSUMPTION	SHORT	3.78	2015-Aug-05
CNX ENERGY	LONG	33.41	2008-Jan-14
CNX FMCG	SHORT	7.13	2015-Feb-25
CNX INFRA	LONG	50.11	2008-Jan-09
CNX IT	LONG	87.40	2000-Feb-21
CNX MEDIA	LONG	20.08	2008-Jan-04
CNX METAL	LONG	66.83	2008-Jan-04
CNX MNC	SHORT	3.39	2015-Aug-10
CNX NIFTY	SHORT	7.74	2015-Mar-03
CNX PHARMA	LONG	2.61	2015-Apr-08
CNX PSE	LONG	31.90	2008-Jan-04
CNX PSU BANK	SHORT	35.02	2010-Nov-05
CNX REALTY	SHORT	91.14	2008-Jan-14
CNX SERVICE	SHORT	8.30	2015-Mar-03

The few areas of strength were in CONSUMPTION, MNC and PHARMA. Momentum strategies would have gotten shellacked given the brutal mean reversion in relative strength spread.

Categories Your Money Tags index, momentum, weekly

Correlation Update 22.08.2015

stockviz August 22, 2015August 22, 2015 0

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

Index Update 15.08.2015

stockviz August 15, 2015August 15, 2015 0

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 June 08, 2015 through August 14, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+15.18%	CNX MEDIA (CAP)	+20.42%
CNX MEDIA (EQUAL)	+14.87%	CNX PHARMA (CAP)	+13.39%
CNX AUTO (EQUAL)	+13.00%	LIX15 Midcap (CAP)	+11.97%
NI15 (EQUAL)	+10.16%	NI15 (CAP)	+9.76%
CNX MNC (EQUAL)	+9.54%	CNX MNC (CAP)	+9.29%
LIX15 Midcap (EQUAL)	+8.69%	CNX IT (CAP)	+8.89%
CNX CONSUMPTION (EQUAL)	+8.43%	CNX CONSUMPTION (CAP)	+8.38%
NSE QUALITY 30 (EQUAL)	+8.30%	CNX PSU BANK (CAP)	+8.28%
CNX FMCG (EQUAL)	+8.24%	CNX FINANCE (CAP)	+7.93%
CNX FINANCE (EQUAL)	+8.16%	CNX AUTO (CAP)	+7.92%
CNX PSU BANK (EQUAL)	+7.84%	CNX BANK (CAP)	+7.34%
CNX BANK (EQUAL)	+7.22%	NSE QUALITY 30 (CAP)	+7.17%
CNX IT (EQUAL)	+5.44%	CNX SERVICE (CAP)	+7.10%
CNX SERVICE (EQUAL)	+5.18%	CNX FMCG (CAP)	+6.53%
NV20 (EQUAL)	+3.01%	NV20 (CAP)	+6.33%
CNX INFRA (EQUAL)	+1.68%	CNX INFRA (CAP)	+2.22%
CNX REALTY (EQUAL)	+0.47%	CNX REALTY (CAP)	+1.02%
CPSE INDEX (EQUAL)	-1.45%	CNX ENERGY (CAP)	+0.18%
LIX 15 (EQUAL)	-1.55%	CNX COMMODITIES (CAP)	-1.13%
CNX COMMODITIES (EQUAL)	-2.38%	LIX 15 (CAP)	-1.98%
CNX PSE (EQUAL)	-2.47%	CNX PSE (CAP)	-4.03%
CNX ENERGY (EQUAL)	-3.60%	CPSE INDEX (CAP)	-6.51%
CNX METAL (EQUAL)	-13.25%	CNX METAL (CAP)	-15.93%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	5.03	2015-Jan-27
CNX BANK	SHORT	8.91	2015-Jan-27
CNX COMMODITIES	LONG	32.16	2008-Jan-04
CNX CONSUMPTION	SHORT	2.11	2015-Aug-05
CNX ENERGY	LONG	29.99	2008-Jan-14
CNX FMCG	SHORT	8.75	2015-Feb-25
CNX INFRA	SHORT	48.15	2008-Jan-09
CNX IT	LONG	87.38	2000-Feb-21
CNX MEDIA	SHORT	15.03	2008-Jan-04
CNX METAL	LONG	65.04	2008-Jan-04
CNX MNC	SHORT	1.99	2015-Aug-10
CNX NIFTY	SHORT	5.31	2015-Mar-03
CNX PHARMA	LONG	5.02	2015-Apr-08
CNX PSE	LONG	28.83	2008-Jan-04
CNX PSU BANK	SHORT	35.20	2010-Nov-05
CNX REALTY	SHORT	90.24	2008-Jan-14
CNX SERVICE	SHORT	5.42	2015-Mar-03

