Quarterly Recap: April-June 2015

world.2015-03-31.2015-06-30

Equities

Major
DAX(DEU) -8.53%
CAC(FRA) -4.84%
UKX(GBR) -3.72%
NKY(JPN) +5.69%
SPX(USA) -0.77%
MINTs
JCI(IDN) -10.94%
INMEX(MEX) +2.75%
NGSEINDX(NGA) +5.37%
XU030(TUR) +1.37%
BRICS
IBOV(BRA) +3.41%
SHCOMP(CHN) +13.26%
NIFTY(IND) -0.71%
INDEXCF(RUS) +1.74%
TOP40(ZAF) +0.27%

Commodities

Energy
Heating Oil +9.46%
Natural Gas +6.38%
Ethanol +8.99%
WTI Crude Oil +22.10%
Brent Crude Oil +13.69%
RBOB Gasoline +14.29%
Metals
Copper -4.73%
Gold 100oz -0.74%
Platinum -4.72%
Palladium -6.21%
Silver 5000oz -6.02%

Currencies

USDEUR:-3.59% USDJPY:+2.18%

MINTs
USDIDR(IDN) +1.84%
USDMXN(MEX) +3.22%
USDNGN(NGA) -0.14%
USDTRY(TUR) +3.21%
BRICS
USDBRL(BRA) -3.60%
USDCNY(CHN) +0.03%
USDINR(IND) +1.85%
USDRUB(RUS) -4.47%
USDZAR(ZAF) +0.08%
Agricultural
Coffee (Robusta) +11.08%
Soybeans +7.68%
Cattle -8.30%
Cocoa +12.52%
Coffee (Arabica) -1.39%
Corn +9.44%
Feeder Cattle -1.47%
Lean Hogs +22.31%
Lumber +3.67%
White Sugar +3.99%
Cotton +6.00%
Soybean Meal +9.66%
Sugar #11 +4.00%
Wheat +17.70%
Orange Juice -7.16%

Credit Indices

Index Change
Markit CDX EM +3.41%
Markit CDX NA HY -1.55%
Markit CDX NA IG +3.77%
Markit iTraxx Asia ex-Japan IG +9.21%
Markit iTraxx Australia +11.15%
Markit iTraxx Europe +16.41%
Markit iTraxx Europe Crossover +27.41%
Markit iTraxx Japan +4.29%
Markit iTraxx SovX Western Europe +0.46%
Markit LCDX (Loan CDS) -0.19%
Markit MCDX (Municipal CDS) +5.20%
European markets got shellacked and global markets went from obsessing over Fed rate hikes to Grexit. We had our own monsoon scare and bond market turmoil even though the RBI is on an easing path…

Index Returns

index.performance.2015-03-31.2015-06-30

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +4.17% 68/64
2 +9.23% 69/62
3 +6.79% 73/58
4 +5.28% 71/61
5 +2.42% 62/69
6 +0.91% 61/70
7 -1.04% 57/75
8 -1.14% 60/71
9 -5.65% 59/72
10 (mega) -0.60% 58/74
Large-caps held steady…

Top Winners and Losers

BAJAJ-AUTO +26.05%
GLENMARK +26.46%
BRITANNIA +28.00%
CANBK -24.46%
TECHM -24.12%
SRTRANSFIN -23.41%
Looks like Bajaj Auto finally turned the corner…

ETF Performance

CPSEETF +3.18%
BANKBEES +1.65%
JUNIORBEES +1.51%
GOLDBEES +0.87%
NIFTYBEES -0.83%
INFRABEES -2.69%
PSUBNKBEES -4.35%
PSU Banks were the most despised asset class…

Yield Curve

yieldCurve.2015-03-31.2015-06-30

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.36 +2.06%
GSEC SUB 1-3 +0.07 +1.73%
GSEC SUB 3-8 +0.07 +0.10%
GSEC SUB 8 +0.39 -1.09%
Yields went up…

Interbank lending rates

mibor.30days.2015-06-30

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Monthly Recap: Letting Go of the Why

world.2015-05-29.2015-06-30

Equities

Major
DAX(DEU) -4.11%
CAC(FRA) -4.35%
UKX(GBR) -6.64%
NKY(JPN) -1.35%
SPX(USA) -2.33%
MINTs
JCI(IDN) -5.63%
INMEX(MEX) +0.08%
NGSEINDX(NGA) -2.49%
XU030(TUR) -0.56%
BRICS
IBOV(BRA) -0.64%
SHCOMP(CHN) -7.62%
NIFTY(IND) -0.57%
INDEXCF(RUS) +2.82%
TOP40(ZAF) -0.31%

Commodities

Energy
Brent Crude Oil -4.12%
WTI Crude Oil -2.96%
Heating Oil -3.91%
Ethanol +4.61%
Natural Gas +7.28%
RBOB Gasoline -2.67%
Metals
Palladium -12.83%
Platinum -2.52%
Copper -5.07%
Gold 100oz -1.45%
Silver 5000oz -6.59%

