Index Update 23.05.2015

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 2015-05-22 png

index momentum best 50 2015-05-22 png

index momentum worst 365 2015-05-22 png

index momentum worst 50 2015-05-22 png

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +0.18% CPSE INDEX (CAP) +0.65%
CNX CONSUMPTION (EQUAL) -0.18% CNX ENERGY (CAP) +0.62%
CNX MNC (EQUAL) -0.51% CNX COMMODITIES (CAP) +0.18%
CPSE INDEX (EQUAL) -1.30% LIX15 Midcap (CAP) -0.22%
CNX AUTO (EQUAL) -1.93% CNX CONSUMPTION (CAP) -0.47%
NI15 (EQUAL) -2.68% CNX AUTO (CAP) -0.77%
CNX PSE (EQUAL) -2.78% CNX METAL (CAP) -1.07%
NV20 (EQUAL) -2.94% CNX PSE (CAP) -2.09%
CNX ENERGY (EQUAL) -3.00% NV20 (CAP) -2.62%
CNX COMMODITIES (EQUAL) -3.22% CNX MNC (CAP) -2.65%
LIX15 Midcap (EQUAL) -3.32% CNX INFRA (CAP) -2.72%
CNX INFRA (EQUAL) -3.69% CNX FMCG (CAP) -2.89%
CNX BANK (EQUAL) -3.93% NI15 (CAP) -3.22%
CNX MEDIA (EQUAL) -4.54% LIX 15 (CAP) -3.28%
CNX SERVICE (EQUAL) -4.60% CNX BANK (CAP) -3.29%
LIX 15 (EQUAL) -5.32% CNX SERVICE (CAP) -3.78%
CNX FINANCE (EQUAL) -6.11% CNX FINANCE (CAP) -3.85%
CNX IT (EQUAL) -7.33% CNX PSU BANK (CAP) -5.10%
CNX PSU BANK (EQUAL) -7.73% CNX IT (CAP) -5.34%
CNX REALTY (EQUAL) -8.10% CNX PHARMA (CAP) -5.88%
CNX METAL (EQUAL) -8.64% CNX MEDIA (CAP) -5.88%
CNX PHARMA (EQUAL) -9.85% CNX REALTY (CAP) -9.30%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.69
2015-Jan-27
CNX BANK SHORT
10.32
2015-Jan-27
CNX ENERGY SHORT
29.07
2008-Jan-14
CNX FMCG SHORT
9.54
2015-Feb-25
CNX INFRA SHORT
49.37
2008-Jan-09
CNX IT SHORT
87.72
2000-Feb-21
CNX MEDIA SHORT
29.01
2008-Jan-04
CNX METAL SHORT
56.14
2008-Jan-04
CNX MNC SHORT
3.97
2015-Mar-12
CNX NIFTY SHORT
5.97
2015-Mar-03
CNX PHARMA SHORT
8.25
2015-Apr-08
CNX PSE SHORT
26.16
2008-Jan-04
CNX REALTY SHORT
89.23
2008-Jan-14
Pharma and banks seem to be perking up.
And boy-oh-boy! MNCs have more or less covered their draw-down.