Deprecated: Function jetpack_form_register_pattern is deprecated since version jetpack-13.4! Use Automattic\Jetpack\Forms\ContactForm\Util::register_pattern instead. in /home1/portfol1/public_html/wp/wp-includes/functions.php on line 6078
Nifty Rollover vs. Next Month Return | Portfolio Yoga

Nifty Rollover vs. Next Month Return

by Prashanth Krish · 31st October 2013

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:

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

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.

You may also like:

Leave a ReplyCancel reply

This site uses Akismet to reduce spam. Learn how your comment data is processed.

Reminiscences of the Past 22nd June 2023
When I first came into the Industry, I wasn’t sure of what I wanted to become. Within a year or two though, I knew that I wanted to be a stockbroker. The reason – money. I could see good brokerage firms earning a lakh or more per month. This at regional stock exchanges. Brokers of […]
Prashanth Krish
External Validations 20th June 2023
Something I have observed and one I wonder if the one thing that is unique to the stock markets is the need for external validation. If you ask a small businessman how business is, more times than not, he will have a list of complaints and how it’s getting tougher. An investor / trader on […]
Prashanth Krish
Symmetry in Thinking 17th June 2023
When I first started going to the stock brokers office, my idea of investing was closer to value investing. But at the brokers office, all I encountered were people who were trading. In due course of time, that is where I ended up as well. Trading regardless of whether you are profitable or not can […]
Prashanth Krish
70 Experts Share the Most Important Lesson 2nd June 2023
When podcasts first got started, it was interesting to hear. Great investors we knew about only in books or articles came to talk about a variety of things. Learning became interesting. Today, we are overwhelmed by content, and this includes podcasts. On any given day, I assume there are hundreds of new podcasts that are […]
Prashanth Krish
A deep dive into The Zurich Axioms 24th February 2023
Many years ago, someone had recommended The Zurich Axioms by Max Gunther and I remember reading it though I doubt I took home any lessons. Recently I got a physical copy and decided to read it once again. Much water has flown since my last read and while I doubt it has influenced me, experience […]
Prashanth Krish
The True Contrarian Strategy – Momentum 12th February 2023
Contrarian investing is described as buying when no one wants to buy and selling when no one wants to sell. Much of value investing in many ways is contrarian investing. In the book, Contrarian Investing, the Authors say that any stock that fulfills 2 out of the following 4 criteria can be considered as a […]
Prashanth Krish
The Itch 3rd February 2023
So, there I was yesterday sitting at a hotel waiting for friends to arrive. One good thing about waiting these days is that you no longer are bored because there is always something on social media to read about. I on the other hand was checking not social media but Kite (Zerodha App) to see […]
Prashanth Krish