Currencies

USDEUR:-1.33% USDJPY:-1.15%

MINTs
USDIDR(IDN) +0.69%
USDMXN(MEX) +2.29%
USDNGN(NGA) +0.15%
USDTRY(TUR) +0.73%
BRICS
USDBRL(BRA) -2.61%
USDCNY(CHN) +0.06%
USDINR(IND) -0.25%
USDRUB(RUS) +6.14%
USDZAR(ZAF) +0.09%
Agricultural
Corn +17.28%
Soybeans +12.15%
White Sugar +5.92%
Cattle -2.87%
Cocoa +1.42%
Coffee (Arabica) +3.44%
Feeder Cattle -3.67%
Lumber +5.57%
Soybean Meal +16.68%
Sugar #11 +4.00%
Wheat +27.02%
Coffee (Robusta) +15.36%
Cotton +4.09%
Lean Hogs -9.18%
Orange Juice +0.57%

Credit Indices

Index Change
Markit CDX EM -0.46%
Markit CDX NA HY -0.63%
Markit CDX NA IG +3.48%
Markit iTraxx Asia ex-Japan IG +1.61%
Markit iTraxx Australia +1.97%
Markit iTraxx Europe +3.03%
Markit iTraxx Europe Crossover +10.35%
Markit iTraxx Japan +4.34%
Markit iTraxx SovX Western Europe -0.80%
Markit LCDX (Loan CDS) -0.04%
Markit MCDX (Municipal CDS) -1.32%
An eventful month comes to an end. The Chinese bubble popped, the Greek drama is playing out, people stopped obsessing about the Fed raising rates and monsoons went from being a headwind to a tailwind.

Index Returns

index.performance.2015-05-29.2015-06-30

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -5.56% 59/70
2 -2.35% 56/73
3 -2.72% 58/71
4 -2.32% 58/71
5 -0.54% 62/67
6 -4.34% 59/70
7 -1.46% 64/65
8 -2.39% 53/76
9 -2.65% 57/72
10 (mega) -0.34% 64/65
Midcaps got totally hammered with the Midcap Index down 4.73%.

Top Winners and Losers

ZEEL +13.64%
RELIANCE +14.04%
GODREJCP +17.82%
CANBK -19.08%
RPOWER -15.14%
UNIONBANK -14.85%
Media companies as a whole did well. The CNX Media Index was the best performing index in June…

ETF Performance

INFRABEES +1.52%
NIFTYBEES -0.32%
JUNIORBEES -0.69%
CPSEETF -0.99%
BANKBEES -1.52%
GOLDBEES -1.63%
PSUBNKBEES -8.23%
Most PSU banks are just zombies at this point – the walking dead…

Yield Curve

yield Curve.2015-05-29.2015-06-30

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.51 +0.82%
GSEC SUB 1-3 +0.15 +1.17%
GSEC SUB 3-8 +0.08 +0.17%
GSEC SUB 8 +0.14 -0.97%
Bonds were buffeted by gyrations in international bond markets and currency volatility…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought to sum up the month

When you’re constantly looking for a catalyst to explain every single move in the markets you start to see signals and correlations that just don’t exist. Most of the time we won’t know exactly why the markets moved a certain way until much later. Sometimes even with the benefit of perfect hindsight, investors still can’t agree on the specifics of the cause and effect. But to some the ‘why’ in the markets will always seem easy after the fact, so they keep searching for the answers.

Source: Letting Go of the Why

Opening Bell 01.07.2015

Your world at 9am

world.2015-07-01

Equities

Major
DAX(DEU) -1.25%
CAC(FRA) -1.63%
UKX(GBR) -1.50%
NKY(JPN) +0.22%
SPX(USA) +0.27%
MINTs
JCI(IDN) +0.28%
INMEX(MEX) +0.84%
NGSEINDX(NGA) +0.62%
XU030(TUR) +0.54%
BRICS
IBOV(BRA) +0.13%
SHCOMP(CHN) +0.40%
NIFTY(IND) +0.60%
INDEXCF(RUS) +1.20%
TOP40(ZAF) -0.55%

Commodities

Energy
Ethanol +0.00%
Brent Crude Oil -0.88%
Heating Oil -0.71%
WTI Crude Oil -1.23%
RBOB Gasoline -0.73%
Natural Gas -0.11%
Metals
Gold 100oz +0.00%
Silver 5000oz +0.57%
Palladium +0.63%
Platinum +0.56%
Copper +0.00%