Has the relative strength spread started to mean-revert? Watch out for momentum strategy drawdowns…

Categories Your Money Tags index, momentum, weekly

Correlation Update 15.08.2015

stockviz August 15, 2015August 15, 2015 0

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: Benchmark Idolatry

shyam August 8, 2015 0

Equities

Major
DAX(DEU)	+1.61%
CAC(FRA)	+1.42%
UKX(GBR)	+0.33%
NKY(JPN)	+0.68%
SPX(USA)	-1.44%

MINTs
JCI(IDN)	-0.67%
INMEX(MEX)	+0.25%
NGSEINDX(NGA)	+4.18%
XU030(TUR)	-1.80%

BRICS
IBOV(BRA)	-4.43%
SHCOMP(CHN)	+2.20%
NIFTY(IND)	+0.37%
INDEXCF(RUS)	+1.28%
TOP40(ZAF)	-0.27%

Commodities

Energy
Brent Crude Oil	-7.00%
Ethanol	-2.60%
Heating Oil	-2.62%
WTI Crude Oil	-7.78%
Natural Gas	+2.80%
RBOB Gasoline	-11.53%

Metals
Silver 5000oz	-1.34%
Palladium	-2.32%
Platinum	-2.49%
Copper	-1.27%
Gold 100oz	-0.46%

Currencies

USDEUR:+0.22% USDJPY:+0.27%

MINTs
USDIDR(IDN)	+0.01%
USDMXN(MEX)	+0.24%
USDNGN(NGA)	+0.10%
USDTRY(TUR)	+0.31%

BRICS
USDBRL(BRA)	+2.32%
USDCNY(CHN)	+0.00%
USDINR(IND)	-0.50%
USDRUB(RUS)	+4.30%
USDZAR(ZAF)	-0.40%

Agricultural
Coffee (Arabica)	+0.95%
Coffee (Robusta)	-6.71%
Cattle	+2.50%
Corn	+0.47%
Cotton	-2.50%
Orange Juice	+7.82%
Sugar #11	-4.39%
Lean Hogs	-1.34%
White Sugar	-1.26%
Cocoa	-2.49%
Feeder Cattle	+1.54%
Lumber	+3.33%
Soybean Meal	-0.76%
Soybeans	+3.17%
Wheat	+2.46%

Credit Indices

Index	Change
Markit CDX EM	-0.45%
Markit CDX NA HY	-0.03%
Markit CDX NA IG	+0.86%
Markit iTraxx Asia ex-Japan IG	+1.78%
Markit iTraxx Australia	+2.72%
Markit iTraxx Europe	-0.84%
Markit iTraxx Europe Crossover	+1.87%
Markit iTraxx Japan	+1.18%
Markit iTraxx SovX Western Europe	-1.67%
Markit LCDX (Loan CDS)	-0.04%
Markit MCDX (Municipal CDS)	-0.98%

Another bad week for commodities with the S&P flirting with red for the year. The energy and precious metals complex resumed their collapse. The Nifty barely made it to the green. INR appreciated against the USD but the USD appreciated against other major currencies.

