Author: stockviz

Index Update 14.02.2016

stockviz February 14, 2016February 14, 2016 0

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from December 03, 2015 through February 12, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-6.95%	IT (CAP)	-3.90%
QUALITY 30 (EQUAL)	-9.73%	PHARMA (CAP)	-4.29%
FMCG (EQUAL)	-10.08%	GROWSECT 15 (CAP)	-4.52%
CONSUMPTION (EQUAL)	-11.07%	QUALITY 30 (CAP)	-7.22%
AUTO (EQUAL)	-11.17%	ENERGY (CAP)	-8.90%
PHARMA (EQUAL)	-11.26%	FMCG (CAP)	-10.06%
ENERGY (EQUAL)	-11.53%	COMMODITIES (CAP)	-10.30%
MNC (EQUAL)	-12.24%	CONSUMPTION (CAP)	-10.41%
COMMODITIES (EQUAL)	-12.32%	SERV SECTOR (CAP)	-11.79%
IT (EQUAL)	-13.54%	VALUE 20 (CAP)	-12.03%
MEDIA (EQUAL)	-15.13%	MEDIA (CAP)	-12.18%
VALUE 20 (EQUAL)	-15.16%	MNC (CAP)	-12.86%
SERV SECTOR (EQUAL)	-16.18%	PSE (CAP)	-14.25%
PSE (EQUAL)	-17.26%	METAL (CAP)	-14.56%
CPSE (EQUAL)	-19.21%	AUTO (CAP)	-15.14%
FIN SERVICE (EQUAL)	-20.29%	CPSE (CAP)	-15.57%
LIQ 15 (EQUAL)	-20.52%	FIN SERVICE (CAP)	-16.78%
INFRA (EQUAL)	-21.81%	INFRA (CAP)	-16.79%
BANK (EQUAL)	-22.99%	BANK (CAP)	-18.51%
METAL (EQUAL)	-23.62%	LIQ 15 (CAP)	-20.52%
REALTY (EQUAL)	-25.92%	MIDCAP LIQUID 15 (CAP)	-23.99%
MIDCAP LIQUID 15 (EQUAL)	-25.97%	REALTY (CAP)	-26.29%
PSU BANK (EQUAL)	-38.49%	PSU BANK (CAP)	-36.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	22.25	2015-Jan-27
NIFTY BANK	LONG	32.03	2015-Jan-27
NIFTY COMMODITIES	LONG	42.67	2008-Jan-04
NIFTY CONSUMPTION	LONG	14.40	2015-Aug-05
NIFTY ENERGY	LONG	37.45	2008-Jan-14
NIFTY FIN SERVICE	LONG	28.84	2015-Jan-28
NIFTY FMCG	LONG	17.79	2015-Feb-25
NIFTY INFRA	LONG	63.65	2008-Jan-09
NIFTY IT	LONG	89.19	2000-Feb-21
NIFTY MEDIA	LONG	26.02	2008-Jan-04
NIFTY METAL	LONG	72.78	2008-Jan-04
NIFTY MNC	LONG	22.21	2015-Aug-10
NIFTY PHARMA	SHORT	19.88	2015-Apr-08
NIFTY PSE	LONG	43.76	2008-Jan-04
NIFTY PSU BANK	LONG	63.39	2010-Nov-05
NIFTY REALTY	LONG	93.12	2008-Jan-14
NIFTY SERV SECTOR	LONG	23.80	2015-Mar-03

FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.

Categories Your Money Tags index, momentum, weekly

Index Update 06.02.2016

stockviz February 6, 2016February 7, 2016 0

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from November 26, 2015 through February 05, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-1.76%	IT (CAP)	+4.77%
MEDIA (EQUAL)	-3.49%	GROWSECT 15 (CAP)	+1.72%
QUALITY 30 (EQUAL)	-3.92%	PHARMA (CAP)	+0.93%
COMMODITIES (EQUAL)	-5.06%	QUALITY 30 (CAP)	-0.90%
PHARMA (EQUAL)	-5.24%	MEDIA (CAP)	-1.60%
IT (EQUAL)	-5.28%	ENERGY (CAP)	-3.10%
ENERGY (EQUAL)	-5.31%	COMMODITIES (CAP)	-3.87%
CONSUMPTION (EQUAL)	-5.73%	METAL (CAP)	-4.07%
FMCG (EQUAL)	-6.37%	FMCG (CAP)	-4.58%
MNC (EQUAL)	-7.03%	SERV SECTOR (CAP)	-4.98%
PSE (EQUAL)	-8.15%	VALUE 20 (CAP)	-5.74%
AUTO (EQUAL)	-8.21%	CONSUMPTION (CAP)	-6.24%
SERV SECTOR (EQUAL)	-8.85%	PSE (CAP)	-6.44%
VALUE 20 (EQUAL)	-8.93%	CPSE (CAP)	-7.54%
CPSE (EQUAL)	-10.21%	MNC (CAP)	-8.08%
LIQ 15 (EQUAL)	-11.32%	FIN SERVICE (CAP)	-9.78%
METAL (EQUAL)	-11.54%	BANK (CAP)	-11.25%
FIN SERVICE (EQUAL)	-12.06%	AUTO (CAP)	-11.28%
REALTY (EQUAL)	-13.83%	INFRA (CAP)	-12.62%
INFRA (EQUAL)	-14.25%	REALTY (CAP)	-13.67%
BANK (EQUAL)	-15.02%	LIQ 15 (CAP)	-14.19%
MIDCAP LIQUID 15 (EQUAL)	-15.65%	MIDCAP LIQUID 15 (CAP)	-14.26%
PSU BANK (EQUAL)	-26.74%	PSU BANK (CAP)	-29.21%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	17.62	2015-Jan-27
NIFTY BANK	SHORT	26.24	2015-Jan-27
NIFTY COMMODITIES	SHORT	38.78	2008-Jan-04
NIFTY CONSUMPTION	SHORT	10.38	2015-Aug-05
NIFTY ENERGY	LONG	32.92	2008-Jan-14
NIFTY FIN SERVICE	SHORT	22.73	2015-Jan-28
NIFTY FMCG	LONG	12.69	2015-Feb-25
NIFTY INFRA	SHORT	61.52	2008-Jan-09
NIFTY IT	LONG	88.24	2000-Feb-21
NIFTY MEDIA	SHORT	18.97	2008-Jan-04
NIFTY METAL	SHORT	70.09	2008-Jan-04
NIFTY MNC	SHORT	18.01	2015-Aug-10
NIFTY PHARMA	SHORT	15.75	2015-Apr-08
NIFTY PSE	SHORT	38.71	2008-Jan-04
NIFTY PSU BANK	LONG	59.05	2010-Nov-05
NIFTY REALTY	SHORT	92.16	2008-Jan-14
NIFTY SERV SECTOR	SHORT	17.71	2015-Mar-03

