Nifty Rollover vs. Next Month Return

 

Does Nifty Rollover cost (which may include dividends as well) have any relation to the kind of returns Nifty generates in the following month. Based on that thought, did a test on Nifty current month futures vs next month. All dates used as Last Thursday of the month.

Here are the results:

Image

 

When premium was > 1.0 percent, the return in the following month was the lowest. The data is from 2000 till October 2013 and hence includes months in 2008 / 09 when we saw huge swings on either side. 

If I removed the big outliers (biggest gaining month and biggest losing month), the picture comes to show like this

Image

 

While we can see the big negative bar missing, the positive does not change much showcasing that when Nifty runs in discount, the possibility of gains outweigh losses. Of course, this would be too simple a extrapolation and not useful for trade, but a thought all the same.

 

 

 

Advertisements

About Prashanth

Have been a full time participant in the stock markets since 1996. Run a Yahoo Group where focus is exclusively on discussions of the Indian Markets using Technical Analysis as the tool (groups.yahoo.com/group/technical-investor)
This entry was posted in Uncategorized. Bookmark the permalink.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s