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)	+8.49%	79/58
2	+4.50%	77/58
3	+5.13%	71/66
4	+5.36%	74/62
5	+4.19%	76/60
6	+4.87%	76/60
7	+4.28%	77/59
8	+3.92%	78/59
9	+3.89%	75/61
10 (mega)	+2.36%	73/64

Midcaps out-performed large caps…

Top Winners and Losers

CANBK	+11.59%
UNIONBANK	+17.03%
CUMMINSIND	+18.95%
HCLTECH	-5.90%
COALINDIA	-5.55%
BHEL	-4.38%

After spending the longest time in the doldrums, Cummins jolted up after its Q1 results.

ETF Performance

PSUBNKBEES	+5.28%
JUNIORBEES	+3.05%
INFRABEES	+0.52%
NIFTYBEES	+0.33%
BANKBEES	+0.33%
GOLDBEES	-0.38%
CPSEETF	-1.18%

PSU banks continued to rally on the promise of free money.

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
0 5	+0.03	+0.11%
5 10	+0.01	+0.08%
10 15	-0.03	+0.33%
15 20	-0.02	+0.33%
20 30	-0.02	+0.30%

The Gilt market ended flat…

Investment Theme Performance

Next Trillion	+6.89%
Financial Strength Value	+6.74%
High Beta	+5.45%
Magic Formula	+5.26%
Quality to Price	+4.94%
Low Volatility	+2.85%
Balance Sheet Strength	+2.57%
PPFAS Long Term Value	+2.52%
ASK Life	+2.31%
Tactical CNX 100	+1.72%
CNX 100 Enterprise Yield	+1.10%
The RBI Restricted List	+0.90%
ADAG stocks	+0.85%
Momentum	+0.66%

Was a good week for most investment strategies…

Equity Mutual Funds

Best
Reliance Small Cap Fund – Growth Plan – Growth Option	+4.09%
UTI Mid Cap Fund-Growth Option	+3.56%
IDBI Nifty Junior Index Fund Growth	+3.44%
ICICI Prudential Nifty Junior Index Fund – Regular Plan – Growth	+3.43%
IDBI Equity Advantage Fund – Growth Regular	+3.19%
L&T India Value Fund-Growth Option	+3.04%
Union KBC Small and Midcap Fund – Regular Plan – Growth Option	+2.98%

Worst
Escorts High Yield Equity Plan – Growth Option	-0.79%
Franklin Asian Equity Fund – Growth Plan	-0.90%
Reliance Japan Equity Fund- Growth Plan- Growth Option	-0.94%
Principal Global Opportunities Fund-Growth Option	-0.97%
Franklin India Feeder – Franklin European Growth Fund – Growth	-1.41%
Mirae Asset Global Commodity Stocks – Growth Option	-1.72%
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth	-1.90%

Bond Mutual Funds

Best
ICICI Prudential Constant Maturity Gilt Fund – Regular Plan – Growth	+0.28%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.23%
Sundaram Flexible Fund -Flexible Income Plan Regular – Growth	+0.21%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option	+0.21%
JPMorgan India Corporate Debt Opportunities Fund – Regular Plan – Growth Option	+0.19%
JPMorgan India Active Bond Fund – Retail Plan – Growth Option	+0.18%
ICICI Prudential Income Opportunities Fund – Regular Plan – Growth	+0.18%

Worst
L&T Triple Ace Bond Fund-Growth Plan	+0.05%
Canara Robeco Income – Regular Plan – Growth	+0.04%
Kotak Gilt-Investment Provident Fund and Trust-Growth	+0.04%
Kotak Gilt-Investment Regular-Growth	+0.03%
Canara Robeco Dynamic Bond Fund – Regular Plan – Growth	+0.00%
IIFL Dynamic Bond Fund – Regular Plan – Growth Option	-0.01%
Reliance Corporate Bond Fund – Growth Option	-0.01%

Thought for the weekend

The benchmark tail wags the portfolio management dog. Benchmarks were supposed to be the foundation for understanding a portfolio manager’s performance after the fact. Instead the investment industry evolved so that benchmarks are now the navigational compass for investment managers before the fact.

Only way to remedy this is to earn AUM through performance, not marketing. A majority of an asset manager’s time should be spent on research, not giving presentations to third parties.

Source: Alpha Wounds: Benchmark Tail Wags the Portfolio Management Dog

Categories Your Money Tags weekly