I regret for the pause in this thread. My old database is ruined due to some virus attack this Monday night (which kaspersky failed to detect) and had to create everthing from scratch again (from setting partition space). I've lost everything I had in my old set up, softwares, e books, excel sheets... even winrar and firefox. Shall get back to this thread on Monday.
Sector Rotation
- Thread starter oxusmorouz
- Start date
That seems correct. If these stocks are merely experiencing low volatility as compared to high strength, they will eventually falter, paving way to another market leader as time proceeds. That's what the index seeks to capture.
Well yes, longer the date since inception, better the index. However, stocks with high market cap like DLF, RelPower etc got listed in between 2007. They cannot be ignored in calculation. Hence the change of date.
The index formula is 100*(Value on current day/Value on nth day). A value of 100.28 means that there's been a .28% appreciation in the index since the day it began.
Most of my formulas got deleted, and I'm left with an old back up which needs to be modified. Shall post detailed charts later. Posting a chart for auto-ancillaries with base date as 1.1.2007 (shall modify this tomorrow, it's my old base):
Well yes, longer the date since inception, better the index. However, stocks with high market cap like DLF, RelPower etc got listed in between 2007. They cannot be ignored in calculation. Hence the change of date.
The index formula is 100*(Value on current day/Value on nth day). A value of 100.28 means that there's been a .28% appreciation in the index since the day it began.
Most of my formulas got deleted, and I'm left with an old back up which needs to be modified. Shall post detailed charts later. Posting a chart for auto-ancillaries with base date as 1.1.2007 (shall modify this tomorrow, it's my old base):
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Hello RSI,
Suppose there are two stocks in an index - A and B. The index is calculated as follows:
(Rate of change of A since nth day + Rate of change of B since nth day)/2
This gives an equal weight of .5 to each stock.This is the basis of my calculation.
Stock selection is done based on three criteria:
1) Descending order of market cap with a value of at least Rs.1000 crores (in some cases, where unavoidable, Rs.500 crores)
2) Differentiation of that stock's business with other stocks in the same sector (For example: Media and entertainment stocks include television, radio, cinema screening, film production, film distribution etc. Care is made to include at least one of each type)
3) Liquidity of that stock
Each stock is equally weighted in order to avoid any bias to one stock's movement. Since there are no small caps, the possibility of an outrageous move within a very short span is as good as ruled out.
Suppose there are two stocks in an index - A and B. The index is calculated as follows:
(Rate of change of A since nth day + Rate of change of B since nth day)/2
This gives an equal weight of .5 to each stock.This is the basis of my calculation.
Stock selection is done based on three criteria:
1) Descending order of market cap with a value of at least Rs.1000 crores (in some cases, where unavoidable, Rs.500 crores)
2) Differentiation of that stock's business with other stocks in the same sector (For example: Media and entertainment stocks include television, radio, cinema screening, film production, film distribution etc. Care is made to include at least one of each type)
3) Liquidity of that stock
Each stock is equally weighted in order to avoid any bias to one stock's movement. Since there are no small caps, the possibility of an outrageous move within a very short span is as good as ruled out.
Unfortunately, it was one of those black swan events. It's the first time this has happened to me. I was kind of confident that the back up kept in a F drive will be sufficient, so was lazy to store it in a CD. The virus rooted out every piece of data in a few seconds. Apparently, it was a prank, albeit a costly one 
. A lesson gained none the less
. A lesson gained none the lessHello Ajay
Thanks for the explanation.
1. Regarding your point no. 1. I think it should be ascending order from Rs.1000/- crores. Seems to be a typo. Am I right?
2. Regarding point no.2. How a stock is rated if it has got diverse business and is a leader in many but unrelated areas?
3. Regarding point no. 3 - Liquidity. Do you have any minimum criteria for this? I mean average traded volume over n number of days?
Thanks once again and regards
R. S. Iyer
Thanks for the explanation.
1. Regarding your point no. 1. I think it should be ascending order from Rs.1000/- crores. Seems to be a typo. Am I right?
2. Regarding point no.2. How a stock is rated if it has got diverse business and is a leader in many but unrelated areas?
3. Regarding point no. 3 - Liquidity. Do you have any minimum criteria for this? I mean average traded volume over n number of days?
Thanks once again and regards
R. S. Iyer
Descending. Stocks with the highest market cap gets higher priority in being selected.
Quite a few stocks fall under this category (Grasim, Suzlon, RelInd, Nalco are some leading example). I've not considered stocks which are too far away from the regular business. If a stock leads in more than one sector, it is included in the sector is resembles most.
No specific "criteria" as such. To be selected, it must be reasonably liquid and have a decent flow of prices. Those which hit circuit breakers often are excluded. Bosch Chassis Systems in the auto ancillary space was excluded owing to this reason. Selection is pretty much subjective.
Quite a few stocks fall under this category (Grasim, Suzlon, RelInd, Nalco are some leading example). I've not considered stocks which are too far away from the regular business. If a stock leads in more than one sector, it is included in the sector is resembles most.
No specific "criteria" as such. To be selected, it must be reasonably liquid and have a decent flow of prices. Those which hit circuit breakers often are excluded. Bosch Chassis Systems in the auto ancillary space was excluded owing to this reason. Selection is pretty much subjective.
For the day ended 20 June 2008
Best performing since 1.1.2008
1) Pharma 92.45
2) Software 82.22
3) Aluminum 81.2624
Worst Performing Since 1.1.2008
1) Real Estate 41.5569
2) Cables 47.4067
3) Civil Construction 48.1443
Re-created my sectoral database, increased the median number of stocks per sector and added new sectoral indices to the list.
Best performing since 1.1.2008
1) Pharma 92.45
2) Software 82.22
3) Aluminum 81.2624
Worst Performing Since 1.1.2008
1) Real Estate 41.5569
2) Cables 47.4067
3) Civil Construction 48.1443
Re-created my sectoral database, increased the median number of stocks per sector and added new sectoral indices to the list.
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