Index Update 02.05.2015

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:

Refactored Index Performance

50-day performance, from February 16, 2015 through April 30, 2015:

Equally Weighted		Market Cap. Weighted
CNX MNC (EQUAL)	-0.40%	CNX INFRA (CAP)	-1.12%
CNX FMCG (EQUAL)	-1.55%	CNX MNC (CAP)	-2.13%
CNX INFRA (EQUAL)	-3.18%	CNX PHARMA (CAP)	-2.40%
CNX ENERGY (EQUAL)	-3.99%	LIX15 Midcap (CAP)	-3.33%
CNX BANK (EQUAL)	-4.18%	CNX BANK (CAP)	-4.37%
CNX PSE (EQUAL)	-4.32%	CNX PSE (CAP)	-4.71%
CNX AUTO (EQUAL)	-4.44%	CNX ENERGY (CAP)	-5.23%
LIX15 Midcap (EQUAL)	-4.90%	CNX COMMODITIES (CAP)	-5.49%
CNX CONSUMPTION (EQUAL)	-5.11%	CNX AUTO (CAP)	-5.52%
CPSE INDEX (EQUAL)	-5.22%	CNX FINANCE (CAP)	-5.83%
CNX COMMODITIES (EQUAL)	-5.72%	CNX METAL (CAP)	-6.19%
CNX FINANCE (EQUAL)	-5.91%	CPSE INDEX (CAP)	-6.46%
NI15 (EQUAL)	-5.94%	LIX 15 (CAP)	-6.91%
CNX SERVICE (EQUAL)	-6.65%	NV20 (CAP)	-7.02%
NV20 (EQUAL)	-6.85%	CNX SERVICE (CAP)	-7.03%
LIX 15 (EQUAL)	-7.11%	CNX CONSUMPTION (CAP)	-7.74%
CNX PHARMA (EQUAL)	-7.32%	NI15 (CAP)	-9.32%
CNX MEDIA (EQUAL)	-8.45%	CNX PSU BANK (CAP)	-10.44%
CNX IT (EQUAL)	-8.75%	CNX REALTY (CAP)	-10.54%
CNX PSU BANK (EQUAL)	-8.96%	CNX FMCG (CAP)	-10.99%
CNX METAL (EQUAL)	-10.05%	CNX MEDIA (CAP)	-11.67%
CNX REALTY (EQUAL)	-10.79%	CNX IT (CAP)	-11.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	10.02	2015-Jan-27
CNX BANK	SHORT	10.79	2015-Jan-27
CNX ENERGY	SHORT	30.64	2008-Jan-14
CNX FMCG	SHORT	12.49	2015-Feb-25
CNX INFRA	SHORT	49.61	2008-Jan-09
CNX IT	SHORT	88.48	2000-Feb-21
CNX MEDIA	SHORT	30.24	2008-Jan-04
CNX METAL	SHORT	56.27	2008-Jan-04
CNX MNC	SHORT	6.12	2015-Mar-12
CNX NIFTY	SHORT	9.06	2015-Mar-03
CNX PHARMA	SHORT	12.82	2015-Apr-08
CNX PSE	SHORT	27.16	2008-Jan-04
CNX REALTY	SHORT	89.10	2008-Jan-14

MNCs remain an oasis of calm in a desert landscape filled with fallen stars. Every other sector index has experienced double digit drawdowns from this year’s highs. Some indices are yet to recover from their 2008 blow offs. Are we due for a reversal?