The only bright spot was FMCG – probably aided by a flight to safety. It is brutal out there…

Categories Your Money Tags index, momentum, weekly

Theme: Acceleration Update 02.02.2016

stockviz February 2, 2016February 2, 2016 0

	held since	returns (%)
RUSHIL	2015-Nov-19	-18.69
ESTER	2015-Nov-19	-23.34
GUFICBIO	2015-Nov-19	-10.58
TRIVENI	2015-Dec-01	+28.74
MRO-TEK	2015-Dec-01	+43.11
JETAIRWAYS	2016-Jan-01	-17.11
VIVIMEDLAB	2016-Jan-01	-4.38
JUBILANT	2016-Jan-01	-14.31
KPIT	2016-Jan-01	-15.96
LYPSAGEMS	2016-Jan-01	-17.07
RJL	2016-Jan-01	-5.44
TVSELECT	2016-Jan-01	-23.33
TRIGYN	2016-Jan-01	-13.49
GULFPETRO	2016-Jan-01	-15.56
CORDSCABLE	2016-Jan-01	-0.09
WINDMACHIN	2016-Jan-01	-21.26
JAGSNPHARM	2016-Jan-01	-7.40
GSS	2016-Jan-01	-13.89
MOREPENLAB	2016-Jan-01	-8.11
VIKASECO	2016-Jan-01	-1.23

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -13.90%.

You can find more details about the Acceleration Theme here.

Categories Your Money Tags acceleration, theme

Theme: Velocity Update 02.02.2016

stockviz February 2, 2016February 2, 2016 0

	held since	returns (%)
GAYAPROJ	2015-Sep-04	+53.42
SANGAMIND	2015-Sep-04	+23.27
RUSHIL	2015-Sep-04	+44.92
8KMILES	2015-Oct-06	+18.58
LYKALABS	2015-Oct-06	+12.11
DEEPIND	2015-Nov-02	-1.23
EMMBI	2015-Nov-02	+12.66
RAJESHEXPO	2015-Dec-01	+2.87
COSMOFILMS	2015-Dec-01	+3.45
JUBLINDS	2015-Dec-01	-17.27
TIRUMALCHM	2015-Dec-01	-8.17
TVSELECT	2015-Dec-01	+1.51
ESTER	2015-Dec-01	-27.63
NILKAMAL	2016-Jan-01	+9.01
DENORA	2016-Jan-01	-7.11
NCLIND	2016-Jan-01	-32.55
CTE	2016-Jan-01	+0.17
KWALITY	2016-Jan-01	-19.60
GUFICBIO	2016-Jan-01	-18.11
MIC	2016-Jan-01	-8.07

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -12.67%.

You can find more details about the Velocity Theme here.

Categories Your Money Tags theme, Velocity

Theme: Momentum Update 02.02.2016

stockviz February 2, 2016February 2, 2016 0

	held since	returns (%)
CAPLIPOINT	2015-Sep-07	-15.17
GAYAPROJ	2015-Sep-07	+49.98
SANGAMIND	2015-Sep-07	+27.71
JUBILANT	2015-Oct-06	-10.63
NCLIND	2015-Oct-06	-2.06
SRIPIPES	2015-Nov-02	-20.27
LYKALABS	2015-Nov-02	-15.86
EMMBI	2015-Nov-02	+12.77
NAVINFLUOR	2015-Dec-01	-17.11
8KMILES	2015-Dec-01	+18.23
RAJESHEXPO	2015-Dec-01	+2.84
ISFT	2015-Dec-01	-33.23
RUSHIL	2015-Dec-01	-22.11
ESTER	2015-Dec-01	-28.98
RPGLIFE	2016-Jan-01	-26.21
KWALITY	2016-Jan-01	-18.51
IZMO	2016-Jan-01	-27.03
ELAND	2016-Jan-01	-28.97
GUFICBIO	2016-Jan-01	-16.34
MOREPENLAB	2016-Jan-01	-8.36

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -18.59%.

You can find more details about the Momentum Theme here.

Categories Your Money Tags momentum, theme