Currencies

USDEUR:-0.01% USDJPY:-0.02%

MINTs
USDIDR(IDN) -0.10%
USDMXN(MEX) +0.00%
USDNGN(NGA) -0.05%
USDTRY(TUR) -0.11%
BRICS
USDBRL(BRA) -0.47%
USDCNY(CHN) +0.01%
USDINR(IND) -0.32%
USDRUB(RUS) -0.03%
USDZAR(ZAF) -0.07%
Agricultural
Lean Hogs +0.00%
Lumber +0.00%
Soybeans -0.76%
Sugar #11 +3.48%
Wheat -1.06%
Coffee (Robusta) +0.00%
Cotton +0.00%
Corn -0.30%
Feeder Cattle +0.00%
Orange Juice -1.25%
Soybean Meal -0.56%
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) +0.00%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM -0.47%
Markit CDX NA HY -0.59%
Markit CDX NA IG +4.45%
Markit iTraxx Asia ex-Japan IG +4.68%
Markit iTraxx Australia +6.62%
Markit iTraxx Europe +10.11%
Markit iTraxx Europe Crossover +44.04%
Markit iTraxx Japan +6.23%
Markit iTraxx SovX Western Europe +2.40%
Markit LCDX (Loan CDS) -0.02%
Markit MCDX (Municipal CDS) +5.60%
Where do we go from here?

Must reads

What the Irish have to say about the Greek drama. (IT)

The core sector output in May rose 4.4% — a six-month high — as seven of the eight industries that constitute the sector registered positive growth. (FE, #economy)

IDFC is crafting the millennial bank. “The way the world is moving, branches are becoming less relevant to connect with customers.” (LiveMint) IDFC 150.45 0.15 (0.10%)

What does it mean to invest in equities in a communist state? “The sucking sound you hear is the average person’s bank account being drawn off into the hands of the red elite.” (FT)

Some of the most brilliant people I’ve met are terrible investors because they’re constantly seeking out ways to explain why things happen the way they do in the markets. Even when you’re right about the way something transpires in the macro picture, you may come to the wrong conclusion about how the markets will react to that event. (AWOCS)

Good luck!

Options Daily 01.07.2015

Summary: Jul NIFTY 9000 calls added 395,475 contracts while 8100 calls shed 79,275. On the Put side of the equation, the 8300 strike added 526,900 while the 7900’s shed 97,350.

Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

Opening Bell 30.06.2015

Your world at 9am

world.2015-06-30

Equities

Major
DAX(DEU) -3.56%
CAC(FRA) -3.74%
UKX(GBR) -1.97%
NKY(JPN) +0.11%
SPX(USA) -2.09%
MINTs
JCI(IDN) +0.57%
INMEX(MEX) -2.09%
NGSEINDX(NGA) +1.20%
XU030(TUR) -2.19%
BRICS
IBOV(BRA) -1.86%
SHCOMP(CHN) -2.98%
NIFTY(IND) -0.75%
INDEXCF(RUS) -0.58%
TOP40(ZAF) -1.40%

Commodities

Energy
Natural Gas -0.50%
Ethanol +0.00%
RBOB Gasoline -0.51%
WTI Crude Oil -0.55%
Brent Crude Oil -0.39%
Heating Oil +0.13%
Metals
Silver 5000oz -0.50%
Gold 100oz -0.19%
Palladium -0.23%
Platinum -0.25%
Copper -0.36%

Currencies

USDEUR:+0.40% USDJPY:-0.16%

MINTs
USDIDR(IDN) -0.04%
USDMXN(MEX) +0.08%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.10%
BRICS
USDBRL(BRA) -0.37%
USDCNY(CHN) -0.03%
USDINR(IND) +0.33%
USDRUB(RUS) +0.05%
USDZAR(ZAF) +0.24%
Agricultural
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Orange Juice -2.62%
White Sugar +0.00%
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) -0.61%
Lean Hogs +0.00%
Lumber -0.31%
Soybean Meal -0.09%
Sugar #11 +1.46%
Wheat +0.95%
Corn +0.78%
Cotton +0.00%
Soybeans -0.47%

Credit Indices

Index Change
Markit CDX EM -0.11%
Markit CDX NA HY +0.00%
Markit CDX NA IG +0.30%
Markit iTraxx Asia ex-Japan IG +1.14%
Markit iTraxx Australia +0.82%
Markit iTraxx Europe -0.53%
Markit iTraxx Europe Crossover +0.21%
Markit iTraxx Japan +0.07%
Markit iTraxx SovX Western Europe -0.17%
Markit LCDX (Loan CDS) -0.02%
Markit MCDX (Municipal CDS) +0.23%
Another down day today?

Must reads

Large, potentially destabilizing events are unpredictable. Reactions to subsequent chains of unanticipated of reactions and counter-reactions are also inherently unknowable. Use it for entertainment value, don’t “play” your portfolio. (BV)

“With all due respect, India is a master of obfuscation. My suspicion is that there is a bias against an exchange going public.” (LiveMint, #IPO)

ITC is the first diversified company in India to register a billion-dollar-revenue mark in foods. (TOI) ITC 315.25 0.20 (0.06%)

Startups can forget about being “Ramen profitable.” Top Ramen is getting pulled off shelves. (Hindu)

Good luck!