Index Update 09.05.2015

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:

index momentum best 365 2015-05-08 png

index momentum best 50 2015-05-08 png

index momentum worst 365 2015-05-08 png

index momentum worst 50 2015-05-08 png

Refactored Index Performance

50-day performance, from February 24, 2015 through May 08, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) -1.79% CNX ENERGY (CAP) -0.92%
NI15 (EQUAL) -3.88% CNX PHARMA (CAP) -2.15%
CNX CONSUMPTION (EQUAL) -4.03% CPSE INDEX (CAP) -2.88%
CPSE INDEX (EQUAL) -5.03% CNX INFRA (CAP) -3.69%
CNX ENERGY (EQUAL) -5.83% CNX PSE (CAP) -5.05%
CNX INFRA (EQUAL) -5.95% CNX AUTO (CAP) -5.19%
CNX PSE (EQUAL) -5.95% NV20 (CAP) -5.53%
CNX AUTO (EQUAL) -5.97% CNX BANK (CAP) -5.76%
NV20 (EQUAL) -6.36% CNX CONSUMPTION (CAP) -6.13%
CNX MNC (EQUAL) -7.10% CNX COMMODITIES (CAP) -6.41%
CNX PHARMA (EQUAL) -7.36% LIX15 Midcap (CAP) -6.62%
CNX BANK (EQUAL) -7.38% CNX FINANCE (CAP) -6.96%
CNX FINANCE (EQUAL) -7.47% CNX SERVICE (CAP) -7.41%
CNX MEDIA (EQUAL) -7.73% NI15 (CAP) -8.16%
CNX SERVICE (EQUAL) -7.75% CNX REALTY (CAP) -9.43%
LIX15 Midcap (EQUAL) -8.74% CNX MNC (CAP) -9.90%
CNX COMMODITIES (EQUAL) -9.31% CNX FMCG (CAP) -10.22%
CNX IT (EQUAL) -9.87% CNX MEDIA (CAP) -10.75%
CNX REALTY (EQUAL) -10.27% LIX 15 (CAP) -10.89%
CNX PSU BANK (EQUAL) -14.07% CNX IT (CAP) -10.93%
LIX 15 (EQUAL) -14.62% CNX PSU BANK (CAP) -13.00%
CNX METAL (EQUAL) -18.23% CNX METAL (CAP) -23.59%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
9.89
2015-Jan-27
CNX BANK SHORT
13.42
2015-Jan-27
CNX ENERGY SHORT
30.10
2008-Jan-14
CNX FMCG SHORT
10.93
2015-Feb-25
CNX INFRA SHORT
50.20
2008-Jan-09
CNX IT SHORT
88.30
2000-Feb-21
CNX MEDIA SHORT
30.20
2008-Jan-04
CNX METAL SHORT
55.67
2008-Jan-04
CNX MNC SHORT
5.36
2015-Mar-12
CNX NIFTY SHORT
8.95
2015-Mar-03
CNX PHARMA SHORT
12.48
2015-Apr-08
CNX PSE SHORT
27.69
2008-Jan-04
CNX REALTY SHORT
88.96
2008-Jan-14
The MNC index should be real “blue-chip” index – lowest draw-down of the whole bunch.