Index Update 10.10.2015

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MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-10-09 png

index momentum best 50 2015-10-09 png

index momentum worst 365 2015-10-09 png

index momentum worst 50 2015-10-09 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-09 png

Refactored Index Performance

50-day performance, from July 29, 2015 through October 09, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +8.52% CNX REALTY (CAP) +11.07%
CNX PHARMA (EQUAL) +8.28% CNX PHARMA (CAP) +10.83%
CNX PSU BANK (EQUAL) +5.73% NI15 (CAP) +5.10%
CNX IT (EQUAL) +3.39% CNX IT (CAP) +4.48%
NI15 (EQUAL) +1.61% CNX FMCG (CAP) +2.82%
LIX15 Midcap (EQUAL) +0.56% NSE QUALITY 30 (CAP) +2.81%
NSE QUALITY 30 (EQUAL) -0.32% CNX PSU BANK (CAP) +0.88%
CNX SERVICE (EQUAL) -1.50% CNX CONSUMPTION (CAP) +0.22%
CNX CONSUMPTION (EQUAL) -1.58% CNX MEDIA (CAP) -0.50%
CNX MEDIA (EQUAL) -1.61% CNX SERVICE (CAP) -1.64%
CNX BANK (EQUAL) -1.79% LIX15 Midcap (CAP) -1.85%
CNX INFRA (EQUAL) -2.26% NV20 (CAP) -2.81%
CNX AUTO (EQUAL) -2.85% CNX FINANCE (CAP) -3.56%
CNX FINANCE (EQUAL) -3.09% CNX AUTO (CAP) -3.74%
NV20 (EQUAL) -4.37% CNX BANK (CAP) -4.05%
CNX FMCG (EQUAL) -4.42% CNX MNC (CAP) -6.36%
CNX ENERGY (EQUAL) -4.73% CNX ENERGY (CAP) -7.80%
LIX 15 (EQUAL) -5.13% LIX 15 (CAP) -7.87%
CNX COMMODITIES (EQUAL) -5.83% CNX COMMODITIES (CAP) -8.63%
CNX MNC (EQUAL) -6.43% CPSE INDEX (CAP) -9.24%
CPSE INDEX (EQUAL) -7.50% CNX INFRA (CAP) -10.30%
CNX PSE (EQUAL) -8.80% CNX PSE (CAP) -10.51%
CNX METAL (EQUAL) -9.31% CNX METAL (CAP) -13.10%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.52
2015-Jan-27
CNX BANK LONG
14.42
2015-Jan-27
CNX COMMODITIES LONG
35.32
2008-Jan-04
CNX CONSUMPTION LONG
5.71
2015-Aug-05
CNX ENERGY LONG
33.93
2008-Jan-14
CNX FMCG LONG
7.96
2015-Feb-25
CNX INFRA LONG
53.04
2008-Jan-09
CNX IT SHORT
87.64
2000-Feb-21
CNX MEDIA LONG
18.06
2008-Jan-04
CNX METAL LONG
66.60
2008-Jan-04
CNX MNC SHORT
9.28
2015-Aug-10
CNX NIFTY LONG
8.97
2015-Mar-03
CNX PHARMA LONG
4.00
2015-Apr-08
CNX PSE LONG
33.36
2008-Jan-04
CNX PSU BANK SHORT
40.81
2010-Nov-05
CNX REALTY LONG
90.30
2008-Jan-14
CNX SERVICE LONG
9.02
2015-Mar-03
And just like that, momentum is back!

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