Sensex Update

Summary
In this Sensex 30 update we look at the running signals for the top blue chip stocks. Among the 30 blue chips stocks, we have 15 running total positive signals (both Jiseki and price signal positive), 7 running total negative signals (both Jiseki and price signal negative) and rest neutral (both Jiseki and price signal non-confirming). This makes Sensex 30 biased towards the positive side.
Positive(15)
There are 15 components that are positive on both price and Jiseki cycle. All the total positive components have generated positive returns. Mahindra & Mahindra, Bajaj Auto and HDFC are up by approx 33%, 13.6% and 12% for the signal holding period of 132, 54 and 36 days respectively.
Negative(7)
There are components that are negative on both price and Jiseki cycle. TCS has just moved to negative price signal and negative Jiseki cycle.
Non Confirming Signals(7)
This leaves us with 7 components that have a non-confirmation between price and Jiseki cycle filters.
Extract from Running SENSEX 30

Jiseki Cycles for some Sensex 30 stocks


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Indexing: The INDIA 30 Orpheus Risk Management Index (ORMI) is based on proprietary algorithm.
The indices values that are disseminated today are broadly based on market capitalization methodology. Market capitalization methodology has been challenged globally for a few broad reasons. 1) As an asset strengthens it is given more weight 2) As an asset weakens it is given lesser weight. This on one side captures momentum but on the other side suggests investors to focus more on growth compared to value. This increases portfolio risk when market growth slows down or reverses, as has been the case since 2007. When markets contract, the erstwhile top performers push into red for extended period of time causing large drawdowns and emotional pain.
The India 30 Index is based on the above extreme reversion idea i.e. outliers tend to reverse, which suggests that investing is about value picking and extremes are prone to reversion. Our Index extends and fine tunes the idea first mooted by De Bondt and Thaler in their 1981 paper suggesting that 3 year worst losers portfolio tends to outperform the 3 year best winners portfolio.
Coverage India: CNX100, BSE500 traded stocks and Indian Indices.
Ayushi has done her masters in economics from Delhi School of Economics and then completed her Post-Graduation in Finance from National Institute of Securities Markets. She completed her graduation in Economics from Lady Shri Ram College. A keen econometrician, Ayushi enjoys financial modeling and risk management.