Commodity trading in India was left for dead after their wild ride from 2005 through 2007. However, with MCX finally getting its act together, it looks like it’s time to explore systematic strategies in the commodities market.
An easy win could be to add commodities into whatever trend-following or momentum system you are currently running. Our exploratory post: MCX Commodity Volumes.
Markets this Week
More here: country ETFs, fixed income, currencies and commodities.
Links
Bengaluru water crisis: The nobles fight; the clergy pray and the people pay. (downtoearth, thewire, deccanherald, linkedin)
Research
Inequality Within Countries is Falling (NBER)
Above Up, Below Down (SSRN)
Stocks with daily closing price slightly above round numbers (e.g., $6.1) tend to rise up, while those just below (e.g., $5.9) tend to fall down the next day. An applied long-short strategy exploiting this pattern yields a daily return of 24.6 basis points, or an annualized 61%. This pattern is pervasive across intraday and global markets.
Post-Earnings-Announcement Drift Using Text (SSRN)
We construct a new numerical measure of earnings announcement surprises, standardized unexpected earnings call text (SUE.txt), that does not explicitly incorporate the reported earnings value. SUE.txt generates a text-based post-earnings-announcement drift (PEAD.txt) larger than the classic PEAD. The magnitude of PEAD.txt is considerable even in recent years when the classic PEAD is close to zero.
Social Capital and Household Financial Behavior (NBER)
We provide evidence supporting a causal link between household financial behavior and the income of one's friends. Furthermore, we provide evidence that greater opportunities for social interaction with wealthy individuals is associated with increased stock market and saving participation.
Diaspora Bonds: Patriotism or Investment? (SSRN)
In the world of sovereign debt instruments, the Holy Grail is the GDP indexed bond, which is a borrowing instrument that operates counter cyclically. A sovereign would make smaller payments to lenders when times were tough and higher payments during good times. If such products were to be used, the risk of severe and widespread sovereign financial crises could (potentially) be ameliorated. However, attempts to market these products, except in a few pockets, have not prospered. The Israeli diaspora bonds program – while not fitting the conventional conception of a GDP indexed bond -- might have found the magic elixir.
Investing & Economics
What Investigative Journalism Taught Me About Investing (nightviewcapital)
ETF liquidity and the ‘extinction’ of mutual funds (etfstream)
Is private equity actually worth it? (ft)
India
The Supreme Court ruled that Members of Parliament (MPs) and Members of Legislative Assemblies (MLAs) cannot claim any immunity from prosecution for accepting bribes to cast a vote or make a speech in the House in a particular fashion. (thehindu)
SEBI and RBI are widening an investigation into how merchant banks manage retail subscriptions in public debt issues. (reuters)
Inflows into India's equity mutual funds rose to their highest in nearly two years in February, with small-caps leading the charge. (reuters)
CBI busts human trafficking network sending Indians to Russia-Ukraine war zone (economictimes)
India is chipping away at China’s dominance in electronics exports in some key markets. (economictimes)
RoW
“Delete A,” for Delete America. (timesofindia)
Meanwhile:
U.S. domestic production capacity is a shriveled shadow of its former self. Crucial categories of industry for U.S. national defense are no longer built in any of the 50 states. With just 25 well-constructed attacks, using any of a variety of means, an adversarial military planner could cripple much of America’s manufacturing apparatus for producing advanced weapons.
Numbers Matter (pdf)
How China Came to Dominate the World in Solar Energy (nytimes)
Infrastructure spending is a cost of growth, not a cause. It doesn't drive development. It accommodates it
-Michael Pettis
Case in point: China’s Guizhou province (scmp)
Google's Culture of Fear (piratewires)
Mexico City, home to nearly 22 million people, is nearly out of water (cbsnews)